Cointegration test for pairs

[stephen_mcse]

Is there any Ninjascript code or third party addon/indicator available to do cointegration test such as ****ey-fuller?

[NinjaTrader_JoshP]

stephen_mcse,

I am not aware of any shared on these forums.

[symbol]

CoIntegration Indicator

Stephen

There is now a NinjaTrader indicator to test for cointegration for spread trading (pairs trading). It performs an Augmented ****ey Fuller (ADF) test, returning the probability that two instruments are co-integrated.

There is a free trial you can download from the website www.professionalspreadtrading.com

Nick

[sborges]

The link mentioned on the previous post is not working anymore.
Does anyone know of any existing indicator / strategy code to test for cointegration?

[quantst]

Cointegration indicator

Hi, there is a cointegration indicator, using johansen test wich is actually better than ADF, but for now there is only a version for metatrader4. You can access the indicator in the following link