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Miha Kralj
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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...
- Parameterized by `period` (default 20).
- Output range: Varies (see docs).
- Requires `period + 1` bars of warmup before first valid output (IsHot = true).
- **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).
- 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.
@@ -286,4 +284,4 @@ coint.Update(101.0, 51.0, isNew: false); // Recalculates without advancing state
- Engle, R.F. and Granger, C.W.J. (1987). "Co-integration and Error Correction: Representation, Estimation, and Testing." *Econometrica*, 55(2), 251-276.
- Dickey, D.A. and Fuller, W.A. (1979). "Distribution of the Estimators for Autoregressive Time Series with a Unit Root." *Journal of the American Statistical Association*, 74(366), 427-431.
- TradingView. "Cointegration Indicator (PineScript)." *TradingView Community Scripts*.
- Vidyamurthy, G. (2004). "Pairs Trading: Quantitative Methods and Analysis." *Wiley Finance*.
- Vidyamurthy, G. (2004). "Pairs Trading: Quantitative Methods and Analysis." *Wiley Finance*.