Sorry to repost, but I didn't get any replies in the Numerical Methods sectionI've been working on a short-term mean revision strategy (approx 5 min) for a pair of US equities, and I'm wondering if ADF is used to trade pairs on an intra-day basis. I've calculated the ADF statistic to be -3.471 based on daily closing prices of the previous 12 months, but I'm not sure how that translates to this strategy - meaning which days are better than others. I've also calculated the ADF on an intra-day basis by using the 1-minute VWAPs of the two stocks, but I haven't seen any usable patterns (no signs of trending cointegration).Any suggestions would be greatly appreciated.

-3.4 is not a very good score if you have 1 year of daily data. I suggest you look for pairs with lower ADF scores.