Intermediate
Practice Drills: Building a Cointegration Test for a Pairs Trade
A hands-on drill course for quant analyst aspirants, prop trading applicants, and traders systematizing their approach. You will take two NSE stocks from raw price data to a defensible pass or fail verdict on cointegration: unit root tests on each leg, an OLS hedge ratio, the Engle-Granger residual test with the right critical values, half-life of mean reversion, and rolling-window stability checks. Every step is worked by hand first, then automated in Python.
CointegrationAugmented Dickey-Fuller TestEngle-Granger MethodPairs TradingPython for Quant Finance
MODULES
4
DURATION
~2.5 hrs
TRACK
Quantitative Finance
What You'll Master
How to pull, clean, and align price data for two NSE stocks so the test is not corrupted by splits, bonuses, or missing days
How to run and read an Augmented Dickey-Fuller test on each leg, by hand and with statsmodels
How to estimate a hedge ratio with OLS and test the residual spread for stationarity using the correct critical values
How to measure the half-life of mean reversion and judge whether a pair is tradeable on a practical horizon
How to stress-test a cointegration result with rolling windows, reversed regressions, and a Johansen cross-check
How to score candidate pairs on a pass or fail checklist before committing any capital
Access Level
LEARNER
Everything included
Full Text Playbooks
Actionable Exercises
Mobile Reading Mode
Lifetime Updates