There is no pair with different than COINT = 3.

[PZapryanov]

Hello, First I want to thank you for the good COINT back testing model shared. It's great! But, there is no case in which coint is equal on different level than 3. I've tried with symbols who give coint = 1 in the Python Cointegration library, but here the result is still "3". I used the symbols "TLT" vs "TMF" who tend to be fully cointegrated. I also want to point one more thing I believe it's wrong and namely the "cumulative return" calculation: CumReturn = (CumReturn + 1) * (1 + r) - 1; This is a one trade - the current trade return formula. Then the program adds it to an array of returns "returnSeries", but at the end as a result for the whole strategy I believe program should accumulate the returns from every trade and show it instead the "CumReturn" calculated as above. Program should calculate all the returns stored in "returnSeries" elements and show it as a result for the whole strategy.