Pair Trading > Models, Algorithms & Approaches

I want to get the cointegration p-value using Python: which package best to use?

(1/1)

JackBeach:
Hello, Karel & Community,

While the PTL database is amazing and pretty accurate (backtesting and actually trading the pair seem aligned in term of perf), I need to compute the cointegration p-value using Python for some reasons.

I've been doing a lot of research, but there are soooo many Python packages available out there to compute the p-value, that I would like to know which one you recommend, and why?

Examples of python packages providing the calculation of the p-value:

* One step only: statsmodels.tsa.stattools with coint()
* Two steps: statsmodels.api with OLS() + statsmodels.tsa.stattools with adfuller()
* scipy.stats with linregress()
* Etc.

Navigation

[0] Message Index