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Period of Length for Cointegration Test for Pairs Trading

For Intraday strategies, what is the optimum length over the co-integration test should be tested? day or over a few years? For a few pairs, I got the pair mean reverting when I streamed from yahoo finance over the whole history, however the pattern vanished when I tested over individual days tick data.

1 response

Hello Maitreyi,

Awhile back, I played around with this sort of thing: https://www.quantopian.com/posts/augmented-dickey-fuller-adf-test-spy-and-sh-dollar-volume. Eventually, I got it to work on minute bars (see my last post). Are you trying something similar?

Grant