PAIRS_TRADING_BACKTEST_USAGE.md

@@ -11,7 +11,6 @@ The enhanced `pt_backtest.py` script now supports multi-day and multi-instrument
 - Support for wildcard patterns in configuration files
 - CLI override for data file specification
 
-
 ### 2. Dynamic Instrument Selection
 - Auto-detection of instruments from database
 - CLI override for instrument specification

lib/pt_trading/trading_pair.py

@@ -376,16 +376,16 @@ class TradingPair:
             open_trades = self.user_data_["open_trades"]
             if len(open_trades) == 0:
                 return 0.0
-            def _single_instrument_return(symbol: str) -> float:
-                instrument_open_trades = open_trades[open_trades["symbol"] == symbol]
-                instrument_sign = -1 if instrument_open_trades["action"].iloc[0]  == "SELL" else 1
-                instrument_price = predicted_row[f"{self.price_column_}_{symbol}"]
-                instrument_return = instrument_sign * (instrument_price - instrument_open_trades["price"].iloc[0]) / instrument_open_trades["price"].iloc[0]
-                return float(instrument_return) * 100.0
+            def _stock_return(stock: str) -> float:
+                stock_open_trades = open_trades[open_trades["symbol"] == stock]
+                stock_sign = -1 if stock_open_trades["action"].iloc[0]  == "SELL" else 1
+                stock_price = predicted_row[f"{self.price_column_}_{stock}"]
+                stock_return = stock_sign * (stock_price - stock_open_trades["price"].iloc[0]) / stock_open_trades["price"].iloc[0]
+                return float(stock_return)
             
-            instrument_a_return = _single_instrument_return(self.symbol_a_)
-            instrument_b_return = _single_instrument_return(self.symbol_b_)
-            return (instrument_a_return + instrument_b_return)
+            stock_a_return = _stock_return(self.symbol_a_)
+            stock_b_return = _stock_return(self.symbol_b_)
+            return (stock_a_return + stock_b_return) * 100.0
         return 0.0
         
     def __repr__(self) -> str:

scripts/load_crypto_1min.sh

@@ -16,12 +16,7 @@ cd $(realpath $(dirname $0))/..
 mkdir -p ./data/crypto
 pushd ./data/crypto
 
-Files=$1
-if [ -z "$Files" ]; then
-    Files="*.gz"
-fi
-
-Cmd="rsync -ahvv cvtt@hs01.cvtt.vpn:/works/cvtt/md_archive/crypto/sim/${Files} ./"
+Cmd="rsync -ahvv cvtt@hs01.cvtt.vpn:/works/cvtt/md_archive/crypto/sim/*.gz ./"
 echo $Cmd
 eval $Cmd
 # -------------------------------------

scripts/load_equity_1min.sh

@@ -26,12 +26,8 @@ for srcfname in $(ls *.db.gz); do
     tgtfile=${dt}.mktdata.ohlcv.db
     echo "${srcfname} -> ${tgtfile}"
 
-    Cmd="gunzip -c $srcfname > temp.db && rm $srcfname"
-    echo ${Cmd}
-    eval ${Cmd}
-    Cmd="rm -f ${tgtfile} && sqlite3 temp.db '.dump md_1min_bars' | sqlite3  ${tgtfile}"
-    echo ${Cmd}
-    eval ${Cmd}
+    gunzip -c $srcfname > temp.db
+    rm -f ${tgtfile} && sqlite3 temp.db ".dump md_1min_bars" | sqlite3  ${tgtfile} && rm ${srcfname}
 done
 rm temp.db
 popd