I recently posted an introduction [http://viksalgorithms.blogspot.com/2012/01 /introduction-to-kaggle-algorithmic.html] to the Kaggle Algorithmic Trading Challenge [http://www.kaggle.com/c/AlgorithmicTradingChallenge], which I competed in. I said that I would post about my experiences, and this is hopefully the first of a series. We were given

Cointegration can be a valuable tool in determining the mean reverting properties of 2 time series. A full description of cointegration can be found on Wikipedia [http://en.wikipedia.org/wiki/Cointegration]. Essentially, it seeks to find stationary linear combinations of the two vectors. The below R code, which has