OPEN-SOURCE SCRIPT
trading YM based on pair trading
This is inspired by some online free webinars. Didn't pay for the strategy/ course. I just figured it out myself. So there might be problem with this strategy.
Theory: It is based on something called cointegrated. Cointegration means the difference between 2 securities are stable in long term. When the difference is bigger / smaller than normal, then there is space to make profit. You can use some tests to check if they are cointegration. I don't think YM and NQ are strictly cointegrated. I used other platform to test the cointegration. They are not cointegrated. There are multiple ways to do pair trading. I use "Y = A - B * (A /B)" to do this. The back test on tradingview can only trade one security. This is not pair trading in this backtest. But only do long and short based on the theory of pair trading. The max drawdown is huge. You should be careful before doing anything with this strategy.
Welcome to give some advice on improvement.
Theory: It is based on something called cointegrated. Cointegration means the difference between 2 securities are stable in long term. When the difference is bigger / smaller than normal, then there is space to make profit. You can use some tests to check if they are cointegration. I don't think YM and NQ are strictly cointegrated. I used other platform to test the cointegration. They are not cointegrated. There are multiple ways to do pair trading. I use "Y = A - B * (A /B)" to do this. The back test on tradingview can only trade one security. This is not pair trading in this backtest. But only do long and short based on the theory of pair trading. The max drawdown is huge. You should be careful before doing anything with this strategy.
Welcome to give some advice on improvement.
開源腳本
秉持TradingView一貫精神，這個腳本的創作者將其設為開源，以便交易者檢視並驗證其功能。向作者致敬！您可以免費使用此腳本，但請注意，重新發佈代碼需遵守我們的社群規範。
免責聲明
這些資訊和出版物並非旨在提供，也不構成TradingView提供或認可的任何形式的財務、投資、交易或其他類型的建議或推薦。請閱讀使用條款以了解更多資訊。
開源腳本
秉持TradingView一貫精神，這個腳本的創作者將其設為開源，以便交易者檢視並驗證其功能。向作者致敬！您可以免費使用此腳本，但請注意，重新發佈代碼需遵守我們的社群規範。
免責聲明
這些資訊和出版物並非旨在提供，也不構成TradingView提供或認可的任何形式的財務、投資、交易或其他類型的建議或推薦。請閱讀使用條款以了解更多資訊。