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            Co-integration in PTF

            Yes cointegration is an option in the software but when it's turned on it can slow down the backtester. By default it does not comes enables with PTF as it is computationally costly. To enable it you will need to go to Preferences, top left “pear” button and then enable co-integration. Also note that it's calculated on end-of-day data. We use Dickey Fuller cointegration.

            Updated: 02 Feb 2017 10:27 AM
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