Comment on Live Example -1

KUMAR MAYANK commented on 03 Jun 2018, 12:15 PM

Hello sir
When I run the regression b/w Unionbank & ALBK for past 200 days beginning from 2nd of Aug’17, the trading signal generated on 22nd May. The important parameters are as follows:
Unionbank(X) and ALBK(Y)
BETA: 0.437861306
INTERCEPT: 7.503194585 (19% of ALBK price)
STD_ERR: 2.714924731
Z-SCORE : -2.64
ADF: 0.0601(Lag length 14,Schwarz info criterion)
The trading signal was generated on 22nd May to go long on ALBK and short on Unionbank. Oh my God! It is just opposite of what you traded. I have cross checked my regression analysis. Please help me, sir.
Thanks

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