20260312

2026-03-12 00:38:01 +00:00
parent cf487995ca
commit 755d0a1e80
25 changed files with 1057 additions and 865 deletions
@@ -0,0 +1,19 @@
+{
+    "name": "VECM-OPTIMIZED",
+    "model_class": "pairs_trading.lib.pt_strategy.models.VECMModel",
+ 
+    "stat_model_price": "close", # "vwap"
+    "disequilibrium": {
+        # "open_trshld": 1.75,
+        # "close_trshld": 1.0
+
+        # Testing
+        "open_trshld": 0.75,
+        "close_trshld": 0.5
+    }
+
+ 
+    "model_data_policy_class": "pairs_trading.lib.pt_strategy.model_data_policy.ADFOptimizedWndDataPolicy",
+    "min_training_size": 60,
+    "max_training_size": 150,
+}
@@ -0,0 +1,18 @@
+{
+    "name": "VECM",
+    "model_class": "pairs_trading.lib.pt_strategy.models.VECMModel",
+    
+    "stat_model_price": "close", # "vwap"
+    "disequilibrium": {
+        # "open_trshld": 1.75,
+        # "close_trshld": 1.0
+
+        # Testing
+        "open_trshld": 0.75,
+        "close_trshld": 0.5
+    }
+
+
+    "training_size": 120,
+    "model_data_policy_class": "pairs_trading.lib.pt_strategy.model_data_policy.RollingWindowDataPolicy",
+}