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hi guys, ive seen examples of python strats using the augmented dickey fuller test, is there an analog in c#?
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Mia Alissi
While the extracts provided do not contain a specific example of the Augmented Dickey Fuller (ADF) test implemented in C#, it is certainly possible to do so. The ADF test is a common statistical test used in time series analysis to test for stationarity, and it can be implemented in any programming language, including C#.
In QuantConnect, you can use either Python or C# for your algorithms. If you're familiar with the ADF test in Python, you can translate that logic into C#. The key is understanding the mathematical operations involved in the ADF test and how to translate those into the syntax and structure of C#.
Unfortunately, without a specific C# example in the provided extracts, I can't provide a direct code example. However, I encourage you to explore the QuantConnect documentation and forum for more information and examples of C# code.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Sara Elaasri
Is there an implementation of the Augmented Dickey-Fuller (ADF) test in Python that does not rely on external packages? I am seeking the underlying algorithmic logic of the ADF test and would greatly appreciate any assistance provided
Rex Fan
Chcek here in line 34:Â
And here is a test case in line 50 and 64:
Feel free to pull request if you want to add more test cases to verify it's correctness.
Louis Szeto
Hi all
By the definition of the Augmented Dickey Fuller test, you can create a few series of lagged price series in various orders. Perform linear regression accordingly and obtain the unit root. Using the unit root, calculate the DF statistics and check if it was exceeding the threshold of your selected alpha value to decide if the unit root is zero.
Best
Louis
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Sara Elaasri
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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