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Browse files- cointeg_vecm_2026-06-16.json +610 -0
cointeg_vecm_2026-06-16.json
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| 1 |
+
{
|
| 2 |
+
"run_date": "2026-06-16",
|
| 3 |
+
"config": {
|
| 4 |
+
"lookback_window": 504,
|
| 5 |
+
"johansen_signif": 0.05,
|
| 6 |
+
"z_entry": 2.0,
|
| 7 |
+
"z_exit": 0.5,
|
| 8 |
+
"tail_warning_today": false
|
| 9 |
+
},
|
| 10 |
+
"daily_trading": {
|
| 11 |
+
"top_picks": {
|
| 12 |
+
"EQUITY_SECTORS": {
|
| 13 |
+
"pair": "QQQ/IWF",
|
| 14 |
+
"ticker1": "QQQ",
|
| 15 |
+
"ticker2": "IWF",
|
| 16 |
+
"hedge_ratio": -4.281512731024133,
|
| 17 |
+
"half_life": 565.2852101999694,
|
| 18 |
+
"current_zscore": 2.5206877436307145,
|
| 19 |
+
"expected_return": -0.20728999754630204,
|
| 20 |
+
"direction": "SHORT",
|
| 21 |
+
"signal": "SHORT",
|
| 22 |
+
"adf_pval": 0.9532521427032198,
|
| 23 |
+
"trace_stat": 25.199668857978352,
|
| 24 |
+
"crit_val": 15.4943,
|
| 25 |
+
"vecm_fitted": true
|
| 26 |
+
},
|
| 27 |
+
"COMBINED": {
|
| 28 |
+
"pair": "XSD/VNQ",
|
| 29 |
+
"ticker1": "XSD",
|
| 30 |
+
"ticker2": "VNQ",
|
| 31 |
+
"hedge_ratio": -47.197779083734055,
|
| 32 |
+
"half_life": 64.889460602775,
|
| 33 |
+
"current_zscore": 2.6535662039234054,
|
| 34 |
+
"expected_return": -6.7276392763746165,
|
| 35 |
+
"direction": "SHORT",
|
| 36 |
+
"signal": "SHORT",
|
| 37 |
+
"adf_pval": 0.6175630984432015,
|
| 38 |
+
"trace_stat": 29.90780154969262,
|
| 39 |
+
"crit_val": 15.4943,
|
| 40 |
+
"vecm_fitted": true
|
| 41 |
+
}
|
| 42 |
+
},
|
| 43 |
+
"all_pairs": {
|
| 44 |
+
"FI_COMMODITIES": [],
|
| 45 |
+
"EQUITY_SECTORS": [
|
| 46 |
+
{
|
| 47 |
+
"pair": "QQQ/IWF",
|
| 48 |
+
"ticker1": "QQQ",
|
| 49 |
+
"ticker2": "IWF",
|
| 50 |
+
"hedge_ratio": -4.281512731024133,
|
| 51 |
+
"half_life": 565.2852101999694,
|
| 52 |
+
"current_zscore": 2.5206877436307145,
|
| 53 |
+
"expected_return": -0.20728999754630204,
|
| 54 |
+
"direction": "SHORT",
|
| 55 |
+
"signal": "SHORT",
|
| 56 |
+
"adf_pval": 0.9532521427032198,
|
| 57 |
+
"trace_stat": 25.199668857978352,
|
| 58 |
+
"crit_val": 15.4943,
|
| 59 |
+
"vecm_fitted": true
|
| 60 |
+
},
|
| 61 |
+
{
|
| 62 |
+
"pair": "XLP/XSD",
|
| 63 |
+
"ticker1": "XLP",
|
| 64 |
+
"ticker2": "XSD",
|
| 65 |
+
"hedge_ratio": -0.012850902617991178,
|
| 66 |
+
"half_life": 74.2366806162024,
|
| 67 |
+
"current_zscore": 1.9916897411766126,
|
| 68 |
+
"expected_return": -0.07770590841620956,
|
| 69 |
+
"direction": "SHORT",
|
| 70 |
+
"signal": "NEUTRAL",
|
| 71 |
+
"adf_pval": 0.6578383255971428,
|
| 72 |
+
"trace_stat": 15.5322464697432,
|
| 73 |
+
"crit_val": 15.4943,
|
| 74 |
+
"vecm_fitted": true
|
| 75 |
+
},
|
| 76 |
+
{
|
| 77 |
+
"pair": "XLF/XLY",
|
| 78 |
+
"ticker1": "XLF",
|
| 79 |
+
"ticker2": "XLY",
|
| 80 |
+
"hedge_ratio": -0.30381860039827036,
|
| 81 |
+
"half_life": 51.07547540038753,
|
| 82 |
+
"current_zscore": 0.8113939999703695,
|
| 83 |
+
"expected_return": -0.027700496761296937,
|
| 84 |
+
"direction": "SHORT",
|
| 85 |
+
"signal": "NEUTRAL",
|
| 86 |
+
"adf_pval": 0.2269732750120788,
|
| 87 |
+
"trace_stat": 18.291468747944894,
|
| 88 |
+
"crit_val": 15.4943,
|
| 89 |
+
"vecm_fitted": true
|
| 90 |
+
},
|
| 91 |
+
{
|
| 92 |
+
"pair": "XLK/IWF",
|
| 93 |
+
"ticker1": "XLK",
|
| 94 |
+
"ticker2": "IWF",
|
| 95 |
+
"hedge_ratio": -0.7659073068297669,
|
| 96 |
+
"half_life": Infinity,
|
| 97 |
+
"current_zscore": 2.8306614534156536,
|
| 98 |
+
"expected_return": 0.0,
|
| 99 |
+
"direction": "SHORT",
|
| 100 |
+
"signal": "SHORT",
|
| 101 |
+
"adf_pval": 0.9827344321541268,
|
| 102 |
+
"trace_stat": 15.669461588488053,
|
| 103 |
+
"crit_val": 15.4943,
|
| 104 |
+
"vecm_fitted": true
|
| 105 |
+
}
|
| 106 |
+
],
|
| 107 |
+
"COMBINED": [
|
| 108 |
+
{
|
| 109 |
+
"pair": "XSD/VNQ",
|
| 110 |
+
"ticker1": "XSD",
|
| 111 |
+
"ticker2": "VNQ",
|
| 112 |
+
"hedge_ratio": -47.197779083734055,
|
| 113 |
+
"half_life": 64.889460602775,
|
| 114 |
+
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