From 3f29717b64f27d581ccf886e596d0113d1cfbe9f Mon Sep 17 00:00:00 2001 From: Oleg Sheynin Date: Wed, 1 Apr 2026 18:27:13 +0000 Subject: [PATCH] cleaning --- configuration/__DELETE__/ols-exp.cfg | 43 ------------------------- configuration/__DELETE__/ols-opt.cfg | 47 --------------------------- configuration/__DELETE__/ols.cfg | 47 --------------------------- configuration/__DELETE__/vecm.cfg | 48 ---------------------------- 4 files changed, 185 deletions(-) delete mode 100644 configuration/__DELETE__/ols-exp.cfg delete mode 100644 configuration/__DELETE__/ols-opt.cfg delete mode 100644 configuration/__DELETE__/ols.cfg delete mode 100644 configuration/__DELETE__/vecm.cfg diff --git a/configuration/__DELETE__/ols-exp.cfg b/configuration/__DELETE__/ols-exp.cfg deleted file mode 100644 index aa25a38..0000000 --- a/configuration/__DELETE__/ols-exp.cfg +++ /dev/null @@ -1,43 +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": 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", - } -} \ No newline at end of file diff --git a/configuration/__DELETE__/ols-opt.cfg b/configuration/__DELETE__/ols-opt.cfg deleted file mode 100644 index 0e8843e..0000000 --- a/configuration/__DELETE__/ols-opt.cfg +++ /dev/null @@ -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", - } -} \ No newline at end of file diff --git a/configuration/__DELETE__/ols.cfg b/configuration/__DELETE__/ols.cfg deleted file mode 100644 index 4524a02..0000000 --- a/configuration/__DELETE__/ols.cfg +++ /dev/null @@ -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", - } -} \ No newline at end of file diff --git a/configuration/__DELETE__/vecm.cfg b/configuration/__DELETE__/vecm.cfg deleted file mode 100644 index 9c3e5da..0000000 --- a/configuration/__DELETE__/vecm.cfg +++ /dev/null @@ -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", - } -} \ No newline at end of file