fixes to notebook

lib/pt_trading/fit_method.py

@@ -1,3 +1,5 @@
+from __future__ import annotations
+
 from abc import ABC, abstractmethod
 from enum import Enum
 from typing import Dict, Optional, cast
@@ -21,6 +23,15 @@ class PairsTradingFitMethod(ABC):
         "signed_scaled_disequilibrium",
         "pair",
     ]
+    @staticmethod
+    def create(config: Dict) -> PairsTradingFitMethod:
+        import importlib
+        fit_method_class_name = config.get("fit_method_class", None)
+        assert fit_method_class_name is not None
+        module_name, class_name = fit_method_class_name.rsplit(".", 1)
+        module = importlib.import_module(module_name)
+        fit_method = getattr(module, class_name)()
+        return cast(PairsTradingFitMethod, fit_method)
 
     @abstractmethod
     def run_pair(

research/pt_backtest.py

@@ -99,7 +99,6 @@ def run_backtest(
     bt_result.collect_single_day_results(pairs_trades)
     return bt_result
 
-
 def main() -> None:
     parser = argparse.ArgumentParser(description="Run pairs trading backtest.")
     parser.add_argument(
@@ -129,11 +128,7 @@ def main() -> None:
     config: Dict = load_config(args.config)
 
     # Dynamically instantiate fit method class
-    fit_method_class_name = config.get("fit_method_class", None)
+    fit_method = PairsTradingFitMethod.create(config)
-    assert fit_method_class_name is not None
-    module_name, class_name = fit_method_class_name.rsplit(".", 1)
-    module = importlib.import_module(module_name)
-    fit_method = getattr(module, class_name)()
 
     # Resolve data files (CLI takes priority over config)
     instruments = get_instruments(args, config)
@@ -166,7 +161,7 @@ def main() -> None:
             db_path=args.result_db,
             config_file_path=args.config,
             config=config,
-            fit_method_class=fit_method_class_name,
+            fit_method_class=config["fit_method_class"],
             datafiles=datafiles,
             instruments=instruments,
         )

research/research_tools.py

@@ -1,8 +1,8 @@
 import glob
 import os
 from typing import Dict, List, Optional
-import pandas as pd
 
+import pandas as pd
 from pt_trading.fit_method import PairsTradingFitMethod
 
 
@@ -52,8 +52,8 @@ def create_pairs(
     config: Dict,
     instruments: List[Dict[str, str]],
 ) -> List:
-    from tools.data_loader import load_market_data
     from pt_trading.trading_pair import TradingPair
+    from tools.data_loader import load_market_data
 
     all_indexes = range(len(instruments))
     unique_index_pairs = [(i, j) for i in all_indexes for j in all_indexes if i < j]
@@ -74,8 +74,6 @@ def create_pairs(
         market_data_df = pd.concat([market_data_df, md_df])
 
     for a_index, b_index in unique_index_pairs:
-        from research.pt_backtest import TradingPair
-
         pair = fit_method.create_trading_pair(
             config=config_copy,
             market_data=market_data_df,