Commodity Trading AdvisorAsset Management
Statistical Arbitrage CTA Cointegration Analysis Process
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Statistical Arbitrage CTA Cointegration Analysis Process

1
Data Collection and Cleaning
2
Identify Cointegration Pairs
3
Determine Trading Universe
4
Calculate Historical Spread
5
Model Parameter Optimization
6
Backtesting Strategy Performance
7
Risk Management Implementation
8
Set Entry and Exit Rules
9
Develop Execution Strategy
10
Perform Stress Testing
11
Approval: Risk Management Implementation
12
Implement Trading Strategy
13
Monitor Live Trading
14
Performance Evaluation
15
Strategy Iteration and Improvement