Support Board
Date/Time: Thu, 28 Nov 2024 11:02:14 +0000
Post From: Augmented Dickey-Fuller Test
| [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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