python equivalent for MATLABS vratiotest
Question:
I am following the book Algorithmic Trading
and I am on Chapter 2: The Basics of Mean Reversion
.
I have a few pairs and their close prices and I want to check the spread of which pair is mean-reverting.
The book uses MATLAB for all its programming and I am using Python.
First, there was a mention of adf
function in MATLAB’s package and its equivalent python code is:
from statsmodels.tsa.stattools import adfuller
ad = adfuller(spread, maxlag = 1)
Then there is a mention of cadf
and I think its equivalent python code is:
from statsmodels.tsa.stattools import coint
t_statistic, p_value, crit_value = coint(x, y)
However, I cannot find the python equivalent for MATLAB
‘s vratiotest
.
Please let me know if there is a python function which performs same as MATLAB
‘s vratiotest
.
Answers:
These may not be exactly what you are looking for:
https://arch.readthedocs.io/en/latest/unitroot/generated/arch.unitroot.VarianceRatio.html
arch.unitroot.VarianceRatio
from arch.unitroot import VarianceRatio
Here is the python code for Variance Ratio Test – Lo and MacKinlay
I am following the book Algorithmic Trading
and I am on Chapter 2: The Basics of Mean Reversion
.
I have a few pairs and their close prices and I want to check the spread of which pair is mean-reverting.
The book uses MATLAB for all its programming and I am using Python.
First, there was a mention of adf
function in MATLAB’s package and its equivalent python code is:
from statsmodels.tsa.stattools import adfuller
ad = adfuller(spread, maxlag = 1)
Then there is a mention of cadf
and I think its equivalent python code is:
from statsmodels.tsa.stattools import coint
t_statistic, p_value, crit_value = coint(x, y)
However, I cannot find the python equivalent for MATLAB
‘s vratiotest
.
Please let me know if there is a python function which performs same as MATLAB
‘s vratiotest
.
These may not be exactly what you are looking for:
https://arch.readthedocs.io/en/latest/unitroot/generated/arch.unitroot.VarianceRatio.html
arch.unitroot.VarianceRatio
from arch.unitroot import VarianceRatio
Here is the python code for Variance Ratio Test – Lo and MacKinlay