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From: 2019-09-11 To: 2021-01-01
HQ Analysis of BFS-D / BFS-E
There was not enough historical data preceeding 2019-09-11 available to plot all correlations and perform all backtests. Postpone the start date at least to 2020-08-14 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: BFS-D*(t) = β * BFS-E*(t) + α
Regression coefficient α:
1.915943
Regression coefficient β:
0.928378
Standard Deviation (σ):
0.281498
ADF test of residuals (p-value):
(<<0.0001)
95% confidence: residuals don't contain a unit root
99% confidence: residuals don't contain a unit root
Mean Reversion Coefficient (MRC):
-0.599239
Half-life:
1.16
Skewness:
1.3035
Kurtosis:
11.0308
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:

BFS-D / BFS-E
BFS-E / BFS-D
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.