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Oleg Sheynin 2025-05-27 15:26:02 -04:00
parent d5369b629d
commit 966d7e4b1f
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src/pt_backtest.py
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@ -263,6 +263,7 @@ def create_trading_signals(vecm_fit, testing_pair_df, pair: TradingPair) -> pd.D
) )
pair_result_df["abs_equilibrium"] = np.abs(pair_result_df["equilibrium"]) pair_result_df["abs_equilibrium"] = np.abs(pair_result_df["equilibrium"])
pair_result_df["scaled_equilibrium"] = pair_result_df["abs_equilibrium"] / (abs(beta[0]) * pair_result_df[colname_a] + abs(beta[1]) * pair_result_df[colname_b])
# Reset index to ensure proper indexing # Reset index to ensure proper indexing
pair_result_df = pair_result_df.reset_index() pair_result_df = pair_result_df.reset_index()