Test for cointegration between two assets using Engle-Granger or Johansen methods. Compute the spread z-score and determine optimal entry/exit thresholds based on z-score reversal speed.
Test for cointegration between two assets using Engle-Granger or Johansen methods. Compute the spread z-score and determine optimal entry/exit thresholds based on z-score reversal speed
Each component has a specific meaning:
Note: Interpret the cointegration z-score result against the thresholds and context described above.
Enter the Engle-Granger or Johansen methods for the scenario you are assessing. Test for cointegration between two assets using Engle-Granger or Johansen methods. Compute the spread z-score and determine optimal entry/exit thresholds based on z-score reversal speed. Use the cointegration z-score result to inform your calculation.