Hello, when I do a back test for changing thes by look back period to 30, 45, 90…the Teat statistics and Eighen vector values (critical values @90 or 95 percent) are not changing but only the value to be compared is changing. Is this right?
- The 'Trace stats' and 'Eigen stats' should change as you change data or size of the data.
- The eigenvectors give us the equation of the mean-reverting linear combination of the time series. And the eigenvector would also change with change in data or size of data.
- The critical value will initially change but as the sample size is increased, it should remain more or less the same.