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cointeg_vecm_2026-06-26.json
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| 1 |
+
{
|
| 2 |
+
"run_date": "2026-06-26",
|
| 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": -3.6937926948134185,
|
| 17 |
+
"half_life": 182.10858890731774,
|
| 18 |
+
"current_zscore": 1.6076732899409578,
|
| 19 |
+
"expected_return": -0.40193896384201594,
|
| 20 |
+
"direction": "SHORT",
|
| 21 |
+
"signal": "NEUTRAL",
|
| 22 |
+
"adf_pval": 0.8397113879489041,
|
| 23 |
+
"trace_stat": 19.41760104926952,
|
| 24 |
+
"crit_val": 15.4943,
|
| 25 |
+
"vecm_fitted": true
|
| 26 |
+
},
|
| 27 |
+
"COMBINED": {
|
| 28 |
+
"pair": "XLK/VNQ",
|
| 29 |
+
"ticker1": "XLK",
|
| 30 |
+
"ticker2": "VNQ",
|
| 31 |
+
"hedge_ratio": -9.01399380875919,
|
| 32 |
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"half_life": 68.99012403430521,
|
| 33 |
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"current_zscore": 2.204444085411898,
|
| 34 |
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"expected_return": -0.978556425433679,
|
| 35 |
+
"direction": "SHORT",
|
| 36 |
+
"signal": "SHORT",
|
| 37 |
+
"adf_pval": 0.6276002098574462,
|
| 38 |
+
"trace_stat": 16.179502575675592,
|
| 39 |
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"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 |
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"ticker2": "IWF",
|
| 50 |
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"hedge_ratio": -3.6937926948134185,
|
| 51 |
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"half_life": 182.10858890731774,
|
| 52 |
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"current_zscore": 1.6076732899409578,
|
| 53 |
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"expected_return": -0.40193896384201594,
|
| 54 |
+
"direction": "SHORT",
|
| 55 |
+
"signal": "NEUTRAL",
|
| 56 |
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"adf_pval": 0.8397113879489041,
|
| 57 |
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"trace_stat": 19.41760104926952,
|
| 58 |
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"crit_val": 15.4943,
|
| 59 |
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"vecm_fitted": true
|
| 60 |
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},
|
| 61 |
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{
|
| 62 |
+
"pair": "XLF/XLY",
|
| 63 |
+
"ticker1": "XLF",
|
| 64 |
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"ticker2": "XLY",
|
| 65 |
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"hedge_ratio": -0.31568523109965474,
|
| 66 |
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"half_life": 47.64507574798903,
|
| 67 |
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"current_zscore": 0.07493312277572792,
|
| 68 |
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"expected_return": -0.002748076100873675,
|
| 69 |
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"direction": "SHORT",
|
| 70 |
+
"signal": "EXIT",
|
| 71 |
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"adf_pval": 0.19096498402036255,
|
| 72 |
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"trace_stat": 15.64543694047066,
|
| 73 |
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"crit_val": 15.4943,
|
| 74 |
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"vecm_fitted": true
|
| 75 |
+
}
|
| 76 |
+
],
|
| 77 |
+
"COMBINED": [
|
| 78 |
+
{
|
| 79 |
+
"pair": "XLK/VNQ",
|
| 80 |
+
"ticker1": "XLK",
|
| 81 |
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"ticker2": "VNQ",
|
| 82 |
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"hedge_ratio": -9.01399380875919,
|
| 83 |
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"half_life": 68.99012403430521,
|
| 84 |
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"current_zscore": 2.204444085411898,
|
| 85 |
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"expected_return": -0.978556425433679,
|
| 86 |
+
"direction": "SHORT",
|
| 87 |
+
"signal": "SHORT",
|
| 88 |
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"adf_pval": 0.6276002098574462,
|
| 89 |
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"trace_stat": 16.179502575675592,
|
| 90 |
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"crit_val": 15.4943,
|
| 91 |
+
"vecm_fitted": true
|
| 92 |
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},
|
| 93 |
+
{
|
| 94 |
+
"pair": "XLV/TLT",
|
| 95 |
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"ticker1": "XLV",
|
| 96 |
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"ticker2": "TLT",
|
| 97 |
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"hedge_ratio": -4.345210184833882,
|
| 98 |
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"half_life": 40.884353852710504,
|
| 99 |
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"current_zscore": 1.1388597666071014,
|
| 100 |
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"expected_return": -0.26436773568187816,
|
| 101 |
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"direction": "SHORT",
|
| 102 |
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"signal": "NEUTRAL",
|
| 103 |
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"adf_pval": 0.29132652584909624,
|
| 104 |
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"trace_stat": 15.966962310334807,
|
| 105 |
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"crit_val": 15.4943,
|
| 106 |
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"vecm_fitted": true
|
| 107 |
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},
|
| 108 |
+
{
|
| 109 |
+
"pair": "XLE/VNQ",
|
| 110 |
+
"ticker1": "XLE",
|
| 111 |
+
"ticker2": "VNQ",
|
| 112 |
+
"hedge_ratio": -1.9879148311061552,
|
| 113 |
+
"half_life": 65.92707701171457,
|
| 114 |
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"current_zscore": 1.4395227896593532,
|
| 115 |
+
"expected_return": -0.1888990084566934,
|
| 116 |
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"direction": "SHORT",
|
| 117 |
+
"signal": "NEUTRAL",
|
| 118 |
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"adf_pval": 0.5664545156336551,
|
| 119 |
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"trace_stat": 15.956023998933693,
|
| 120 |
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"crit_val": 15.4943,
|
| 121 |
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"vecm_fitted": true
|
| 122 |
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},
|
| 123 |
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{
|
| 124 |
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"pair": "VNQ/IWM",
|
| 125 |
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"ticker1": "VNQ",
|
| 126 |
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"ticker2": "IWM",
|
| 127 |
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"hedge_ratio": -0.10372072425506083,
|
| 128 |
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"half_life": 59.8984774728669,
|
| 129 |
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"current_zscore": 2.1575015187637785,
|
| 130 |
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"expected_return": -0.1319485225551195,
|
| 131 |
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"direction": "SHORT",
|
| 132 |
+
"signal": "SHORT",
|
| 133 |
+
"adf_pval": 0.5682407174883973,
|
| 134 |
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"trace_stat": 15.582335607698129,
|
| 135 |
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"crit_val": 15.4943,
|
| 136 |
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"vecm_fitted": true
|
| 137 |
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},
|
| 138 |
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{
|
| 139 |
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| 516 |
+
},
|
| 517 |
+
"COMBINED": {
|
| 518 |
+
"pair": "GLD/XLE",
|
| 519 |
+
"expected_return": 0.06820741472348014
|
| 520 |
+
}
|
| 521 |
+
},
|
| 522 |
+
"n_observations": 912
|
| 523 |
+
},
|
| 524 |
+
"2024-2026": {
|
| 525 |
+
"start_year": 2024,
|
| 526 |
+
"start_date": "2024-01-01T00:00:00",
|
| 527 |
+
"top_pairs": {
|
| 528 |
+
"FI_COMMODITIES": {
|
| 529 |
+
"pair": "TLT/VNQ",
|
| 530 |
+
"expected_return": 0.07256812057543356
|
| 531 |
+
},
|
| 532 |
+
"EQUITY_SECTORS": {
|
| 533 |
+
"pair": "QQQ/IWF",
|
| 534 |
+
"expected_return": 0.30827360980055785
|
| 535 |
+
},
|
| 536 |
+
"COMBINED": {
|
| 537 |
+
"pair": "XSD/TLT",
|
| 538 |
+
"expected_return": 10.530360930149017
|
| 539 |
+
}
|
| 540 |
+
},
|
| 541 |
+
"n_observations": 652
|
| 542 |
+
}
|
| 543 |
+
}
|
| 544 |
+
}
|