OPEN-SOURCE SCRIPT
Cointégration
This Pine Script v6 indicator approximates cointegration between ES and NQ futures by calculating a dynamic beta (hedge ratio) using manual covariance and variance on closing prices over a user-defined lookback period. It computes a mean-reverting spread as ES - (beta * NQ), then normalizes it into a Z-score for divergence detection. The script plots the Z-score with customizable thresholds and triggers alerts for potential trades, like long ES/short NQ when Z-score drops below -2. Add it to an ES1! or NQ1! chart for visualization, but backtest thoroughly as it's not a full statistical test.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.