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Tuesday, June 21, 2011
Cointegrated Forex Baskets
I track forex cointegration statistics on a weekly and daily basis. Here is a listing of the highest cointegrated pairs and their current normal distribution Z-score. As of Sunday night there were not any trades that exceeded two standard deviations so I am off on the sidelines. I'm watching the CHFUSD/GBPCHF and the CADUSD/AUDNZD combos closely as trading during the week progresses. More on these cointegration statistics later.
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Hi Mike, do you use some indicator or excel DDE for make this calculations of cointegration?
ReplyDeleteAlso, how much years do you use?
When you say daily basics, are 20 periods?
you can use Arbmaker to do this task
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