Have you tried coding any statistics functions such augmented Dickey fuller for cointegration, unit root test etc
@GeorgePruitt
Ай бұрын
I have not. Each time series has a unit root. However, visual examination tends to lead me to believe that in the long run cointegration exists; deviation in their trends seem to be mean reverting. Some of the components of the portfolio may exhibit a higher level of cointegration than others. Further statistical analysis could definitely pick a better portfolio that may perform better in the future.
Пікірлер: 2