Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
Cointegration test results deteriorate from the same test has been done by Delaney Mackenzie in "Introduction to Pairs Trading"
mehdi hajari
edited Mar 8, 2018

Hi all,

I have been reviewing pair trading lectre prepared by Delaney Mackenzie and Maxwell Margenot (thank you, it is very informative). I re-performed all codes and data sets in my notebook. When I run coint function from statsmodels.tsa.stattools. my results is completely different from the file results and I know that my p-value is wrong. I run stationary test using adfuller and it make sense. Any idea what should be the problem?

  • When I run code on Quantopian notebook, the results are same as the "Introduction to Pair Trading" notebook. but when I run same code on my own PC the results of the coint fuction is totally different for same dataset.

  • I use python 3.6, could it be the reason?

here is the test:
score, pvalue, _ = coint(X,Y)
print (pvalue)

Lecture result : 2.75767345363e-16
My PC results: 0.683824295029396

Thank you for all your help.

M

1 response
Delaney Mackenzie
Aug 8, 2018

Hello Mehdi,

I just found this post while performing a separate search on the forums. Apologies for not catching it when you posted. I hope you're still around. Are you using the same dates? Do you mind attaching the notebook here?

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

About Quantopian
Careers
Community
Events
Documentation
Academia
Lectures
Status
Facebook
Twitter
LinkedIn
YouTube
Terms of Use
Privacy Policy

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.