johansen

Here are 2 public repositories matching this topic...

Indemos / Estimator

Statistics and performance metrics in trading, CAGR, Sharpe, MAE, MFE, and others. Cointegration and option pricing.

finance performance options trading analysis metrics forex stocks futures strategies cointegration black-scholes backtesting johansen

Updated Jun 4, 2025
C#

gustavlan / cointegration-analysis

Star

Open-source cointegration & pairs-trading research package: CLI + tests + CI; Engle–Granger/Johansen, OU/ECM diagnostics, and walk-forward backtests with cost/benchmark controls..

finance time-series statsmodels cointegration pairs-trading backtesting johansen engle-granger

Updated Jan 3, 2026
Python

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