Expert Advisors and Indicators for MetaTrader 5

Here you will find many programs for the MetaTrader 5 trading platform, which save the trader from routine operations and help him concentrate only on the really important things

Cointegration Pair Trading Indicator

cointegration-pair-trading-indicator-logo-200x200-3558
99.99 USD80.99 USD

Free updates are included

We Accept:

We guarantee that all our
products are 100% authentic

Information

Indicators
MetaTrader 5
Lucas Baisso
1.43
5

Overview

Cointegration Pair Trading Indicator

Indicator for statistical and quantitative pair trading strategies. You can perform Long&Short or Long&Long/Short&Short between two different assets.
The indicator performs a series of statistical tests between the assets and shows whether the pair is cointegrated or not.


Suggested Usage Strategies

(a) Verify if that the pair is cointegrated by the ADF test (Augmented Dickey-Fuller Test). 0% means the pair is not cointegrated; 90% 95% 97.5% and 99% means it is cointegrated (the greater the better).
(b) Check if beta is positive or negative and the pair correlation.
If beta is positive check if the correlation is positive (Fisher test always greater than zero, Min > 0%).
If beta is negative check if the correlation is negative (Fisher test always lesser than zero, Max < 0%).

For positive beta and Fisher always greater than zero, Long&Short situation:
When the residual line (blue) reaches the upper band sell the main asset and buy the secondary asset (expecting a reversal to normality).

When the residual line (blue) reaches the bottom band buy the main asset and sell the secondary asset (expecting a reversal to normality).

For negative beta and Fisher always lesser than zero, Long&Long or Short&Short situation:
When the residual line (blue) reaches the upper band sell the main asset and sell the secondary asset (expecting a reversal to normality).

When the residual line (blue) reaches the bottom band buy the main asset and buy the secondary asset (expecting a reversal to normality).

Lot Size Proportion
The lot size proportion is given by beta. To know secondary asset lot size just multiply primary asset lot by beta.
Ex: For beta 0.5 and primary lot = 10 secondary lot size would be 5. 


Parameter list

Second symbol: Second Asset
Timeframe: What timeframe to use in calculations
Candles to calculate: How many candles to run the tests (ADF, Fisher)
Regression: Linear regression type, simple or multiple (with trend)***
Beta candles: How many candles calculate beta variation/beta rotation (yellow line)
Deviation first line: Standard deviations to plot first line
Deviation second line: Standard deviations to plot second line
Save CPU: Recalculate only when closing a candle (and not on any price change)
Play Alarm: Play alarm when residual is beyond first deviation line

Important! AxB cointegration is different than BxA

Its correlation (ratio and Fisher) is the same but not the cointegration (ADF test and the linear regression to calculate normality and residual standard deviations).
So, AxB may not be cointegrated and not recommended for trading but BxA may be cointegrated and triggering a trade.


*** Warning: to calculate a multiple linear regression is a CPU hungry process. This is impossible to change and the code is already optimized to its maximum. If “Beta Candles” is set to 50, 100 multiple linear regressions will be calculated to compared each linear regression individual beta. When calculating, a CPU usage spike is to be expected, especially if using the indicator on multiple pairs. If indicator became too slow, try to reduce beta candles.
































































































14 DAYS MONEY BACK GUARANTEE

If for any reason you do not like the purchased program, you can request a refund within 14 days from the date of purchase. You can also make an exchange for any other product at an equal cost or by paying the difference.

Simply send a request for refund or exchange with your order number by email: fxea.market@gmail.com.

Refund requests received more than 14 days after purchase will be rejected.

Email Us Now! Support is available 24/7
by Email: fxea.market@gmail.com

Do You Need Help?
Click Here To Start Live Chat

Contact Us

Copyright © 2021 EA-Trade.pro. All rights reserved. Terms and conditions | Privacy policy     We speak your language EN|CN|DE|ES|RU

RISK WARNING: ea-trade.pro is a software reseller, we do not offer investment advice or execute trades. The software we provide is a tool where the settings are input by the end user to design their own trading strategy. Trading forex and CFDs carry a high degree of risk to your capital and it is possible to lose your entire deposit. Only speculate with money you can afford to lose. As with any trading, you should not engage in it unless you understand the nature of the transaction you are entering, and the true extent of your exposure to the risk of loss. These products may not be suitable for all investors, therefore if you do not fully understand the risks involved, please seek independent advice.

Search