Pair Trading Lab Helpdesk & Forum

Pair Trading => Models, Algorithms & Approaches => Topic started by: JackBeach on August 26, 2022, 12:02:33 pm

Title: I want to get the cointegration p-value using Python: which package best to use?
Post by: JackBeach on August 26, 2022, 12:02:33 pm

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.