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From: 2021-12-08 To: 2023-09-01
HQ Analysis of CRGY / CRK
Symbol Title Sector Industry M.Cap.[M] Div Yield Last Close AvgVol 200d
CRGY Crescent Energy Co Energy Oil & Gas E&P 2195 0.0388 12.37 1288782
CRK Comstock Resources Inc Energy Oil & Gas E&P 3159 0.068 10.81 3929205
There was not enough historical data preceeding 2021-12-08 available to plot all correlations and perform all backtests. Postpone the start date at least to 2022-11-09 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: CRGY*(t) = β * CRK*(t) + α
Regression coefficient α:
7.357125
Regression coefficient β:
0.467386
Standard Deviation (σ):
1.826689
ADF test of residuals (p-value):
0.0604
95% confidence: residuals seem to contain a unit root
99% confidence: residuals seem to contain a unit root
Mean Reversion Coefficient (MRC):
-0.025817
Half-life:
26.85
Skewness:
0.8534
Kurtosis:
-0.4280
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:

CRGY / CRK
CRK / CRGY
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.