Top Engle-Granger Cointegration Regressions
This is the summary of the best performing Engle-Granger cointegration regressions evaluated by our engine. These regressions evaluate the stationarity of the spread between a target asset (Function Y) and a feature asset (Function X). We suggest prioritizing low ADF p-values indicating strong cointegration (the lower the ADF p, the more likely the spread is to revert to its mean). Among these low ADF p models, look for a sigma offset of 2 and above, or -2 and below, measured close to the current date. This indicates the current spread is at an extreme and highly likely to snap back. You can explore individual ticker components by utilizing the ticker selector (opens in a new tab) and searching for the asset in ETF or Stock search mode. Happy alpha searching!
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