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Test for a Pairs Trading Strategy
Added On:
Thu 11/Feb/2016
Last Updated:
Thu 11/Feb/2016
Blog Name:
Test for a Pairs Trading Strategy
Description:
About two weeks ago I decided to attempt to write a blog series on Pairs trading and statistical arbitrage. What I found is that everyone tends to reference the ADF test but I really don’t see a lot of posts that explain the test in full.
http://www.quantinsti.com/blog/augmented-dickey-fuller-adf-test-for-a-pairs-trading-strategy/
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