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lib/statistics/cointegration/Cointegration.md
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| **PineScript** | [cointegration.pine](cointegration.pine) |
- The Cointegration indicator measures the long-run equilibrium relationship between two price series using the Engle-Granger two-step method with an...
- **Similar:** [Correlation](../correlation/Correlation.md), [Granger](../granger/Granger.md) | **Trading note:** Tests if two series share a long-run equilibrium. Foundation of statistical arbitrage (pairs trading).
- **Similar:** [Correl](../correl/Correl.md), [Granger](../granger/Granger.md) | **Trading note:** Tests if two series share a long-run equilibrium. Foundation of statistical arbitrage (pairs trading).
- Validated against TradingView PineScript reference and statistical property tests.
The Cointegration indicator measures the long-run equilibrium relationship between two price series using the Engle-Granger two-step method with an Augmented Dickey-Fuller (ADF) test. Unlike correlation, which measures short-term co-movement, cointegration tests whether two non-stationary series share a common stochastic trend—meaning they may diverge temporarily but are statistically bound to revert to their equilibrium relationship.