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Pair Trading Cointegration Tester
Engle-Granger cointegration test: OLS hedge ratio, ADF on residuals, OU half-life, rolling z-score with entry/exit bands. Runs in your browser. Free.
- Inputs
- Paste + configure
- Runtime
- 1–15 s
- Privacy
- Client-side · no upload
- API key
- Not required
- Methodology
- Open →
1 · Upload two price series
Format: date,asset_a,asset_b. The first numeric column is treated as A, the second as B. Prices are log-transformed internally; the regression is log A = α + β · log B + ε. Needs ≥ 60 aligned observations.
2 · Parameters
What this tool computes
Full Engle-Granger cointegration test on a price pair, plus Ornstein-Uhlenbeck mean-reversion half-life and rolling z-score of the spread for entry/exit simulation. Load the cointegrated synthetic demo or upload your own two-column price CSV.
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