research/pairs_trading
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bug fix - multiple dates

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This commit is contained in:
Oleg Sheynin 2025-07-25 07:04:44 +00:00
parent bcf4447cb6
commit 98a15d301a
3 changed files with 1024 additions and 1198 deletions
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2206
research/notebooks/single_pair_test.ipynb
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File diff suppressed because one or more lines are too long

6
research/pt_backtest.py
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@ -77,9 +77,9 @@ def run_backtest(
Run backtest for all pairs using the specified instruments. Run backtest for all pairs using the specified instruments.
""" """
bt_result: BacktestResult = BacktestResult(config=config) bt_result: BacktestResult = BacktestResult(config=config)
if len(datafiles) < 2: # if len(datafiles) < 2:
print(f"WARNING: insufficient data files: {datafiles}") # print(f"WARNING: insufficient data files: {datafiles}")
return bt_result # return bt_result
if not all([os.path.exists(datafile) for datafile in datafiles]): if not all([os.path.exists(datafile) for datafile in datafiles]):
print(f"WARNING: data file {datafiles} does not exist") print(f"WARNING: data file {datafiles} does not exist")

10
research/research_tools.py
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@ -73,12 +73,18 @@ def create_pairs(
) )
market_data_df = pd.concat([market_data_df, md_df]) market_data_df = pd.concat([market_data_df, md_df])
if len(set(market_data_df["symbol"])) != 2: # both symbols must be present for a pair
print(f"WARNING: insufficient data in files: {datafiles}")
return []
for a_index, b_index in unique_index_pairs: for a_index, b_index in unique_index_pairs:
symbol_a=instruments[a_index]["symbol"]
symbol_b=instruments[b_index]["symbol"]
pair = fit_method.create_trading_pair( pair = fit_method.create_trading_pair(
config=config_copy, config=config_copy,
market_data=market_data_df, market_data=market_data_df,
symbol_a=instruments[a_index]["symbol"], symbol_a=symbol_a,
symbol_b=instruments[b_index]["symbol"], symbol_b=symbol_b,
price_column=price_column, price_column=price_column,
) )
pairs.append(pair) pairs.append(pair)