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From: 2018-04-03 To: 2020-09-01
HQ Analysis of SPOT / AAPL
Symbol Title Sector Industry M.Cap.[M] Div Yield Last Close AvgVol 200d
SPOT Spotify Technology SA Communication Services Internet Content & Information 52122 260.2 1854212
AAPL Apple Inc Technology Consumer Electronics 2676236 0.0055 173.31 57619126
There was not enough historical data preceeding 2018-04-03 available to plot all correlations and perform all backtests. Postpone the start date at least to 2019-03-07 if you want to see the full analysis including all correlation plots and all backtest results.
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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: SPOT*(t) = β * AAPL*(t) + α
Regression coefficient α:
0.223828
Regression coefficient β:
2.646523
Standard Deviation (σ):
12.262151
ADF test of residuals (p-value):
0.5921
95% confidence: residuals seem to contain a unit root
99% confidence: residuals seem to contain a unit root
Mean Reversion Coefficient (MRC):
-0.008266
Half-life:
83.85
Skewness:
-0.3054
Kurtosis:
-1.0604
Doornik-Hansen normality test (p-value):
(<< 0.0001)
Normality test failed at 95% confidence
(<< 0.0001)
Normality test failed at 95% confidence
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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:

SPOT / AAPL
AAPL / SPOT
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.