Interactive Tear Sheets for Cointegration and Ornstein–Uhlenbeck Analysis

Summary

This documentation describes interactive tear sheets for examining pairs research. The cointegration view presents individual asset stationarity test results and normalized prices, then reports Engle–Granger analysis for both portfolio orientations. It includes portfolio coefficients, test outcomes, price and return plots, and residual diagnostics such as autocorrelation, partial autocorrelation, and Q–Q plots. A Johansen section adds eigenvalue and trace test results and displays candidate cointegrating portfolios.

The OU-model tear sheet combines cointegration results with fitted spread dynamics, simulated process behavior, and a panel for exploring optimal stopping and liquidation levels. Users can change assumptions such as discount rate, transaction costs, and stop loss, with recalculation taking time. The page also explains how to run the interactive displays locally or inside Jupyter notebooks. These visualizations organize model outputs for inspection; the documentation does not provide evidence that a tested pair is profitable or address out-of-sample validation, parameter stability, or execution costs beyond the adjustable transaction-cost input.

Key ideas

• The cointegration tear sheet summarizes Engle–Granger and Johansen tests and related portfolio analyses.
• Residual diagnostics include statistical summaries, time series plots, autocorrelation plots, and Q–Q plots.
• The OU tear sheet displays fitted spread characteristics and a simulated process using the fitted parameters.
• Users can vary discount rate, transaction costs, and stop-loss assumptions to inspect optimal trading levels.
• The documentation describes visualization and deployment, not evidence of strategy profitability.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.