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sliding fit strategy to notebook

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This commit is contained in:
Oleg Sheynin 2025-05-30 16:51:46 -04:00
parent a5a43a01a4
commit 200a1bf307
4 changed files with 2202 additions and 1106 deletions
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1100
src/notebooks/pairs_trading_visualization.ipynb
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1039
src/notebooks/pt_sliding.ipynb Normal file
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src/notebooks/pt_static.ipynb Normal file
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src/pt_backtest.py
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@ -63,8 +63,8 @@ EQT_CONFIG: Dict = {
"security_type": "EQUITY", "security_type": "EQUITY",
"data_directory": "./data/equity", "data_directory": "./data/equity",
"datafiles": [ "datafiles": [
"20250508.alpaca_sim_md.db", # "20250508.alpaca_sim_md.db",
# "20250509.alpaca_sim_md.db", "20250509.alpaca_sim_md.db",
# "20250512.alpaca_sim_md.db", # "20250512.alpaca_sim_md.db",
# "20250513.alpaca_sim_md.db", # "20250513.alpaca_sim_md.db",
# "20250514.alpaca_sim_md.db", # "20250514.alpaca_sim_md.db",
@ -80,9 +80,9 @@ EQT_CONFIG: Dict = {
"instruments": [ "instruments": [
"COIN", "COIN",
"GBTC", "GBTC",
"HOOD", # "HOOD",
"MSTR", # "MSTR",
"PYPL", # "PYPL",
], ],
"trading_hours": { "trading_hours": {
"begin_session": "9:30:00", "begin_session": "9:30:00",
@ -94,7 +94,7 @@ EQT_CONFIG: Dict = {
"min_required_points": 30, "min_required_points": 30,
"zero_threshold": 1e-10, "zero_threshold": 1e-10,
"dis-equilibrium_open_trshld": 2.0, "dis-equilibrium_open_trshld": 2.0,
"dis-equilibrium_close_trshld": 0.5, "dis-equilibrium_close_trshld": 1.0, #0.5,
"training_minutes": 120, "training_minutes": 120,
# ----- Validation # ----- Validation
"funding_per_pair": 2000.0, "funding_per_pair": 2000.0,