【Pair Trading】 Cointegration Test — A Key to Find High Probability Trading Strategy
12 min readMar 5, 2023
Cointegration is a statistical technique to find out whether a time series closely follows the movement of the other time series. Therefore, it becomes an important technique in the pair trading strategy for us to determine the right stock pair to trade with. In this post, we’re going to see why traders prefer using the cointegration test over the correlation test in pair trading, and whether the cointegration test results can boost our trading performance.
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