Pair_cointegration.py

yf.pdr_override()

# Set the stock pairs
stock_pairs = [('AAPL', 'AMZN'), ('MSFT', 'AAPL'), ('AMZN', 'MSFT')]

# Set the start date and the end date
start_date = '2010-01-01'
end_date = '2022-10-16'

# Download stock price data for all pairs
data = pdr.get_data_yahoo([pair[0] for pair in stock_pairs] + [pair[1] for pair in stock_pairs], start=start_date, end=end_date)['Adj Close']

# Perform the Johansen Cointegration Test for all pairs
coint_test_result = coint_johansen(data, det_order=0, k_ar_diff=1)

# Extract the eigenvalues and critical values
tracevalues = coint_test_result.lr1
critical_values = coint_test_result.cvt

# Interpret the results for each pair
for i, (stock1, stock2) in enumerate(stock_pairs):
    if (tracevalues[i] > critical_values[:, 1]).all():
        print(f"Pair {i + 1} ({stock1} and {stock2}) is cointegrated.")
    else:
        print(f"Pair {i + 1} ({stock1} and {stock2}) is not cointegrated.")