Using heteroskedasticity to trade FCPO is my idea, I think no one has thought of that in Malaysia.
When CADF (co-integrated Augmented Dickey Fuller Test) shows a good mean revert property, its a good timing to do a counter trend (or range) trading.
From our residual plot, SepOct 18 seems to have a good opportunity for a short (Short Sept, Long Oct). Thus we may short the next day. The results seems to be good, with +57 ticks profit for Outright Sept contract short , and +16 ticks for SepOct Spread contracts short.
Next, we analyse the upcoming opportunity for next week, and residual plot will give hints of opportunity.
It seems that JanFeb is a good short, and DecJan is a good long. Combine will form a long Butterfly Dec-Jan-Feb.
NovDec is a also a good long.
However, the CADF values are crucial. Ensures its more negative than -3.000 will have higher odds of mean reversion. Of this, most spread pairs are OK, except OctNov. Thus dont do OctNov spread next week.