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| vanna | Posted on: 2011/2/7 10:48 |
Just can't stay away   Joined: 2007/3/21 From: Posts: 104 |
New Triplet finder application I have created a new application for finding cointegrated triplets from Yahoo finance, since I was curios to do some back testing to see if they would be more profitable than trading pairs.
program is still crunching number. In the meanwhile, this is an interesting triplet for your review: AM-CNI-DRL. The interesting thing is the spread analysis. The Johansens' test clearly indicates 1 cointgeraing vector. However, spread analysis graph has very strange. Here are their screenshots:   FYI, some more triplets spitted out by the app :
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