Question about stationarity

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Question about stationarity

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Hi,

First of all, thank you Delaney Granizo-Mackenzie and Maxwell Margenot for your excellent lecture on Integration, Cointegration, and Stationarity. I am an old floor trader with almost no math background...and I'm trying to pair trade futures contracts intraday . I do well for a while but then get blown out when the spread suddenly moves to a new level and I'm caught with the wrong position.

I believe my problem is my time series moves from a state of stationarity to non-stationarity.

My question is: Can I anticipate this move before it happens with the suggested Dickey-Fuller test........or will said test just tell me after the fact what just happened as with many other technical indicators.

I could hire a programmer to set up the test so that it is running in the background, in real time ,as I trade if it has any predictive qualities.

If this isn't the answer to keep me out of the market during these shifts....can anyone suggest something else?

Thank you for your patience,
mitch

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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.