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time series, scatter and residual plots of gbpinr/cadinr cadf forex vo makedonija Test results: (-3.,., 2L, 651L, '1 -3., '10 -2., '5 -2., -179. Average Negative Trade -0. Only one position is held at a single instance of time. Below is the list of pairs whose T-static values are less than the 5 critical value of -2.86: eurinr/usdinr: -3., eurinr/gbpinr: -3., eurinr/cadinr: -3., usdinr/audinr: -3., usdinr/cadinr: -3., gbpinr/cadinr: -3., audinr/cadinr: -3., below is the plot of p-values of the co-integrated pairs: Before rejecting null. We shall consider the 4 co-integrated pairs based on T-Static Values for cadf testing.
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Profit percentage Without Leverage. Average Profit/Average Loss. Next Step Read about other strategies in this article on Algorithmic Trading Strategy Paradigms. Profit/loss, equity curve, maximum drawdown, are calculated/tabulated/plotted. To further test for confirmation of co-integration, cadf test is carried out on the sliced pairs from the pool. With 100 INR initial Capital, equity ended at 114.05. ) usdinr/audinr Below are the results from cadf test: (-3.,., 4L, 649L, '1 -3., '10 -2., '5 -2., 381. ) With the t-static value of -3.25 smaller than the 5 critical value of -2.86, we can reject the null hypothesis and can confirm that the pair is co-integrating.