PairsTrading

The Augmented Dickey-Fuller (ADF) test is a hypothesis test that tests for the presence of a unit root in a time series. The test is based on a regression analysis of a time series model that may contain a constant term for drift and a trend term. If two or more time series are individually integrated (in the time series sense) but some linear combination of them has a lower order of integration, then the series are said to be cointegrated: this is the aim of the script. Follow the comments in the code :-) Good luck MaxAmbrogi