Support Board
Date/Time: Thu, 28 Nov 2024 11:03:50 +0000
Augmented Dickey-Fuller Test
View Count: 926
| [2020-12-24 11:27:30] |
| User820318 - Posts: 40 |
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Dear SC Engineering Team, would it be possible to include the Augmented Dickey-Fuller Test (https://en.wikipedia.org/wiki/Augmented_Dickey–Fuller_test) in the studies collection? This is a key test to determine whether a time series exhibits properties of stationarity - an important feature for identifying mean reverting time series. Being able to apply the ADF test to portfolios of instruments is very important to developing mean reversion systems and as far as I can tell is not currently implemented in SC. Would you consider including this test in your studies offering? Many thanks and best wishes for Christmas and New Year. Date Time Of Last Edit: 2020-12-24 11:43:55
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| [2021-01-06 03:36:53] |
| SC Support Tom - Posts: 450 |
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We will eventually get to this. This test is from the subject of Time Series Analysis, which I have started studying recently. Specifically, I am working through the book Introduction to Time Series and Forecasting by Brockwell and Davis. I am just a couple of chapters into the book at the moment, and the Augmented Dickey-Fuller Test is in the middle of the book. Eventually, Sierra Chart will have a complete set of Time Series Analysis tools, and this Test will be included. We ask for your patience in the mean time. |
| [2023-05-17 18:53:01] |
| BombaFett - Posts: 3 |
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Hi, Are there any updates on progress? I would also love having this as an available study |
| [2023-05-17 20:27:58] |
| John - SC Support - Posts: 36350 |
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We are no longer specifically working on this. It doesn't necessarily mean that we will not do this someday, but we can not say at this time.
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