Augmented Dickey-Fuller Cointegration Indicator, Version 1.01
5/23/2012: Moved ALGLIB routines to separate ALGLIB "Indicator". No functionality changes.
This is posted for BMT Elite Members Only. Please do not share or distribute.
This indicator plots the augmented Dickey-Fuller statistic for residuals from a cointegrating regression. It can be used to show the probability that the prices of 2 instruments are "cointegrated". It would normally be used on daily data with a fairly long period.
The horizontal lines plotted by the indicator are the "Critical Values" for 1% (lowest line), 5% and 10% (highest line) levels. The indicator plots the statistic; lower values represent increasing likelihood of cointegration.
Well Sidhu Moving Average takes best from all the different Adaptive moving averages and combines it into One Average.It utilizes FantailVMA1, FantailVMA3, Kaufman AMA and Chande 's VMA.While these averages have their own merits , however i couldnot be satisfied using just anyone of these because one exceled at smoothing the other at reponsiveness so i decided to adopt the middle path.This gave birth to SidhuMA.Its has option to select any one average to all the four different averages and what it does is, it plots the half of it on chart i.e (( Avg1 + Avg2 +Avg3+Avg4)/2) with WMA as smoothing factor.
The different averages can also be plotted on the chart along with the SidhuMA, just change the default color from transparent ot whatever you like.
This average gives you the best that is out there!
P.S :Special thanks to the creator of FantailVMA for doing an amazing job!
ZC minute data going back to 2007 and tick data going back to 2009.
Corn is a less popular contract that I think you'll find is very unique and easy to trade . Follow the instructions in the readme.txt file carefully (just 6 steps). Enjoy!