Co-integration in PTF

Co-integration in PTF

Yes, using Cointegration is an option in the software and we use it as a critical component of our trading system, though that is a choice. By default Cointegration is toggled off when you install PTF PRO as it is computationally costly. To enable it you will need to go to System Preferences by clicking the top left “pear” button, and then enable co-integration. Also note that it's calculated on end-of-day data.

We use Cointegration Augmented Dickey Fuller (CADF) test for cointegration.  We display the result as Reverse Cointegration i.e. a p-value of 0.05 from the CADF test is displayed in PTF PRO as 0.95. Most users find it easier to analyse in this way. 

For more info on why you want to use Cointegration in pairs trading, see our video lecture here:

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