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Oleg Sheynin 2026-04-01 18:27:13 +00:00
parent ecc1c1de5d
commit 3f29717b64
4 changed files with 0 additions and 185 deletions
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43
configuration/__DELETE__/ols-exp.cfg
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{
"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 ======
"stat_model_price": "close",
"execution_price": {
"column": "vwap",
"shift": 1,
},
"dis-equilibrium_open_trshld": 2.0,
"dis-equilibrium_close_trshld": 0.5,
"training_size": 120,
"model_class": "pairs_trading.lib.pt_strategy.models.OLSModel",
"model_data_policy_class": "pairs_trading.lib.pt_strategy.model_data_policy.ExpandingWindowDataPolicy",
# ====== 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": "7:30:00",
"end_session": "18:30:00",
}
}

47
configuration/__DELETE__/ols-opt.cfg
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@ -1,47 +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 ======
"stat_model_price": "close",
"execution_price": {
"column": "vwap",
"shift": 1,
},
"dis-equilibrium_open_trshld": 1.75,
"dis-equilibrium_close_trshld": 0.9,
"model_class": "pairs_trading.lib.pt_strategy.models.OLSModel",
# "model_data_policy_class": "pairs_trading.lib.pt_strategy.model_data_policy.EGOptimizedWndDataPolicy",
# "model_data_policy_class": "pairs_trading.lib.pt_strategy.model_data_policy.ADFOptimizedWndDataPolicy",
"model_data_policy_class": "pairs_trading.lib.pt_strategy.model_data_policy.JohansenOptdWndDataPolicy",
"min_training_size": 60,
"max_training_size": 150,
# ====== 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": "7:30:00",
"end_session": "18:30:00",
}
}

47
configuration/__DELETE__/ols.cfg
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@ -1,47 +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 ======
"stat_model_price": "close",
"execution_price": {
"column": "vwap",
"shift": 1,
},
"dis-equilibrium_open_trshld": 1.75,
"dis-equilibrium_close_trshld": 0.9,
"model_class": "pairs_trading.lib.pt_strategy.models.OLSModel",
"training_size": 120,
"model_data_policy_class": "pairs_trading.lib.pt_strategy.model_data_policy.RollingWindowDataPolicy",
# "model_data_policy_class": "pairs_trading.lib.pt_strategy.model_data_policy.OptimizedWindowDataPolicy",
# "min_training_size": 60,
# "max_training_size": 150,
# ====== 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": "7:30:00",
"end_session": "18:30:00",
}
}

48
configuration/__DELETE__/vecm.cfg
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@ -1,48 +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 ======
"stat_model_price": "close", # "vwap"
"execution_price": {
"column": "vwap",
"shift": 1,
},
"dis-equilibrium_open_trshld": 1.75,
"dis-equilibrium_close_trshld": 1.0,
"model_class": "pairs_trading.lib.pt_strategy.models.VECMModel",
"training_size": 120,
"model_data_policy_class": "pairs_trading.lib.pt_strategy.model_data_policy.RollingWindowDataPolicy",
# "model_data_policy_class": "pairs_trading.lib.pt_strategy.model_data_policy.OptimizedWindowDataPolicy",
# "min_training_size": 60,
# "max_training_size": 150,
# ====== 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": "7:30:00",
"end_session": "18:30:00",
}
}