Cryptoval Trading Technologies
19 lines
483 B
INI
19 lines
483 B
INI
{
|
|
"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,
|
|
} |