Not logged in.

Please log in or sign up to get more functionality and access your account.

User Log In


×

Forgotten Username

Please provide your e-mail address and we will send the list of all your registered usernames to you...

×

Forgotten Password

Please provide your username and e-mail address and we will send a link to reset your password to your mailbox...

×

User Log Out

Are you sure to log out now?

×
From: 2012-01-02 To: 2015-03-01
HQ Analysis of AAPL / GOOGL
Symbol Title Sector Industry M.Cap.[M] Div Yield Last Close AvgVol 200d
AAPL Apple Inc Technology Consumer Electronics 2647977 0.0056 171.48 57679060
GOOGL Alphabet Inc Class A Communication Services Internet Content & Information 1881666 150.93 29612836
loading

Orthogonal Spread Analysis

Here we apply an orthogonal regression (also known as total least squares) to both price series. We are interested in some key statistical properties (like β, ...) and in analysing orthogonal residuals:

TLS: AAPL*(t) = β * GOOGL*(t) + α
Regression coefficient α:
57.135412
Regression coefficient β:
0.056605
Standard Deviation (σ):
15.201470
ADF test of residuals (p-value):
0.9350
95% confidence: residuals seem to contain a unit root
99% confidence: residuals seem to contain a unit root
Mean Reversion Coefficient (MRC):
-0.000527
Half-life:
1315.44
Skewness:
0.4373
Kurtosis:
-0.6241
Doornik-Hansen normality test (p-value):
(<< 0.0001)
Normality test failed at 95% confidence
(<< 0.0001)
Normality test failed at 95% confidence
loading

Cointegration Analysis

In this section, Engle-Granger cointegration test is performed using OLS regression method in both directions. Residuals of the regression are plotted and analyzed further:

AAPL / GOOGL
GOOGL / AAPL

Profit Analysis

Profit analysis is a set of backtests performed using multiple pair trading models over significant portion of parameter space. Backtest results are displayed in a form of scatter plot. In addition, you can see aggregated statistics in the left panel. All backtests are performed using 100% margin (leverage 1:1). This is the profit analysis where backtested strategies are allowed to open both long and short positions:

AAPL / GOOGL
GOOGL / AAPL

This is the profit analysis where backtested strategies are allowed to open long positions only:

AAPL / GOOGL
GOOGL / AAPL

This is the profit analysis where backtested strategies are allowed to open short positions only:

AAPL / GOOGL
GOOGL / AAPL
FB LN TW

Disclaimer: Backtested, simulated or hypothetical performance results have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. There are numerous factors related to the stock market in general and to the implementation of any stock market timing program, which cannot be fully accounted for in the preparation of hypothetical performance results. The backtested results listed here do not take into consideration slippage, fees, taxes, or dividends and interest earned on cash positions. These factors would affect actual trading results. Simulated, backtested or hypothetical stock trading systems in general are also subject to the fact that they are designed with the benefit of hindsight. Backtested performance does not represent actual performance and should not be interpreted as an indication of such performance. No representation is being made that you will or is likely to achieve profits or losses similar to these being shown. This site provides impersonal educational stock trading information, and therefore, no consideration can or is made toward your financial circumstances. All material presented within is not to be regarded as investment advice, but for general informational purposes only.