progress

src/backtest_configs.py

@@ -1,95 +0,0 @@
-from typing import Any, Dict, List, Optional
-
-
-# ------------------------ Configuration ------------------------
-# Default configuration
-CRYPTO_CONFIG: Dict = {
-    "security_type": "CRYPTO",
-    # --- 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": 60,
-    # ----- 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": 0.5,
-    "training_minutes": 120,
-    # ----- Validation
-    "funding_per_pair": 2000.0,
-}
-
-

src/pt_backtest.py

@@ -1,28 +1,112 @@
-from abc import ABC, abstractmethod
-import sys
 
-from typing import Any, Dict, List, Optional
+from typing import Any, Dict, List
 
 import pandas as pd
-import numpy as np
 
-# ============= statsmodels ===================
+from strategies import SlidingFitStrategy, StaticFitStrategy
-from statsmodels.tsa.vector_ar.vecm import VECM
-
-from backtest_configs import CRYPTO_CONFIG
-from strategies import StaticFitStrategy
 from tools.data_loader import load_market_data
 from tools.trading_pair import TradingPair
 from results import BacktestResult
 
-NanoPerMin = 1e9
+
-UNSET_FLOAT: float = sys.float_info.max
+# ------------------------ Configuration ------------------------
-UNSET_INT: int = sys.maxsize
+# Default configuration
+CRYPTO_CONFIG: Dict = {
+    "security_type": "CRYPTO",
+    # --- 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": 0.5,
+    "training_minutes": 120,
+    # ----- Validation
+    "funding_per_pair": 2000.0,
+}
 
 
-CONFIG = CRYPTO_CONFIG
+# CONFIG = CRYPTO_CONFIG
-# CONFIG = EQT_CONFIG
+CONFIG = EQT_CONFIG
+STRATEGY = StaticFitStrategy()
 
+# CONFIG = CRYPTO_CONFIG
+# STRATEGY = SlidingFitStrategy()
 
 def run_all_pairs(config: Dict, datafile: str, price_column: str, bt_result: BacktestResult) -> None:
 
@@ -44,12 +128,11 @@ def run_all_pairs(config: Dict, datafile: str, price_column: str, bt_result: Bac
             )
             pairs.append(pair)
         return pairs
- 
+
 
     pairs_trades = []
-    strategy = StaticFitStrategy()
     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
@@ -99,9 +182,10 @@ def main() -> None:
 
     # BacktestResults.print_results_summary(all_results)
     bt_results.calculate_returns(all_results)
+
     # Print grand totals
     bt_results.print_grand_totals()
     bt_results.print_outstanding_positions()
-    
+
 if __name__ == "__main__":
     main()

src/strategies.py

@@ -1,4 +1,5 @@
 from abc import ABC, abstractmethod
+from enum import Enum
 import sys
 
 from typing import Dict, Optional
@@ -22,10 +23,10 @@ class PairsTradingStrategy(ABC):
     ]
     @abstractmethod
     def run_pair(self, pair: TradingPair, bt_result: BacktestResult) -> Optional[pd.DataFrame]:
-        ... 
+        ...
 
 class StaticFitStrategy(PairsTradingStrategy):
-    
+
     def run_pair(self, config: Dict, pair: TradingPair, bt_result: BacktestResult) -> Optional[pd.DataFrame]: # abstractmethod
         pair.get_datasets(training_minutes=config["training_minutes"])
         try:
@@ -42,7 +43,7 @@ class StaticFitStrategy(PairsTradingStrategy):
         except Exception as e:
             print(f"{pair}: Prediction failed: {str(e)}")
             return None
-            
+
         pair_trades = self.create_trading_signals(pair=pair, config=config, result=bt_result)
 
         return pair_trades
@@ -199,42 +200,205 @@ class StaticFitStrategy(PairsTradingStrategy):
             columns=self.TRADES_COLUMNS,
         )
 
+class PairState(Enum):
+    INITIAL = 1
+    OPEN = 2
+    CLOSED = 3
+
 class SlidingFitStrategy(PairsTradingStrategy):
     def __init__(self):
         super().__init__()
-        self.curr_training_start_idx_ = 0 
+        self.curr_training_start_idx_ = 0
-           
+
-    def run_pair(self, config: Dict, pair: TradingPair, bt_result: BacktestResult) -> Optional[pd.DataFrame]: 
+    def run_pair(self, config: Dict, pair: TradingPair, bt_result: BacktestResult) -> Optional[pd.DataFrame]:
-        pair.user_data_['is_position_open'] = False
+        print(f"***{pair}*** STARTING....")
+
+        pair.user_data_['state'] = PairState.INITIAL
+        pair.user_data_["trades"] = pd.DataFrame(columns=self.TRADES_COLUMNS)
+        pair.user_data_["is_cointegrated"] = False
+
+        open_threshold = config["dis-equilibrium_open_trshld"]
+        close_threshold = config["dis-equilibrium_open_trshld"]
+
         training_minutes = config["training_minutes"]
         while True:
+            print(self.curr_training_start_idx_, end='\r')
             pair.get_datasets(
-                training_minutes=training_minutes, 
+                training_minutes=training_minutes,
-                training_start_index=self.curr_training_start_idx_, 
+                training_start_index=self.curr_training_start_idx_,
                 testing_size=1
             )
-            
+
             if len(pair.training_df_) < training_minutes:
-                print(f"{pair}: Not enough training data. Completing the job.")
+                print(f"{pair}:  {self.curr_training_start_idx_} Not enough training data. Completing the job.")
+                if pair.user_data_["state"] == PairState.OPEN:
+                    print(f"{pair}:  {self.curr_training_start_idx_} Position is not closed.")
+                    # outstanding positions
+                    # last_row_index = self.curr_training_start_idx_ + training_minutes
+
+                    bt_result.handle_outstanding_position(
+                        pair=pair,
+                        pair_result_df=pair.predicted_df_,
+                        last_row_index=0,
+                        open_side_a=pair.user_data_["open_side_a"],
+                        open_side_b=pair.user_data_["open_side_b"],
+                        open_px_a=pair.user_data_["open_px_a"],
+                        open_px_b=pair.user_data_["open_px_b"],
+                        open_tstamp=pair.user_data_["open_tstamp"],
+                    )
                 break
-            
+
             try:
                 is_cointegrated = pair.train_pair()
-                if not is_cointegrated:
-                    print(f"{pair} IS NOT COINTEGRATED")
-                    return None
             except Exception as e:
-                print(f"{pair}: Training failed: {str(e)}")
+                raise Exception(f"{pair}: Training failed: {str(e)}") from e
-                return None
+
+            if pair.user_data_["is_cointegrated"] != is_cointegrated:
+                    pair.user_data_["is_cointegrated"] = is_cointegrated
+                    if not is_cointegrated:
+                        if pair.user_data_["state"] == PairState.OPEN:
+                            print(f"{pair}  {self.curr_training_start_idx_} LOST COINTEGRATION. Consider closing positions...")
+                        else:
+                            print(f"{pair} {self.curr_training_start_idx_} IS NOT COINTEGRATED. Moving on")
+                    else:
+                        print('*' * 80)
+                        print(f"Pair {pair} ({self.curr_training_start_idx_}) IS COINTEGRATED")
+                        print('*' * 80)
+            if not is_cointegrated:
+                self.curr_training_start_idx_ += 1
+                continue
 
             try:
                 pair.predict()
             except Exception as e:
-                print(f"{pair}: Prediction failed: {str(e)}")
+                raise Exception(f"{pair}: Prediction failed: {str(e)}") from e
-                return None
+
-        
+            if pair.user_data_["state"] == PairState.INITIAL:
+
+                open_trades = self._get_open_trades(pair, open_threshold=open_threshold)
+                if open_trades is not None:
+                    pair.user_data_["trades"] = open_trades
+                    pair.user_data_["state"] = PairState.OPEN
+            elif pair.user_data_["state"] == PairState.OPEN:
+                close_trades = self._get_close_trades(pair, close_threshold=close_threshold)
+                if close_trades is not None:
+                    pair.user_data_["trades"] = pd.concat([pair.user_data_["trades"], close_trades], ignore_index=True)
+                    pair.user_data_["state"] = PairState.CLOSED
+                    break
+
+            self.curr_training_start_idx_ += 1
+
+        print(f"***{pair}*** FINISHED ... {len(pair.user_data_['trades'])}")
+        return pair.user_data_["trades"]
+
+    def _get_open_trades(self, pair: TradingPair, open_threshold: float) -> Optional[pd.DataFrame]:
+        colname_a, colname_b = pair.colnames()
+
+        predicted_df = pair.predicted_df_
+
+        open_row = predicted_df.loc[0]
+        open_tstamp = open_row["tstamp"]
+        open_disequilibrium = open_row["disequilibrium"]
+        open_scaled_disequilibrium = open_row["scaled_disequilibrium"]
+        open_px_a = open_row[f"{colname_a}"]
+        open_px_b = open_row[f"{colname_b}"]
+
+        if open_scaled_disequilibrium < open_threshold:
+            return None
+
+        # creating the trades
+        if open_disequilibrium > 0:
+            open_side_a = "SELL"
+            open_side_b = "BUY"
+            close_side_a = "BUY"
+            close_side_b = "SELL"
+        else:
+            open_side_a = "BUY"
+            open_side_b = "SELL"
+            close_side_a = "SELL"
+            close_side_b = "BUY"
+
+        # save closing sides
+        pair.user_data_["open_side_a"] = open_side_a
+        pair.user_data_["open_side_b"] = open_side_b
+        pair.user_data_["open_px_a"] = open_px_a
+        pair.user_data_["open_px_b"] = open_px_b
+
+        pair.user_data_["open_tstamp"] = open_tstamp
+
+        pair.user_data_["close_side_a"] = close_side_a
+        pair.user_data_["close_side_b"] = close_side_b
+
+
+        # create opening trades
+        trd_signal_tuples = [
+            (
+                open_tstamp,
+                open_side_a,
+                pair.symbol_a_,
+                open_px_a,
+                open_disequilibrium,
+                open_scaled_disequilibrium,
+                pair,
+            ),
+            (
+                open_tstamp,
+                open_side_b,
+                pair.symbol_b_,
+                open_px_b,
+                open_disequilibrium,
+                open_scaled_disequilibrium,
+                pair,
+            ),
+        ]
+        return pd.DataFrame(
+            trd_signal_tuples,
+            columns=self.TRADES_COLUMNS,
+        )
+
+    def _get_close_trades(self, pair: TradingPair, close_threshold: float) -> Optional[pd.DataFrame]:
+        colname_a, colname_b = pair.colnames()
+
+        close_row = pair.predicted_df_.loc[0]
+        close_tstamp = close_row["tstamp"]
+        close_disequilibrium = close_row["disequilibrium"]
+        close_scaled_disequilibrium = close_row["scaled_disequilibrium"]
+        close_px_a = close_row[f"{colname_a}"]
+        close_px_b = close_row[f"{colname_b}"]
+
+        close_side_a = pair.user_data_["close_side_a"]
+        close_side_b = pair.user_data_["close_side_b"]
+
+        if close_scaled_disequilibrium > close_threshold:
+            return None
+
+        trd_signal_tuples = [
+            (
+                close_tstamp,
+                close_side_a,
+                pair.symbol_a_,
+                close_px_a,
+                close_disequilibrium,
+                close_scaled_disequilibrium,
+                pair,
+            ),
+            (
+                close_tstamp,
+                close_side_b,
+                pair.symbol_b_,
+                close_px_b,
+                close_disequilibrium,
+                close_scaled_disequilibrium,
+                pair,
+            ),
+        ]
+
+        # Add tuples to data frame
+        return pd.DataFrame(
+            trd_signal_tuples,
+            columns=self.TRADES_COLUMNS,
+        )
+
 
-            pair_trades = self.create_trading_signals(pair=pair, config=config, result=bt_result)
 
-        return pair_trades
 

src/tools/trading_pair.py

@@ -1,5 +1,5 @@
 
-from typing import List, Optional
+from typing import Any, Dict, List, Optional
 import pandas as pd
 from statsmodels.tsa.vector_ar.vecm import VECM
 
@@ -16,6 +16,8 @@ class TradingPair:
     testing_df_: Optional[pd.DataFrame]
 
     vecm_fit_: Optional[VECM]
+    
+    user_data_: Dict[str, Any]
 
     def __init__(self, market_data: pd.DataFrame, symbol_a: str, symbol_b: str, price_column: str):
         self.symbol_a_ = symbol_a
@@ -23,12 +25,13 @@ class TradingPair:
         self.price_column_ = price_column
         self.market_data_ = self._transform_dataframe(market_data)[["tstamp"] + self.colnames()]
         
-        
         self.training_mu_ = None
         self.training_std_ = None
         self.training_df_ = None
         self.testing_df_ = None
         self.vecm_fit_ = None
+        
+        self.user_data_ = {}
 
     def _transform_dataframe(self, df: pd.DataFrame):
         # Select only the columns we need
@@ -57,7 +60,9 @@ class TradingPair:
 
         return result_df
     def get_datasets(self, training_minutes: int, training_start_index: int = 0, testing_size: Optional[int] = None) -> None:
-        self.training_df_ = self.market_data_.iloc[training_start_index:training_minutes - 1, :].copy()
+        
+        testing_start_index = training_start_index + training_minutes
+        self.training_df_ = self.market_data_.iloc[training_start_index:testing_start_index, :].copy()
         self.training_df_ = self.training_df_.dropna().reset_index(drop=True)
 
         testing_start_index = training_start_index + training_minutes
@@ -101,7 +106,7 @@ class TradingPair:
             return False
             pass
 
-        print('*' * 80 + '\n' + f"**************** {self} IS COINTEGRATED ****************\n" + '*' * 80)
+        # print('*' * 80 + '\n' + f"**************** {self} IS COINTEGRATED ****************\n" + '*' * 80)
         self.fit_VECM()
         diseq_series = self.training_df_[self.colnames()] @ self.vecm_fit_.beta
         self.training_mu_ = diseq_series.mean().iloc[0]