Course Name: Mean Reversion Strategies In Python, Section No: 4, Unit No: 1, Unit type: Video
Hi,have a question about mean reverting strategies on EURCHF: if we apply the ADF test to the EURCHF cross the null hypothesis is not rejected, in practice the EURCHF series is not stationary and therefore does not have a reverting character. Why do we apply a mean reverting strategy to a series that isn't? thanks. bye
ADF Test applied to EURCHF
ADF Test Stats = -1.8820205218942259
Backend TkAgg is interactive backend. Turning interactive mode on.
ADF Critical Values {'1%': -3.4345353407734733, '5%': -2.86338857621683, '10%': -2.567754150088293}