Cointegration
Methodology· DE: Kointegration
Two non-stationary (trending) series are cointegrated if a linear combination of them is stationary — i.e. they share a genuine long-run equilibrium rather than merely trending together. The precondition for any level-based "fair value": without it, a high levels-R² is spurious.
Calculation
Engle-Granger 2-step: OLS y~x → ADF test on the residuals (regression=none). Reject the unit root (test statistic below the MacKinnon EG critical value, N=2) → cointegrated. Durbin-Watson near 0 on the residuals signals the opposite (residual random walk).
Unit & source
p_value · tradingstrategies.work BTC-Liquidity-Fair-Value methodology
Related terms
Definitions are for research and education. Metrics describe market conditions — not financial advice or a buy/sell signal.