diff --git a/arbitragelab/spread_selection/cointegration.py b/arbitragelab/spread_selection/cointegration.py index e7dc2b6d..e66c371b 100644 --- a/arbitragelab/spread_selection/cointegration.py +++ b/arbitragelab/spread_selection/cointegration.py @@ -133,8 +133,8 @@ def select_spreads(self, hedge_ratio_calculation: str = 'OLS', :param adf_cutoff_threshold: (float) ADF test threshold used to define if the spread is cointegrated. Can be 0.99, 0.95 or 0.9. :param hurst_exp_threshold: (float) Max Hurst threshold value. - :param min_crossover_threshold: (int) Minimum amount of mean crossovers per year. - :param min_half_life: (float) Minimum Half-Life of mean reversion value. + :param min_crossover_threshold: (int) Minimum amount of mean crossovers per analysed period. + :param min_half_life: (float) Minimum Half-Life of mean reversion value in units of time used. :return: (list) Tuple list of final pairs. """ @@ -171,8 +171,8 @@ def apply_filtering_rules(self, :param adf_cutoff_threshold: (float) ADF test threshold used to define if the spread is cointegrated. Can be 0.99, 0.95 or 0.9. :param hurst_exp_threshold: (float) Max Hurst threshold value. - :param min_crossover_threshold: (int) Minimum amount of mean crossovers per year. - :param min_half_life: (float) Minimum Half-Life of mean reversion value. + :param min_crossover_threshold: (int) Minimum amount of mean crossovers per analysed period. + :param min_half_life: (float) Minimum Half-Life of mean reversion value in units of time used. :return: (list) Tuple list of final pairs. """