Cointegration Quant Tracker ADF and Hurst

Cointegration Quant Tracker ADF and Hurst

Caicai Cointegration Quant Tracker

Important Notice: This indicator is an integral tool of the automated EA Caicai Long and Short Pair Trading. If you want the full automated solution, visit the EA page!

A robust quantitative tool designed to validate Pair Trading operations. This indicator brings advanced mathematical analysis to your charts, ensuring you only trade pairs with a true statistical edge. It calculates essential metrics to validate if two assets are truly cointegrated and suitable for mean-reversion strategies.

Main Features:

• ADF Test (Augmented Dickey-Fuller): Calculates the T-Stat to assess the stationarity of the series.
• Hurst Exponent: Measures the strength of the spread's mean-reverting characteristics.
• Visual Feedback: Plots both metrics continuously so you can visually confirm when a pair enters or leaves a cointegrated state.

Input Parameters:

• InpSymbolY: The ticker of the first asset (Dependent Variable). Ex: PETR4
• InpSymbolX: The ticker of the second asset (Independent Variable). Ex: VALE3
• InpQuantSamples: Number of samples/bars used to calculate the ADF Test and Hurst Exponent (Default: 100).

How to Use:

Attach the indicator to any chart and input the two symbols you wish to analyze. Look for periods where the ADF T-Stat goes below your critical threshold (indicating stationarity) and the Hurst Exponent is below 0.5 (indicating mean-reversion). Do not trade pairs that fail these mathematical tests.