OPEN-SOURCE SCRIPT
Aggiornato SpreadTrade - Auto-Cointegration (ps5)
Decsription: Auto-Cointegration-Based Pair Trading Strategy (revised version)
To review, there are three popular styles of Pair trading: distance-based pair trading, correlation-based pair trading and cointegration-based pair trading. Typically, they require preliminary statistical estimation of the viability of the corresponding strategy.
Basically a pair trade strategy boils down to shorting the outperforming instrument and going long on the underperforming instrument whenever the temporary correlation weakens which means one instrument is going up and another is going down. Apart from the typical cointegration strategy which employs two cointegrated instruments, this script uses just one instrument, in base timeframe and in lagged timeframe, actually making it an auto-cointegration, or better still, an auto-correlation strategy.
Notice that each moving average function may require different Threshold settings.The orange cross symbol indicates the exit points. To filter out the signals use higher values for the LongWindow and the Threshold parameters. Also pay attention that in some cases with some moving averages the color of the signals has to be inverted.
To review, there are three popular styles of Pair trading: distance-based pair trading, correlation-based pair trading and cointegration-based pair trading. Typically, they require preliminary statistical estimation of the viability of the corresponding strategy.
Basically a pair trade strategy boils down to shorting the outperforming instrument and going long on the underperforming instrument whenever the temporary correlation weakens which means one instrument is going up and another is going down. Apart from the typical cointegration strategy which employs two cointegrated instruments, this script uses just one instrument, in base timeframe and in lagged timeframe, actually making it an auto-cointegration, or better still, an auto-correlation strategy.
Notice that each moving average function may require different Threshold settings.The orange cross symbol indicates the exit points. To filter out the signals use higher values for the LongWindow and the Threshold parameters. Also pay attention that in some cases with some moving averages the color of the signals has to be inverted.
Note di rilascio
Added tooltips and a tick countScript open-source
Nello spirito di TradingView, l'autore di questo script lo ha reso open source, in modo che i trader possano esaminarne e verificarne la funzionalità. Complimenti all'autore! Sebbene sia possibile utilizzarlo gratuitamente, ricordiamo che la ripubblicazione del codice è soggetta al nostro Regolamento.
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Script open-source
Nello spirito di TradingView, l'autore di questo script lo ha reso open source, in modo che i trader possano esaminarne e verificarne la funzionalità. Complimenti all'autore! Sebbene sia possibile utilizzarlo gratuitamente, ricordiamo che la ripubblicazione del codice è soggetta al nostro Regolamento.
Declinazione di responsabilità
Le informazioni e le pubblicazioni non sono intese come, e non costituiscono, consulenza o raccomandazioni finanziarie, di investimento, di trading o di altro tipo fornite o approvate da TradingView. Per ulteriori informazioni, consultare i Termini di utilizzo.