using configuration file

configuration/crypto.cfg

@@ -0,0 +1,33 @@
+{
+    "security_type": "CRYPTO",
+    "data_directory": "./data/crypto",
+    "datafiles": [
+        "20250519.mktdata.ohlcv.db"
+    ],
+    "db_table_name": "bnbspot_ohlcv_1min",
+    "exchange_id": "BNBSPOT",
+    "instrument_id_pfx": "PAIR-",
+    "instruments": [
+        "BTC-USDT",
+        "BCH-USDT",
+        "ETH-USDT",
+        "LTC-USDT",
+        "XRP-USDT",
+        "ADA-USDT",
+        "SOL-USDT",
+        "DOT-USDT"
+    ],
+    "trading_hours": {
+        "begin_session": "00:00:00",
+        "end_session": "23:59:00",
+        "timezone": "UTC"
+    },
+    "price_column": "close",
+    "min_required_points": 30,
+    "zero_threshold": 1e-10,
+    "dis-equilibrium_open_trshld": 2.0,
+    "dis-equilibrium_close_trshld": 0.5,
+    "training_minutes": 120,
+    "funding_per_pair": 2000.0,
+    "strategy_class": "strategies.StaticFitStrategy"
+}

configuration/equity.cfg

@@ -0,0 +1,35 @@
+{
+    "security_type": "EQUITY",
+    "data_directory": "./data/equity",
+    "datafiles": [
+        # "20250508.alpaca_sim_md.db",
+        "20250509.alpaca_sim_md.db",
+        # "20250512.alpaca_sim_md.db",
+        # "20250513.alpaca_sim_md.db",
+        # "20250514.alpaca_sim_md.db",
+        # "20250515.alpaca_sim_md.db",
+        # "20250516.alpaca_sim_md.db",
+        # "20250519.alpaca_sim_md.db",
+        # "20250520.alpaca_sim_md.db"
+    ],
+    "db_table_name": "md_1min_bars",
+    "exchange_id": "ALPACA",
+    "instrument_id_pfx": "STOCK-",
+    "instruments": [
+        "COIN",
+        "GBTC"
+    ],
+    "trading_hours": {
+        "begin_session": "9:30:00",
+        "end_session": "16:00:00",
+        "timezone": "America/New_York"
+    },
+    "price_column": "close",
+    "min_required_points": 30,
+    "zero_threshold": 1e-10,
+    "dis-equilibrium_open_trshld": 2.0,
+    "dis-equilibrium_close_trshld": 1.0,
+    "training_minutes": 120,
+    "funding_per_pair": 2000.0,
+    "strategy_class": "strategies.StaticFitStrategy"
+}

prompts/20250612.testing_code_request.txt

@@ -0,0 +1 @@
+Create python code that tests pairs trading strategy

scripts/load_crypto_1min.sh

@@ -0,0 +1,28 @@
+#!/usr/bin/env bash
+
+# -------------------------------------
+# --- Given month, specific dates
+# -------------------------------------
+
+# for dt in 20250528 20250529 20250530 20250531; do
+# 	rsync -ahvv cvtt@hs01.cvtt.vpn:/works/cvtt/md_archive/crypto/sim/2025/2025-05/${dt}.*.gz ./
+# done
+# -------------------------------------
+
+# -------------------------------------
+# --- Current month - all files
+# -------------------------------------
+pushd ./data/crypto
+rsync -ahvv cvtt@hs01.cvtt.vpn:/works/cvtt/md_archive/crypto/sim/*.gz ./
+# -------------------------------------
+
+for srcfname in $(ls *.db.gz); do
+    dt="${srcfname:0:8}"
+    tgtfile=${dt}.mktdata.ohlcv.db
+    echo "${srcfname} -> ${tgtfile}"
+
+    gunzip -c $srcfname > temp.db
+    rm -f ${tgtfile} && sqlite3 temp.db ".dump md_1min_bars" | sqlite3  ${tgtfile} && rm ${srcfname}
+done
+rm temp.db
+popd

src/pt_backtest.py

@@ -1,3 +1,6 @@
+import argparse
+import hjson
+import importlib
 
 from typing import Any, Dict, List
 
@@ -9,106 +12,15 @@ from tools.trading_pair import TradingPair
 from results import BacktestResult
 
 
-# ------------------------ Configuration ------------------------
+def load_config(config_path: str) -> Dict:
-# Default configuration
+    with open(config_path, "r") as f:
-CRYPTO_CONFIG: Dict = {
+        config = hjson.load(f)
-    "security_type": "CRYPTO",
+    return config
-    # --- Data retrieval
-    "data_directory": "./data/crypto",
-    "datafiles": [
-        "20250519.mktdata.ohlcv.db",
-        # "20250520.mktdata.ohlcv.db",
-        # "20250521.mktdata.ohlcv.db",
-        # "20250522.mktdata.ohlcv.db",
-        # "20250523.mktdata.ohlcv.db",
-        # "20250524.mktdata.ohlcv.db",
-        # "20250525.mktdata.ohlcv.db",
-    ],
-    "db_table_name": "bnbspot_ohlcv_1min",
-    # ----- Instruments
-    "exchange_id": "BNBSPOT",
-    "instrument_id_pfx": "PAIR-",
-    "instruments": [
-        "BTC-USDT",
-        "BCH-USDT",
-        "ETH-USDT",
-        "LTC-USDT",
-        "XRP-USDT",
-        "ADA-USDT",
-        "SOL-USDT",
-        "DOT-USDT",
-    ],
-    "trading_hours": {
-        "begin_session": "00:00:00",
-        "end_session": "23:59:00",
-        "timezone": "UTC",
-    },
-    # ----- Model Settings
-    "price_column": "close",
-    "min_required_points": 30,
-    "zero_threshold": 1e-10,
-
-    "dis-equilibrium_open_trshld": 2.0,
-    "dis-equilibrium_close_trshld": 0.5,
-
-    # "training_minutes": 120,
-    "training_minutes": 120,
-    # ----- Validation
-    "funding_per_pair": 2000.0,  # USD
-}
-
-# ========================== EQUITIES
-EQT_CONFIG: Dict = {
-    # --- Data retrieval
-    "security_type": "EQUITY",
-    "data_directory": "./data/equity",
-    "datafiles": [
-        # "20250508.alpaca_sim_md.db",
-        "20250509.alpaca_sim_md.db",
-        # "20250512.alpaca_sim_md.db",
-        # "20250513.alpaca_sim_md.db",
-        # "20250514.alpaca_sim_md.db",
-        # "20250515.alpaca_sim_md.db",
-        # "20250516.alpaca_sim_md.db",
-        # "20250519.alpaca_sim_md.db",
-        # "20250520.alpaca_sim_md.db"
-    ],
-    "db_table_name": "md_1min_bars",
-    # ----- Instruments
-    "exchange_id": "ALPACA",
-    "instrument_id_pfx": "STOCK-",
-    "instruments": [
-        "COIN",
-        "GBTC",
-        # "HOOD",
-        # "MSTR",
-        # "PYPL",
-    ],
-    "trading_hours": {
-        "begin_session": "9:30:00",
-        "end_session": "16:00:00",
-        "timezone": "America/New_York",
-    },
-    # ----- Model Settings
-    "price_column": "close",
-    "min_required_points": 30,
-    "zero_threshold": 1e-10,
-    "dis-equilibrium_open_trshld": 2.0,
-    "dis-equilibrium_close_trshld": 1.0, #0.5,
-    "training_minutes": 120,
-    # ----- Validation
-    "funding_per_pair": 2000.0,
-}
 
 
-# CONFIG = CRYPTO_CONFIG
+def run_all_pairs(
-CONFIG = EQT_CONFIG
+    config: Dict, datafile: str, price_column: str, bt_result: BacktestResult, strategy
-STRATEGY = StaticFitStrategy()
+) -> None:
-
-# CONFIG = CRYPTO_CONFIG
-# STRATEGY = SlidingFitStrategy()
-
-def run_all_pairs(config: Dict, datafile: str, price_column: str, bt_result: BacktestResult) -> None:
 
     def _create_pairs(config: Dict) -> List[TradingPair]:
         nonlocal datafile
@@ -117,7 +29,7 @@ def run_all_pairs(config: Dict, datafile: str, price_column: str, bt_result: Bac
         unique_index_pairs = [(i, j) for i in all_indexes for j in all_indexes if i < j]
         pairs = []
         market_data_df = load_market_data(
-            f'{config["data_directory"]}/{datafile}', config=CONFIG
+            f'{config["data_directory"]}/{datafile}', config=config
         )
         for a_index, b_index in unique_index_pairs:
             pair = TradingPair(
@@ -129,10 +41,11 @@ def run_all_pairs(config: Dict, datafile: str, price_column: str, bt_result: Bac
             pairs.append(pair)
         return pairs
 
-
     pairs_trades = []
     for pair in _create_pairs(config):
-        single_pair_trades = STRATEGY.run_pair(pair=pair, config=CONFIG, bt_result=bt_result)
+        single_pair_trades = strategy.run_pair(
+            pair=pair, config=config, bt_result=bt_result
+        )
         if single_pair_trades is not None and len(single_pair_trades) > 0:
             pairs_trades.append(single_pair_trades)
     # Check if result_list has any data before concatenating
@@ -149,12 +62,24 @@ def run_all_pairs(config: Dict, datafile: str, price_column: str, bt_result: Bac
 
 
 def main() -> None:
+    parser = argparse.ArgumentParser(description="Run pairs trading backtest.")
+    parser.add_argument(
+        "--config", type=str, required=True, help="Path to the configuration file."
+    )
+    args = parser.parse_args()
+
+    CONFIG = load_config(args.config)
+
+    # Dynamically instantiate strategy class
+    strategy_class_name = CONFIG.get("strategy_class", "strategies.StaticFitStrategy")
+    module_name, class_name = strategy_class_name.rsplit(".", 1)
+    module = importlib.import_module(module_name)
+    STRATEGY = getattr(module, class_name)()
+
     # Initialize a dictionary to store all trade results
     all_results: Dict[str, Dict[str, Any]] = {}
     bt_results = BacktestResult(config=CONFIG)
 
-    # Initialize global PnL tracking variables
-
     # Process each data file
     price_column = CONFIG["price_column"]
     for datafile in CONFIG["datafiles"]:
@@ -166,7 +91,11 @@ def main() -> None:
         # Process data for this file
         try:
             run_all_pairs(
-                config=CONFIG, datafile=datafile, price_column=price_column, bt_result=bt_results
+                config=CONFIG,
+                datafile=datafile,
+                price_column=price_column,
+                bt_result=bt_results,
+                strategy=STRATEGY,
             )
 
             # Store results with file name as key
@@ -175,17 +104,14 @@ def main() -> None:
 
             print(f"Successfully processed {filename}")
 
-            # No longer printing unrealized PnL since we removed that functionality
-
         except Exception as e:
             print(f"Error processing {datafile}: {str(e)}")
 
-    # BacktestResults.print_results_summary(all_results)
+    # Calculate and print results
     bt_results.calculate_returns(all_results)
-
-    # Print grand totals
     bt_results.print_grand_totals()
     bt_results.print_outstanding_positions()
 
+
 if __name__ == "__main__":
     main()