In this Script, you can get a clear indication about the trend strength and trend direction.
Legend:
Green Line --> DI+ (Positive)
Red Line --> DI- (Negative)
Black Line --> ADX
How to read this indicator:
1. When DI+ is above DI-, it means there is upward trend
2. When DI+ is below DI-, it means there is downward trend
3. When ADX is below 20, there is...
Decsription: Auto-Cointegration-Based Pair Trading Strategy (revised version)
To review, there are three popular styles of Pair trading: distance-based pair trading, correlation-based pair trading and cointegration-based pair trading. Typically, they require preliminary statistical estimation of the viability of the corresponding strategy.
Basically a pair trade...