Pair Trading - Exploring The Low Risk Statistical Arbitrage Trading Concepts

[ncube]

New Pair For Tomorrow: GATI-GDL

 

[VJAY]

New Pair For Tomorrow: GATI-GDL
View attachment 29289

Dear ncube,
Why my pValue diferent?data for these pairs I downloaded fresh ...its also more than 200 days !!!

 

[ncube]

View attachment 29339
Dear ncube,
Why my pValue diferent?data for these pairs I downloaded fresh ...its also more than 200 days !!!

What value for S1,S2 you are passing to the function find_coint_significance(S1,S2,significance=0.05), is it returns[] or df[] ?

 

[VJAY]

What value for S1,S2 you are passing to the function find_coint_significance(S1,S2,significance=0.05), is it returns[] or df[] ?

 

[ncube]

View attachment 29341

Is this how you have defined the parameters S1 & S2?

SS1 = df['GATI']
SS2 = df['GDL']
S1 = returns['GATI']
S2 = returns['GDL']

For calculating the coint_significance you should pass the returns[] dataframe & for calculating the zscore you should send df[] dataframe

 

[VJAY]

Is this how you have defined the parameters S1 & S2?

SS1 = df['GATI']
SS2 = df['GDL']
S1 = returns['GATI']
S2 = returns['GDL']

 

[ncube]

View attachment 29342

Seems to be fine, not sure what is the problem I will check again in my script in the evening and update you. Can you share the stockdata.csv file that you are using.

 

[VJAY]

Seems to be fine, not sure what is the problem I will check again in my script in the evening and update you. Can you share the stockdata.csv file that you are using.

https://drive.google.com/open?id=1fvk0idlojgX9dDtzcH6sYYJFUM4vtobK

 

[ncube]

Seems to be fine, not sure what is the problem I will check again in my script in the evening and update you. Can you share the stockdata.csv file that you are using.

Think I got the problem...please check GDL-GATI, I think in the post I may have made the mistake and wrote it as GATI-GDL.

 

[VJAY]

Think I got the problem...please check GDL-GATI, I think in the post I may have made the mistake and wrote it as GATI-GDL.

is this pvalue matching with your data?