I have multiple trading signals developed using cointegration on the same stock using various correlated assets. Is there a mathematical way to combine them to achieve better entry/exit points and exploit more opportunities?


  • $\begingroup$ Do your signals give you just a trade, or do your signals give you an optimal position (that you then need to trade into)? $\endgroup$
    – John M
    Jun 9 '16 at 4:19
  • $\begingroup$ It gives a trade's entry and exit points based on the z-score transformation of the error. $\endgroup$
    – A1122
    Jun 9 '16 at 4:24

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