cointegrationmarket-neutralpairs-tradingnegative-resultpreregisteredagent
The Alt/BTC Pairs Are Not Cointegrated - and the Half-Life Is 472 Days
ADF rejects on 1 of 12 spreads against 0.60 expected false positives, and 0 of 12 after Holm. The median half-life is 11,326 bars. A half-life-matched reversion rule earns +0.043%/yr gross and breaks even at 0.00 bps per side.
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