From: | 2020-01-02 | To: | 2023-01-01 |

Here we apply an orthogonal regression (also known as total least squares) to both price series. We are interested in some key statistical properties (like β, ...) and in analysing orthogonal residuals:

Regression coefficient α:

-50.321975

Regression coefficient β:

8.795136

Standard Deviation (σ):

8.865366

ADF test of residuals (p-value):

0.6176

95% confidence: residuals seem to contain a unit root

99% confidence: residuals seem to contain a unit root

Mean Reversion Coefficient (MRC):

-0.006324

Half-life:

109.60

Skewness:

0.3604

Kurtosis:

-0.6485

Doornik-Hansen normality test (p-value):

(<< 0.0001)

Normality test failed at 95% confidence

Shapiro-Wilk normality test (p-value):

(<< 0.0001)

Normality test failed at 95% confidence

In this section, Engle-Granger cointegration test is performed using OLS regression method in both directions. Residuals of the regression are plotted and analyzed further:

Profit analysis is a set of backtests performed using multiple pair trading models over significant portion of parameter space. Backtest results are displayed in a form of scatter plot. In addition, you can see aggregated statistics in the left panel. All backtests are performed using 100% margin (leverage 1:1). This is the profit analysis where backtested strategies are allowed to open both **long and short** positions:

This is the profit analysis where backtested strategies are allowed to open **long positions** only:

This is the profit analysis where backtested strategies are allowed to open **short positions** only:

This profit analysis has been performed using strategies with inverted signals and transformed prices. Mostly useful for trading pairs composed of an inverse ETF in order to stay market-neutral (more info).
**"even"** means that the first leg is both inverted and transformed, **"odd"** means that the first leg is transformed but the second leg is inverted.

Backtested strategies have been allowed to open both **long and short** positions:

This is the profit analysis where backtested strategies are allowed to open **long positions** only:

This is the profit analysis where backtested strategies are allowed to open **short positions** only: