Pair Trading - Exploring The Low Risk Statistical Arbitrage Trading Concepts

[ncube]

Yes something wrong done in excell I replaced it with your new file...now seem ok but still p value is different

View attachment 26981

Ok now the issue is consistent for you, @20.sum1 & @cloudTrader , you guys are getting extremely low pValue, need to analyze if statmodel library version is correct, can you post the output for the following commands:
import statsmodels.api as sm
sm.version.version

 

[VJAY]

Ok now the issue is consistent for you, @20.sum1 & @cloudTrader , you guys are getting extremely low pValue, need to analyze if statmodel library version is correct, can you post the output for the following commands:
import statsmodels.api as sm
sm.version.version

please give the command only ..I not getting from above post

 

[ncube]

Yes something wrong done in excell I replaced it with your new file...now seem ok but still p value is different

View attachment 26981

Ok now the issue is consistent for you, @20.sum1 & @cloudTrader , you guys are getting extremely low pValue, need to analyze if statmodel library version is correct, can you post the output for the following commands:
import statsmodels.api as sm
sm.version.version

please give the command only ..I not getting from above post

 

[VJAY]

Ok now the issue is consistent for you, @20.sum1 & @cloudTrader , you guys are getting extremely low pValue, need to analyze if statmodel library version is correct, can you post the output for the following commands:
import statsmodels.api as sm
sm.version.version


View attachment 26983

looks like it different with you

 

[ncube]

These are few pairs I was tracking some time back, I will update this list in the evening with few more pairs based on my analysis:

('HCLTECH', 'INFY')
('HCLTECH', 'TCS')
('HCLTECH', 'TECHM')
('HCLTECH', 'WIPRO')
('INFY', 'TCS')
('INFY', 'TECHM')
('INFY', 'WIPRO')
('TCS', 'TECHM')
('TCS', 'WIPRO')
('TECHM', 'WIPRO')
('ALBK', 'ANDHRABANK')
('ALBK', 'ORIENTBANK')
('ALBK', 'SYNDIBANK')
('ANDHRABANK', 'ORIENTBANK')
('ANDHRABANK', 'SYNDIBANK')
('ORIENTBANK', 'SYNDIBANK')
('TATAMTRDVR', 'TATAMOTORS')
('RELCAPITAL', 'RELINFRA')
('PFC', 'RECLTD')
('CIPLA', 'GLENMARK')
('BANKINDIA', 'CANBK')
('APLLTD', 'RAJESHEXPO')

Pairs I am currently tracking:

('ALBK', 'ANDHRABANK')
('ALBK', 'BANKBARODA')
('ALBK', 'BANKINDIA')
('ALBK', 'CANBK')
('ALBK', 'ORIENTBANK')
('ALBK', 'SBIN')
('ALBK', 'UNIONBANK')
('ANDHRABANK', 'BANKBARODA')
('ANDHRABANK', 'BANKINDIA')
('ANDHRABANK', 'CANBK')
('ANDHRABANK', 'ORIENTBANK')
('ANDHRABANK', 'SBIN')
('ANDHRABANK', 'SYNDIBANK')
('ANDHRABANK', 'UNIONBANK')
('BANKINDIA', 'CANBK')
('BANKINDIA', 'SBIN')
('BANKINDIA', 'SYNDIBANK')
('BANKINDIA', 'UNIONBANK')
('CANBK', 'ORIENTBANK')
('CANBK', 'SBIN')
('CANBK', 'SYNDIBANK')
('CANBK', 'UNIONBANK')
('ORIENTBANK', 'SBIN')
('ORIENTBANK', 'SYNDIBANK')
('ORIENTBANK', 'UNIONBANK')
('SBIN', 'SYNDIBANK')
('SBIN', 'UNIONBANK')
('SYNDIBANK', 'UNIONBANK')
('APOLLOTYRE', 'CEATLTD')
('APOLLOTYRE', 'MRF')
('APOLLOTYRE', 'TVSSRICHAK')
('MRF', 'TVSSRICHAK')
('RELCAPITAL', 'RELINFRA')
('PFC', 'RECLTD')
('IOB', 'UCOBANK')
('IDFCBANK', 'IDFC')
('DHFL', 'IBULHSGFIN')
('CIPLA', 'LUPIN')
('AUROPHARMA', 'GLENMARK')

 

[ncube]

View attachment 26984
looks like it different with you

No I meant can you run those 2 commands in a new cell and show me the output. I want to check if the statsmodel version that you have installed is correct.

 

[VJAY]

No I meant can you run those 2 commands in a new cell and show me the output. I want to check if the statsmodel version that you have installed is correct.

commands not working

 

[VJAY]

I think its 0.9.0

 

[ncube]

View attachment 26985

I think its 0.9.0

Yes, thats correct, the latest version for statsmodels package now is 0.9.0, I was using 0.8.0 and on upgrading to 0.9.0 I am also getting the same pValue as you guys.

Checked the 0.9.0 documentation and found that they have changed the default value for autolag = 'aic", this need to be changed to autolag = None.

Please add a parameter to the coint function as shown in the below image, it will work fine.

pvalue = coint(S1,S2,autolag=None)[1]

Or you can download the file from my google drive, I have uploaded the latest file there.

 

[VJAY]

Yes, thats correct, the latest version for statsmodels package now is 0.9.0, I was using 0.8.0 and on upgrading to 0.9.0 I am also getting the same pValue as you guys.

Checked the 0.9.0 documentation and found that they have changed the default value for autolag = 'aic", this need to be changed to autolag = None.

Please add a parameter to the coint function as shown in the below image, it will work fine.

pvalue = coint(S1,S2,autolag=None)[1]

View attachment 26987

Or you can download the file from my google drive, I have uploaded the latest file there.

Ok now i think its okey ...is this pvalue is same with yours?

Why here your last check point 11 hours ago showung?