gistfile1.txt

#importing libraries
import statsmodels.api as stat
import statsmodels.tsa.stattools as ts
import quandl

#fetching financial data for two securities from Quandl
data1 = quandl.get("CHRIS/MCX_AL1", start_date="2016-11-01", api_key= 'U_PJwA55r5u8Lz_uFJ6L')
data2 = quandl.get("CHRIS/MCX_PB1", start_date="2014-04-01", api_key= 'U_PJwA55r5u8Lz_uFJ6L')

#printing the first 5 rows of our fetched data
print (data1.head())
print (data2.head())

#performing ADF test on the closing prices of fetched data
result = stat.OLS(data1['Close'], data2['Close']).fit()
c_t= ts.adfuller(result.resid)

#checking whether the pair of securities is co-integrated and printing the result
if c_t[0] <= c_t[4]['10%'] and c_t[1]<= 0.1:
   print("Pair of securities is co-integrated")
else:
   print("Pair of securities is not co-integrated")
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