whenever the temporary correlation weakens which means one instrument going up and another going down.
Here, instead of two different instruments two timeframes of the same instrument are used, lower and higher.
i could not understand the logic behind using two t/f for cointegration calculation and how to interpret it. i want to check coint b/w audusd and nzdusd on daily close basis for last 252 days.
recently i moved to west indices from India. i am doing pair trading in Indian market since long, but i use EOD data for stocks and calculate co-integration with help of amibroker and python severs. i have to move to currency market b/o time diff between my home country and west indices.
please enlighten me. thanks.