I am looking for two primary things from this project:
**Part 1**
I am looking for someone to optimize the code highlighted in this webinar.
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The scripts which they use are available for download here:
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I would like to be able to give an input stream of data to this script in real time. The script should be able to input the data and output buy/sell/neutral signals accordingly. I would like to see a couple of graphs which update in real time. For example: Price, Profit/loss, sell signal, etc
**Part 2**
In addition to the above, I would like to see a script use the Johansen procedure in the determination of cointegrating relationship in multiple-assets. This means a basket of stocks, for example 3 stocks instead of the two used in this webinar.
This part of the project will need a brief write up explaining to me how this works in principal. I understand cointegration, and can conceptualize it when in pairs. I however need someone to educate me on how the principle works when applied to 3 or more variables.
All code is expected to be very well commented.