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It's been a while since I created that, but yes, this can quite
easily be achieved in AB. However, since there's nothing more
important than to learn along the way, and find you own solutions,
I'll give you only a few pointers:
1) You need to create a few OLS-regression functions. One simple
example is:
function OLSXYb2(x,y,Period)
// y = dependent var
{
global RSq;
SumX=Sum(x,Period);
SumY=Sum(y,Period);
CombSum=Sum(x*y,Period);
SumSqX=Sum(x^2,period);
SumXSq=Sum(x,period)^2;
b2=(period*CombSum-SumX*SumY)/(period*SumSqX-SumXSq);
//b2=OLS-beta
Rsq=Correlation(x,y,Period)^2;
return b2;
}
Unfortunately, this only applies to 1 independent variable, and
you'll need to find out yourself how to expand it to 2 independent
variables, i.e. to regress y over x and z.
2) You then need to calculate and further manipulate the OLS error
terms. One approach is to use the Augmented Dickey Fuller (ADF) stat.
Again, a hint:
ADFResErr = OLSXY(P1, P2, LBPer);
n = 0;
ADFOLSErr[0]=0;
while (n<LBPer)
{
ADFOLSErr = Ref(P2,-n)-SelectedValue(OLSb1) -
SelectedValue(OLSb2)*Ref(P1,-n);
n = n+1;
}
etmin1 = Ref(ADFOLSErr,-1);
etmin2 = Ref(ADFOLSErr,-2);
ResChange = ADFOLSErr - etmin1;
Lag1ResCh = Ref(ResChange,-1);
Lag2ResCh = Ref(ResChange,-2);
Cointgr = OLSXYZ(ResChange,
etmin1,Lag1ResCh,LBPer);
tau = tvalueb3;
. . . .
FWIW, too many investors are now looking at pair-trading via coint,
i.e. it has largely been arbitraged away. Most succesful hedge funds
use way more advanced strategies.
PS
--- In amibroker@xxxxxxxxxxxxxxx, "john_dxd_smith"
<john_dxd_smith@xxx> wrote:
>
>
> Hi,
>
> I understand cointegration, not correlation, is used to rank stocks
to
> find "pair trade" candidates.
> I read a lot of papers I found googling but they are all too
technical
> and way over my head.
>
> I'm only interested in a very basic/primitive textbook-case approach
> among many variants actually used by hedge funds.
>
> How do I go about creating cointegration matrix ?
> Is it doable with AmiBroker ?
> If not, are there any statistical/math softwares for non-quants to
> create the matrix ?
>
> Thank you in advance.
>
> best regards,
> dxd
>
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