This is a summary of links featured on Quantocracy on Thursday, 01/12/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Aluminum Smelting Cointegration Strategy in QSTrader [Quant Start]In previous articles the concept of cointegration was considered. It was shown how cointegrated pairs of equities or ETFs could lead to profitable mean-reverting trading opportunities. Two specific tests were outlinedthe Cointegrated Augmented Dickey-Fuller (CADF) test and the Johansen testthat helped statistically identify cointegrated portfolios. In this article QSTrader will be used to