The **Pairs Trading Cointegration Pro Suite** is an institutional-grade, high-performance statistical arbitrage trading suite comprising four advanced indicators:
Based on Modern Portfolio Theory and econometric cointegration, the suite decomposes the pricing relationship of two correlated assets into a stationary, volatility-normalized spread.
While traditional retail pairs trading methods rely on simple price correlation (which is highly unstable and prone to structural drift), this suite utilizes a dynamic rolling **Ordinary Least Squares (OLS) mathematical engine**. It dynamically calculates the rolling Hedge Ratio ($\beta$) and Intercept ($\alpha$) between any two assets to extract the true stationary spread.
Featuring **VWAP-style Anchored Resets** (Session, Weekly, Monthly, and Custom Session), the indicators can completely isolate intraday/intraweek price relationships from overnight gaps and illiquidity, delivering a highly visual and robust quantitative scanner system.
The statistical calculations operate on synchronized close prices for Asset $A$ ($P_{A,t}$) and Asset $B$ ($P_{B,t}$) over an active rolling or anchored window of size $N$ (`window_size`):
The calculator computes the rolling mean of Asset $A$ ($\bar{A}$) and Benchmark $B$ ($\bar{B}$). It solves the OLS regression of $A$ on $B$ to find the dynamic Hedge Ratio ($\beta$) and Intercept ($\alpha$):
The spread at each bar $t$ within the window is calculated. Because we subtract the OLS intercept ($\alpha_i$), the rolling mean of this spread over the window is **algebraically guaranteed to be exactly 0.0**:
The final Z-Score is calculated, representing how many standard deviations the current spread has drifted away from its statistical equilibrium of $0.0$:
By rearranging the spread equation back to the price space of Asset $A$, the suite projects the dynamic statistical boundaries directly onto the main price chart:
When trading in a Multi-Timeframe (MTF) environment (e.g. tracking $M5$ cointegration on an $M1$ chart), a distinct structural divergence occurs between the main-chart bands and the separate-window oscillator:
You may observe the lower timeframe price (M1) pierce the M5 outer band on the main chart, while the separate-window MTF Z-Score remains neutral (Gray).
* **The Reason:** The main chart compares the **live, real-time lower-timeframe price ($P_{A, \text{ltf}}$)** against the static higher-timeframe band. If the price spikes violently during the 5-minute interval, it will visually pierce the band. However, the **Pure MTF Oscillator** computes the Z-Score using the **closed higher-timeframe price ($P_{A, \text{htf}}$)**. Since the 5-minute candle hasn't closed yet or its average close is lower, the pure HTF Z-Score remains neutral.
* **Pure MTF (Default):** Calculates everything strictly on the higher timeframe. It provides the highest statistical stability and filters out intraday/micro-timeframe false breakouts.
* **Hybrid MTF (Optional Custom Setup):** Uses the higher timeframe's stable structural parameters ($\beta_{\text{htf}}$, $\alpha_{\text{htf}}$, and $\sigma_{\text{spread, htf}}$), but computes the Z-Score numerator using the live lower-timeframe price ($P_{A, \text{ltf}}$).
*Under this hybrid model, the separate window Z-Score is mathematically guaranteed to cross the $\pm 2.0$ boundaries at the exact second the price pierces the bands on the main chart.*
To ensure statistical validity, only trade assets that share a **fundamental, structural, or macroeconomic link**. Below are the most robust, cointegrated global pairs optimized for live execution, mapped in `PairsTrading_Preset_Manager.mqh`:
| Asset Class | Symbol A | Symbol B | Recommended TF | Lookback / Anchor | Inner / Outer Mult | Trading Style & Concept |
