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Oleg Sheynin 2025-07-25 01:28:59 +00:00
parent 2c08b6f1a9
commit 1af35000ab
6 changed files with 352 additions and 266 deletions
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33
configuration/crypto_vecm.cfg
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@ -1,33 +0,0 @@
{
"security_type": "CRYPTO",
"data_directory": "./data/crypto",
"datafiles": [
"2025*.mktdata.ohlcv.db"
],
"db_table_name": "md_1min_bars",
"exchange_id": "BNBSPOT",
"instrument_id_pfx": "PAIR-",
"funding_per_pair": 2000.0,
# ====== Trading Parameters ======
"price_column": "close",
"dis-equilibrium_open_trshld": 2.0,
"dis-equilibrium_close_trshld": 1.0,
"training_minutes": 120,
"fit_method_class": "pt_trading.vecm_rolling_fit.VECMRollingFit",
# ====== Stop Conditions ======
"stop_close_conditions": {
"profit": 2.0,
"loss": -0.5
}
# ====== End of Session Closeout ======
"close_outstanding_positions": true,
# "close_outstanding_positions": false,
"trading_hours": {
"begin_session": "9:30:00",
"end_session": "21:30:00",
"timezone": "America/New_York"
}
}

33
configuration/crypto_zscore.cfg
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@ -1,33 +0,0 @@
{
"security_type": "CRYPTO",
"data_directory": "./data/crypto",
"datafiles": [
"20250602.mktdata.ohlcv.db"
],
"db_table_name": "md_1min_bars",
"exchange_id": "BNBSPOT",
"instrument_id_pfx": "PAIR-",
"funding_per_pair": 2000.0,
# ====== Trading Parameters ======
"price_column": "close",
"dis-equilibrium_open_trshld": 2.0,
"dis-equilibrium_close_trshld": 0.5,
"training_minutes": 120,
"fit_method_class": "pt_trading.z-score_rolling_fit.ZScoreRollingFit",
# ====== Stop Conditions ======
"stop_close_conditions": {
"profit": 2.0,
"loss": -0.5
}
# ====== End of Session Closeout ======
"close_outstanding_positions": true,
# "close_outstanding_positions": false,
"trading_hours": {
"begin_session": "9:30:00",
"end_session": "22:30:00",
"timezone": "America/New_York"
}
}

35
configuration/equity_vecm.cfg
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@ -1,35 +0,0 @@
{
"security_type": "EQUITY",
"data_directory": "./data/equity",
"datafiles": [
"202506*.mktdata.ohlcv.db",
],
"db_table_name": "md_1min_bars",
"exchange_id": "ALPACA",
"instrument_id_pfx": "STOCK-",
"exclude_instruments": ["CAN"],
"funding_per_pair": 2000.0,
# ====== Trading Parameters ======
"price_column": "close",
"dis-equilibrium_open_trshld": 2.0,
"dis-equilibrium_close_trshld": 1.0,
"training_minutes": 120,
"fit_method_class": "pt_trading.vecm_rolling_fit.VECMRollingFit",
# ====== Stop Conditions ======
"stop_close_conditions": {
"profit": 2.0,
"loss": -0.5
}
# ====== End of Session Closeout ======
"close_outstanding_positions": true,
# "close_outstanding_positions": false,
"trading_hours": {
"begin_session": "9:30:00",
"end_session": "15:30:00",
"timezone": "America/New_York"
}
}

35
configuration/equity_zscore.cfg
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@ -1,35 +0,0 @@
{
"security_type": "EQUITY",
"data_directory": "./data/equity",
"datafiles": [
"202506*.mktdata.ohlcv.db",
],
"db_table_name": "md_1min_bars",
"exchange_id": "ALPACA",
"instrument_id_pfx": "STOCK-",
"exclude_instruments": ["CAN"],
"funding_per_pair": 2000.0,
# ====== Trading Parameters ======
"price_column": "close",
"dis-equilibrium_open_trshld": 2.0,
"dis-equilibrium_close_trshld": 1.0,
"training_minutes": 120,
"fit_method_class": "pt_trading.z-score_rolling_fit.ZScoreRollingFit",
# ====== Stop Conditions ======
"stop_close_conditions": {
"profit": 2.0,
"loss": -0.5
}
# ====== End of Session Closeout ======
"close_outstanding_positions": true,
# "close_outstanding_positions": false,
"trading_hours": {
"begin_session": "9:30:00",
"end_session": "15:30:00",
"timezone": "America/New_York"
}
}

38
configuration/z-score-intermarket.cfg
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@ -1,38 +0,0 @@
{
"market_data_loading": {
"CRYPTO": {
"data_directory": "./data/crypto",
"db_table_name": "md_1min_bars",
"instrument_id_pfx": "PAIR-",
},
"EQUITY": {
"data_directory": "./data/equity",
"db_table_name": "md_1min_bars",
"instrument_id_pfx": "STOCK-",
}
},
# ====== Funding ======
"funding_per_pair": 2000.0,
# ====== Trading Parameters ======
"price_column": "close",
"dis-equilibrium_open_trshld": 2.0,
"dis-equilibrium_close_trshld": 0.5,
"training_minutes": 120,
"fit_method_class": "pt_trading.z-score_rolling_fit.ZScoreRollingFit",
# ====== Stop Conditions ======
"stop_close_conditions": {
"profit": 2.0,
"loss": -0.5
}
# ====== End of Session Closeout ======
"close_outstanding_positions": true,
# "close_outstanding_positions": false,
"trading_hours": {
"timezone": "America/New_York",
"begin_session": "9:30:00",
"end_session": "15:30:00",
}
}

444
research/notebooks/single_pair_test.ipynb
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