Top Constrained Ratio Spread Regression on Time Equations
This is the summary of the best performing Constrained Ratio Spread statistical regressions evaluated by our engine. These are regressions of a ticker expression over time (e.g. LOG(TICKER, 2) for a single ticker regression over time, or MINUS(LOG(TICKERA,2)-LOG(TICKERB,2)) for the ratio regression or better said: price spread regression). We suggest prioritizing low ADF p-values indicating cointegration (the lower the ADF p, the more likely the model is to revert to the mean). Among these low ADF p models, we recommend looking for a sigma offset of 2 and above, or -2 and below, for sigma offets measured close to the current date. Meaning the current price is at one of the extremmes of the model range and likely to snap back to the average like an elastic (ADF p). For some old models we did not collect the ticker names next to them on the report, but you can find the ticker names by going to the ticker selector (opens in a new tab) and searching for the ticker name in ETF or Stock search mode. Happy alpha searching!
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