Stock Pair Cointegration Analyzer
Pricing
from $5.00 / 1,000 pair analyzeds
Stock Pair Cointegration Analyzer
Test stock/ETF pairs for cointegration: hedge ratio, half-life, spread z-score and a walk-forward check. Statistical data only, not investment advice.
Pricing
from $5.00 / 1,000 pair analyzeds
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Developer
AutoWorks JP
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1
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2 days ago
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Test whether pairs of stocks or ETFs move together in a statistically stable way (cointegration), and see how far their spread is from its usual level today. Built for quants, pair-trading researchers and students who want clean statistics without writing their own pipeline.
This Actor provides statistical data only. It is not investment advice and does not recommend buying or selling any security.
What you get for each pair
| Field | Meaning |
|---|---|
cointegrationPValue | Engle-Granger test p-value on log prices over the formation window |
qValueBH | p-value adjusted for testing many pairs at once (Benjamini-Hochberg) |
cointegrated | true if q < significance, hedge ratio > 0 and half-life is 2-30 days |
hedgeRatio | OLS beta of log(A) on log(B) |
halfLifeDays | Mean-reversion half-life of the spread (Ornstein-Uhlenbeck fit) |
spreadZScore | Today's spread vs. the previous zWindow days (today excluded, no look-ahead) |
spreadState | above mean / below mean / within band |
returnCorrelation | Correlation of daily log returns |
walkForward | Out-of-sample style historical check: parameters re-estimated monthly using past data only, trades simulated with costs, results split into first/second half |
Why the walk-forward check matters
Many pairs look cointegrated in hindsight. In our own 10-year test on 221 same-sector US large-cap pairs, pairs chosen on the first half of the data showed strong results in that half but were not statistically significant in the second half. Use walkForward.secondHalf and its tStat to judge whether a relationship has held up, not the first-half numbers.
Input
tickers: 2-40 symbols; every combination is analyzed (max 300 pairs per run)pairs: specific pairs such asXOM/CVXdataSource:yahooorcsvUrl(your own adjusted-close CSV: first column date, other columns tickers)years,formationDays,zWindow,significance,zThreshold,includeBacktest,costBps
Pricing
Pay per event: you are charged once per analyzed pair (pair-result). A summary is stored in the key-value store as SUMMARY.
Notes
- Yahoo Finance data is retrieved via the open-source
yfinancelibrary and is subject to Yahoo's terms. For commercial use, supply your own licensed data viacsvUrl. - Results depend on the window chosen and on survivorship of the tickers you pick.
