research/pairs_trading
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sorted by sum(cum_rank)

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Oleg Sheynin 2026-02-05 05:00:31 +00:00
parent 98f6defe96
commit c0514d9f65
1 changed files with 8 additions and 26 deletions
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research/notebooks/pair_select_hist.ipynb
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@ -60,7 +60,7 @@
{ {
"data": { "data": {
"application/vnd.jupyter.widget-view+json": { "application/vnd.jupyter.widget-view+json": {
"model_id": "a0582ba92c744e08b9267176f463701a", "model_id": "e0b30b1abd1b440b832fdaaa6cce8f76",
"version_major": 2, "version_major": 2,
"version_minor": 0 "version_minor": 0
}, },
@ -74,7 +74,7 @@
{ {
"data": { "data": {
"application/vnd.jupyter.widget-view+json": { "application/vnd.jupyter.widget-view+json": {
"model_id": "eeaaaf780af64a278b0948c0c787cf33", "model_id": "15679f9015854d5fa7119210094fbbc8",
"version_major": 2, "version_major": 2,
"version_minor": 0 "version_minor": 0
}, },
@ -135,7 +135,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 3, "execution_count": null,
"id": "2c710f51", "id": "2c710f51",
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
@ -173,17 +173,10 @@
" try:\n", " try:\n",
" with _connect(db_path.value) as conn:\n", " with _connect(db_path.value) as conn:\n",
" rows = conn.execute(\n", " rows = conn.execute(\n",
" \"WITH first_rows AS (\"\n", " \"SELECT pair_name \"\n",
" \" SELECT pair_name, MIN(tstamp) AS tmin \"\n", " \"FROM pair_selection_history \"\n",
" \" FROM pair_selection_history \"\n", " \"GROUP BY pair_name \"\n",
" \" GROUP BY pair_name\"\n", " \"ORDER BY SUM(composite_rank), pair_name\"\n",
" \" ) \"\n",
" \"SELECT p.pair_name \"\n",
" \"FROM pair_selection_history p \"\n",
" \"JOIN first_rows f \"\n",
" \" ON p.pair_name = f.pair_name AND p.tstamp = f.tmin \"\n",
" \"GROUP BY p.pair_name \"\n",
" \"ORDER BY MIN(p.composite_rank), p.pair_name\"\n",
" ).fetchall()\n", " ).fetchall()\n",
" options = [r[0] for r in rows]\n", " options = [r[0] for r in rows]\n",
" pair_name.options = options\n", " pair_name.options = options\n",
@ -236,16 +229,6 @@
" fig_p.update_layout(legend_title_text='metric')\n", " fig_p.update_layout(legend_title_text='metric')\n",
" _style_fig(fig_p, tmin, tmax)\n", " _style_fig(fig_p, tmin, tmax)\n",
"\n", "\n",
" # fig_r = px.line(\n",
" # df,\n",
" # x='tstamp',\n",
" # y=['rank_eg', 'rank_adf'],\n",
" # title=f'Ranks Over Time: {pair_name.value}',\n",
" # labels={'value': 'rank', 'variable': 'metric', 'tstamp': 'timestamp'}\n",
" # )\n",
" # fig_r.update_layout(legend_title_text='metric')\n",
" # _style_fig(fig_r, tmin, tmax)\n",
"\n",
" md_query = (\n", " md_query = (\n",
" 'SELECT tstamp, close FROM md_1min_bars '\n", " 'SELECT tstamp, close FROM md_1min_bars '\n",
" 'WHERE exchange_id = ? AND instrument_id = ? '\n", " 'WHERE exchange_id = ? AND instrument_id = ? '\n",
@ -294,7 +277,6 @@
"\n", "\n",
" with output:\n", " with output:\n",
" display(fig_p)\n", " display(fig_p)\n",
" # display(fig_r)\n",
" display(fig_m)\n", " display(fig_m)\n",
" except Exception as exc:\n", " except Exception as exc:\n",
" status.value = f\"<span style='color:#b00'>Error: {exc}</span>\"\n", " status.value = f\"<span style='color:#b00'>Error: {exc}</span>\"\n",