Cointegration "Machine"

I’ve done some interesting cointegration work for canadian securities and see some likely basket / spread trades.

I was thinking about the equity and FX markets and the vast number of total securities one might investigate. We can test for stable cointegration and mean-reversion style trading in a systematic manner. Why not create a “machine” to test the many combinations for viable trading strategies.

Of course we will need market data for a large number of securities to pull this off …


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