diff --git a/configuration/equity.cfg b/configuration/equity.cfg
index 3247532..c17476c 100644
--- a/configuration/equity.cfg
+++ b/configuration/equity.cfg
@@ -19,8 +19,8 @@
"dis-equilibrium_close_trshld": 1.0,
"training_minutes": 120,
"funding_per_pair": 2000.0,
- "strategy_class": "strategies.StaticFitStrategy"
- # "strategy_class": "strategies.SlidingFitStrategy"
+ # "strategy_class": "strategies.StaticFitStrategy"
+ "strategy_class": "strategies.SlidingFitStrategy"
"exclude_instruments": ["CAN"]
}
\ No newline at end of file
diff --git a/src/notebooks/pt_pair_backtest.ipynb b/src/notebooks/pt_pair_backtest.ipynb
new file mode 100644
index 0000000..0185c84
--- /dev/null
+++ b/src/notebooks/pt_pair_backtest.ipynb
@@ -0,0 +1,1390 @@
+{
+ "cells": [
+ {
+ "cell_type": "markdown",
+ "metadata": {
+ "vscode": {
+ "languageId": "raw"
+ }
+ },
+ "source": [
+ "# Pairs Trading Backtest Notebook\n",
+ "\n",
+ "This comprehensive notebook supports both StaticFitStrategy and SlidingFitStrategy.\n",
+ "It automatically adapts its analysis and visualization based on the strategy specified in the configuration file.\n",
+ "\n",
+ "## Key Features:\n",
+ "\n",
+ "1. **Configuration-Driven**: Loads strategy and parameters from HJSON configuration files\n",
+ "2. **Dual Strategy Support**: Works with both StaticFitStrategy and SlidingFitStrategy\n",
+ "3. **Adaptive Visualization**: Different visualizations based on selected strategy\n",
+ "4. **Comprehensive Analysis**: Deep analysis of trading pairs and dis-equilibrium\n",
+ "5. **Interactive Configuration**: Easy parameter adjustment and re-running\n",
+ "\n",
+ "## Usage:\n",
+ "\n",
+ "1. **Configure Parameters**: Set CONFIG_FILE, SYMBOL_A, SYMBOL_B, and TRADING_DATE\n",
+ "2. **Run Analysis**: Execute cells step by step\n",
+ "3. **View Results**: Comprehensive visualizations and trading signals\n",
+ "4. **Experiment**: Modify parameters and re-run for different scenarios\n"
+ ]
+ },
+ {
+ "cell_type": "markdown",
+ "metadata": {
+ "vscode": {
+ "languageId": "raw"
+ }
+ },
+ "source": [
+ "## Setup and Configuration\n"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 1,
+ "metadata": {},
+ "outputs": [],
+ "source": [
+ "# Trading Parameters Configuration\n",
+ "# Specify your configuration file, trading symbols and date here\n",
+ "\n",
+ "# Configuration file selection\n",
+ "CONFIG_FILE = \"equity\" # Options: \"equity\", \"crypto\", or custom filename (without .cfg extension)\n",
+ "\n",
+ "# Trading pair symbols\n",
+ "SYMBOL_A = \"COIN\" # Change this to your desired symbol A\n",
+ "SYMBOL_B = \"MSTR\" # Change this to your desired symbol B\n",
+ "\n",
+ "# Date for data file selection (format: YYYYMMDD)\n",
+ "TRADING_DATE = \"20250605\" # Change this to your desired date\n"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 2,
+ "metadata": {},
+ "outputs": [
+ {
+ "name": "stdout",
+ "output_type": "stream",
+ "text": [
+ "Setup complete!\n"
+ ]
+ }
+ ],
+ "source": [
+ "import sys\n",
+ "import os\n",
+ "sys.path.append('..')\n",
+ "\n",
+ "import pandas as pd\n",
+ "import numpy as np\n",
+ "import matplotlib.pyplot as plt\n",
+ "import seaborn as sns\n",
+ "import importlib\n",
+ "from typing import Dict, List, Optional\n",
+ "from IPython.display import clear_output\n",
+ "\n",
+ "# Import our modules\n",
+ "from strategies import StaticFitStrategy, SlidingFitStrategy, PairState\n",
+ "from tools.data_loader import load_market_data\n",
+ "from tools.trading_pair import TradingPair\n",
+ "from results import BacktestResult\n",
+ "\n",
+ "# Set plotting style\n",
+ "plt.style.use('seaborn-v0_8')\n",
+ "sns.set_palette(\"husl\")\n",
+ "plt.rcParams['figure.figsize'] = (15, 10)\n",
+ "\n",
+ "print(\"Setup complete!\")\n"
+ ]
+ },
+ {
+ "cell_type": "markdown",
+ "metadata": {
+ "vscode": {
+ "languageId": "raw"
+ }
+ },
+ "source": [
+ "## Load Configuration\n"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 3,
+ "metadata": {},
+ "outputs": [],
+ "source": [
+ "# Load Configuration from Configuration Files using HJSON\n",
+ "import hjson\n",
+ "import os\n",
+ "\n",
+ "def load_config_from_file(config_type) -> Optional[Dict]:\n",
+ " \"\"\"Load configuration from configuration files using HJSON\"\"\"\n",
+ " config_file = f\"../../configuration/{config_type}.cfg\"\n",
+ " \n",
+ " try:\n",
+ " with open(config_file, 'r') as f:\n",
+ " # HJSON handles comments, trailing commas, and other human-friendly features\n",
+ " config = hjson.load(f)\n",
+ " \n",
+ " # Convert relative paths to absolute paths from notebook perspective\n",
+ " if 'data_directory' in config:\n",
+ " data_dir = config['data_directory']\n",
+ " if data_dir.startswith('./'):\n",
+ " # Convert relative path to absolute path from notebook's perspective\n",
+ " config['data_directory'] = os.path.abspath(f\"../../{data_dir[2:]}\")\n",
+ " \n",
+ " return config\n",
+ " \n",
+ " except FileNotFoundError:\n",
+ " print(f\"Configuration file not found: {config_file}\")\n",
+ " return None\n",
+ " except hjson.HjsonDecodeError as e:\n",
+ " print(f\"HJSON parsing error in {config_file}: {e}\")\n",
+ " return None\n",
+ " except Exception as e:\n",
+ " print(f\"Unexpected error loading config from {config_file}: {e}\")\n",
+ " return None\n",
+ "\n",
+ "def instantiate_strategy_from_config(config: Dict):\n",
+ " \"\"\"Dynamically instantiate strategy from config\"\"\"\n",
+ " strategy_class_name = config.get(\"strategy_class\", \"strategies.StaticFitStrategy\")\n",
+ " \n",
+ " try:\n",
+ " # Split module and class name\n",
+ " if '.' in strategy_class_name:\n",
+ " module_name, class_name = strategy_class_name.rsplit('.', 1)\n",
+ " else:\n",
+ " module_name = \"strategies\"\n",
+ " class_name = strategy_class_name\n",
+ " \n",
+ " # Import module and get class\n",
+ " module = importlib.import_module(module_name)\n",
+ " strategy_class = getattr(module, class_name)\n",
+ " \n",
+ " # Instantiate strategy\n",
+ " return strategy_class()\n",
+ " \n",
+ " except Exception as e:\n",
+ " print(f\"Error instantiating strategy {strategy_class_name}: {e}\")\n",
+ " print(\"Falling back to StaticFitStrategy\")\n",
+ " return StaticFitStrategy()\n"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 4,
+ "metadata": {},
+ "outputs": [
+ {
+ "name": "stdout",
+ "output_type": "stream",
+ "text": [
+ "Trading Parameters:\n",
+ " Configuration: equity\n",
+ " Symbol A: COIN\n",
+ " Symbol B: MSTR\n",
+ " Trading Date: 20250605\n",
+ "\n",
+ "Loading equity configuration using HJSON...\n",
+ "✓ Successfully loaded EQUITY configuration\n",
+ " Data directory: /home/oleg/devel/pairs_trading/data/equity\n",
+ " Database table: md_1min_bars\n",
+ " Exchange: ALPACA\n",
+ " Training window: 120 minutes\n",
+ " Open threshold: 2\n",
+ " Close threshold: 1\n",
+ " Strategy: SlidingFitStrategy\n",
+ "\n",
+ "Data Configuration:\n",
+ " Data File: 20250605.mktdata.ohlcv.db\n",
+ " Security Type: EQUITY\n",
+ " ✓ Data file found: /home/oleg/devel/pairs_trading/data/equity/20250605.mktdata.ohlcv.db\n"
+ ]
+ }
+ ],
+ "source": [
+ "print(f\"Trading Parameters:\")\n",
+ "print(f\" Configuration: {CONFIG_FILE}\")\n",
+ "print(f\" Symbol A: {SYMBOL_A}\")\n",
+ "print(f\" Symbol B: {SYMBOL_B}\")\n",
+ "print(f\" Trading Date: {TRADING_DATE}\")\n",
+ "\n",
+ "# Load the specified configuration\n",
+ "print(f\"\\nLoading {CONFIG_FILE} configuration using HJSON...\")\n",
+ "\n",
+ "CONFIG = load_config_from_file(CONFIG_FILE)\n",
+ "assert CONFIG is not None\n",
+ "pt_bt_config: Dict = dict(CONFIG)\n",
+ "\n",
+ "if pt_bt_config:\n",
+ " print(f\"✓ Successfully loaded {pt_bt_config['security_type']} configuration\")\n",
+ " print(f\" Data directory: {pt_bt_config['data_directory']}\")\n",
+ " print(f\" Database table: {pt_bt_config['db_table_name']}\")\n",
+ " print(f\" Exchange: {pt_bt_config['exchange_id']}\")\n",
+ " print(f\" Training window: {pt_bt_config['training_minutes']} minutes\")\n",
+ " print(f\" Open threshold: {pt_bt_config['dis-equilibrium_open_trshld']}\")\n",
+ " print(f\" Close threshold: {pt_bt_config['dis-equilibrium_close_trshld']}\")\n",
+ " \n",
+ " # Instantiate strategy from config\n",
+ " STRATEGY = instantiate_strategy_from_config(pt_bt_config)\n",
+ " print(f\" Strategy: {type(STRATEGY).__name__}\")\n",
+ " \n",
+ " # Automatically construct data file name based on date and config type\n",
+ " DATA_FILE = f\"{TRADING_DATE}.mktdata.ohlcv.db\"\n",
+ "\n",
+ " # Update CONFIG with the specific data file and instruments\n",
+ " pt_bt_config[\"datafiles\"] = [DATA_FILE]\n",
+ " pt_bt_config[\"instruments\"] = [SYMBOL_A, SYMBOL_B]\n",
+ " \n",
+ " print(f\"\\nData Configuration:\")\n",
+ " print(f\" Data File: {DATA_FILE}\")\n",
+ " print(f\" Security Type: {pt_bt_config['security_type']}\")\n",
+ " \n",
+ " # Verify data file exists\n",
+ " data_file_path = f\"{pt_bt_config['data_directory']}/{DATA_FILE}\"\n",
+ " if os.path.exists(data_file_path):\n",
+ " print(f\" ✓ Data file found: {data_file_path}\")\n",
+ " else:\n",
+ " print(f\" ⚠ Data file not found: {data_file_path}\")\n",
+ " print(f\" Please check if the date and file exist in the data directory\")\n",
+ " \n",
+ " # List available files in the data directory\n",
+ " try:\n",
+ " data_dir = pt_bt_config['data_directory']\n",
+ " if os.path.exists(data_dir):\n",
+ " available_files = [f for f in os.listdir(data_dir) if f.endswith('.db')]\n",
+ " print(f\" Available files in {data_dir}:\")\n",
+ " for file in sorted(available_files)[:5]: # Show first 5 files\n",
+ " print(f\" - {file}\")\n",
+ " if len(available_files) > 5:\n",
+ " print(f\" ... and {len(available_files)-5} more files\")\n",
+ " except Exception as e:\n",
+ " print(f\" Could not list files in data directory: {e}\")\n",
+ "else:\n",
+ " print(\"⚠ Failed to load configuration. Please check the configuration file.\")\n"
+ ]
+ },
+ {
+ "cell_type": "markdown",
+ "metadata": {
+ "vscode": {
+ "languageId": "raw"
+ }
+ },
+ "source": [
+ "## Load and Prepare Market Data\n"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 5,
+ "metadata": {},
+ "outputs": [
+ {
+ "name": "stdout",
+ "output_type": "stream",
+ "text": [
+ "Loading data from: /home/oleg/devel/pairs_trading/data/equity/20250605.mktdata.ohlcv.db\n",
+ "Loaded 782 rows of market data\n",
+ "Symbols in data: ['COIN' 'MSTR']\n",
+ "Time range: 2025-06-05 13:30:00 to 2025-06-05 20:00:00\n",
+ "\n",
+ "Created trading pair: COIN & MSTR\n",
+ "Market data shape: (391, 3)\n",
+ "Column names: ['close_COIN', 'close_MSTR']\n",
+ "\n",
+ "Sample data:\n"
+ ]
+ },
+ {
+ "data": {
+ "text/html": [
+ "\n",
+ "\n",
+ "
\n",
+ " \n",
+ " \n",
+ " | \n",
+ " tstamp | \n",
+ " close_COIN | \n",
+ " close_MSTR | \n",
+ "
\n",
+ " \n",
+ " \n",
+ " \n",
+ " | 0 | \n",
+ " 2025-06-05 13:30:00 | \n",
+ " 263.380 | \n",
+ " 384.7700 | \n",
+ "
\n",
+ " \n",
+ " | 1 | \n",
+ " 2025-06-05 13:31:00 | \n",
+ " 265.385 | \n",
+ " 382.7806 | \n",
+ "
\n",
+ " \n",
+ " | 2 | \n",
+ " 2025-06-05 13:32:00 | \n",
+ " 263.735 | \n",
+ " 379.8300 | \n",
+ "
\n",
+ " \n",
+ " | 3 | \n",
+ " 2025-06-05 13:33:00 | \n",
+ " 264.250 | \n",
+ " 380.0400 | \n",
+ "
\n",
+ " \n",
+ " | 4 | \n",
+ " 2025-06-05 13:34:00 | \n",
+ " 262.230 | \n",
+ " 379.6400 | \n",
+ "
\n",
+ " \n",
+ "
\n",
+ "