{
"cells": [
{
"cell_type": "markdown",
"metadata": {
"vscode": {
"languageId": "raw"
}
},
"source": [
"# Pairs Trading Backtest Notebook\n",
"\n",
"This comprehensive notebook supports both StaticFit and SlidingFit.\n",
"It automatically adapts its analysis and visualization based on the strategy specified in the configuration file.\n",
"\n",
"## Key Features:\n",
"\n",
"1. **Configuration-Driven**: Loads strategy and parameters from HJSON configuration files\n",
"2. **Dual Model Support**: Works with both StaticFit and SlidingFit\n",
"3. **Adaptive Visualization**: Different visualizations based on selected strategy\n",
"4. **Comprehensive Analysis**: Deep analysis of trading pairs and dis-equilibrium\n",
"5. **Interactive Configuration**: Easy parameter adjustment and re-running\n",
"\n",
"## Usage:\n",
"\n",
"1. **Configure Parameters**: Set CONFIG_FILE, SYMBOL_A, SYMBOL_B, and TRADING_DATE\n",
"2. **Run Analysis**: Execute cells step by step\n",
"3. **View Results**: Comprehensive visualizations and trading signals\n",
"4. **Experiment**: Modify parameters and re-run for different scenarios\n"
]
},
{
"cell_type": "markdown",
"metadata": {
"vscode": {
"languageId": "raw"
}
},
"source": [
"\n",
"# Settings"
]
},
{
"cell_type": "code",
"execution_count": 1,
"metadata": {},
"outputs": [],
"source": [
"# Trading Parameters Configuration\n",
"# Specify your configuration file, trading symbols and date here\n",
"\n",
"# Configuration file selection\n",
"CONFIG_FILE = \"equity\" # Options: \"equity\", \"crypto\", or custom filename (without .cfg extension)\n",
"\n",
"# Trading pair symbols\n",
"SYMBOL_A = \"COIN\" # Change this to your desired symbol A\n",
"SYMBOL_B = \"MSTR\" # Change this to your desired symbol B\n",
"\n",
"# Date for data file selection (format: YYYYMMDD)\n",
"TRADING_DATE = \"20250605\" # Change this to your desired date\n"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"# Setup and Configuration"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"## Code Setup"
]
},
{
"cell_type": "code",
"execution_count": 2,
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"Setup complete!\n"
]
}
],
"source": [
"import sys\n",
"import os\n",
"sys.path.append('/home/oleg/develop/pairs_trading/lib')\n",
"sys.path.append('/home/coder/pairs_trading/lib')\n",
"\n",
"import pandas as pd\n",
"import numpy as np\n",
"import matplotlib.pyplot as plt\n",
"import seaborn as sns\n",
"import importlib\n",
"from typing import Dict, List, Optional\n",
"from IPython.display import clear_output\n",
"\n",
"# Import our modules\n",
"from pt_trading.fit_methods import StaticFit, SlidingFit, PairState\n",
"from tools.data_loader import load_market_data\n",
"from pt_trading.trading_pair import TradingPair\n",
"from pt_trading.results import BacktestResult\n",
"\n",
"# Set plotting style\n",
"plt.style.use('seaborn-v0_8')\n",
"sns.set_palette(\"husl\")\n",
"plt.rcParams['figure.figsize'] = (15, 10)\n",
"\n",
"print(\"Setup complete!\")\n"
]
},
{
"cell_type": "markdown",
"metadata": {
"vscode": {
"languageId": "raw"
}
},
"source": [
"## Load Configuration\n"
]
},
{
"cell_type": "code",
"execution_count": 3,
"metadata": {},
"outputs": [],
"source": [
"# Load Configuration from Configuration Files using HJSON\n",
"import hjson\n",
"import os\n",
"\n",
"def load_config_from_file(config_type) -> Optional[Dict]:\n",
" \"\"\"Load configuration from configuration files using HJSON\"\"\"\n",
" config_file = f\"../../configuration/{config_type}.cfg\"\n",
" \n",
" try:\n",
" with open(config_file, 'r') as f:\n",
" # HJSON handles comments, trailing commas, and other human-friendly features\n",
" config = hjson.load(f)\n",
" \n",
" # Convert relative paths to absolute paths from notebook perspective\n",
" if 'data_directory' in config:\n",
" data_dir = config['data_directory']\n",
" if data_dir.startswith('./'):\n",
" # Convert relative path to absolute path from notebook's perspective\n",
" config['data_directory'] = os.path.abspath(f\"../../{data_dir[2:]}\")\n",
" \n",
" return config\n",
" \n",
" except FileNotFoundError:\n",
" print(f\"Configuration file not found: {config_file}\")\n",
" return None\n",
" except hjson.HjsonDecodeError as e:\n",
" print(f\"HJSON parsing error in {config_file}: {e}\")\n",
" return None\n",
" except Exception as e:\n",
" print(f\"Unexpected error loading config from {config_file}: {e}\")\n",
" return None\n",
"\n",
"def instantiate_fit_method_from_config(config: Dict):\n",
" \"\"\"Dynamically instantiate strategy from config\"\"\"\n",
" fit_method_class_name = config.get(\"fit_method_class\", None)\n",
" assert fit_method_class_name is not None\n",
" try:\n",
" # Split module and class name\n",
" if '.' in fit_method_class_name:\n",
" module_name, class_name = fit_method_class_name.rsplit('.', 1)\n",
" else:\n",
" module_name = \"fit_methods\"\n",
" class_name = fit_method_class_name\n",
" \n",
" # Import module and get class\n",
" module = importlib.import_module(module_name)\n",
" fit_method_class = getattr(module, class_name)\n",
" \n",
" # Instantiate strategy\n",
" return fit_method_class()\n",
" \n",
" except Exception as e:\n",
" print(f\"Error instantiating strategy {fit_method_class_name}: {e}\")\n",
" raise Exception(f\"Error instantiating strategy {fit_method_class_name}: {e}\") from e\n"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"## Print Configuration"
]
},
{
"cell_type": "code",
"execution_count": 4,
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"Trading Parameters:\n",
" Configuration: equity\n",
" Symbol A: COIN\n",
" Symbol B: MSTR\n",
" Trading Date: 20250605\n",
"\n",
"Loading equity configuration using HJSON...\n",
"✓ Successfully loaded EQUITY configuration\n",
" Data directory: /home/oleg/develop/pairs_trading/data/equity\n",
" Database table: md_1min_bars\n",
" Exchange: ALPACA\n",
" Training window: 120 minutes\n",
" Open threshold: 2\n",
" Close threshold: 1\n",
" Strategy: SlidingFit\n",
"\n",
"Data Configuration:\n",
" Data File: 20250605.mktdata.ohlcv.db\n",
" Security Type: EQUITY\n",
" ✓ Data file found: /home/oleg/develop/pairs_trading/data/equity/20250605.mktdata.ohlcv.db\n"
]
}
],
"source": [
"print(f\"Trading Parameters:\")\n",
"print(f\" Configuration: {CONFIG_FILE}\")\n",
"print(f\" Symbol A: {SYMBOL_A}\")\n",
"print(f\" Symbol B: {SYMBOL_B}\")\n",
"print(f\" Trading Date: {TRADING_DATE}\")\n",
"\n",
"# Load the specified configuration\n",
"print(f\"\\nLoading {CONFIG_FILE} configuration using HJSON...\")\n",
"\n",
"CONFIG = load_config_from_file(CONFIG_FILE)\n",
"assert CONFIG is not None\n",
"pt_bt_config: Dict = dict(CONFIG)\n",
"\n",
"if pt_bt_config:\n",
" print(f\"✓ Successfully loaded {pt_bt_config['security_type']} configuration\")\n",
" print(f\" Data directory: {pt_bt_config['data_directory']}\")\n",
" print(f\" Database table: {pt_bt_config['db_table_name']}\")\n",
" print(f\" Exchange: {pt_bt_config['exchange_id']}\")\n",
" print(f\" Training window: {pt_bt_config['training_minutes']} minutes\")\n",
" print(f\" Open threshold: {pt_bt_config['dis-equilibrium_open_trshld']}\")\n",
" print(f\" Close threshold: {pt_bt_config['dis-equilibrium_close_trshld']}\")\n",
" \n",
" # Instantiate strategy from config\n",
" FIT_MODEL = instantiate_fit_method_from_config(pt_bt_config)\n",
" print(f\" Strategy: {type(FIT_MODEL).__name__}\")\n",
" \n",
" # Automatically construct data file name based on date and config type\n",
" DATA_FILE = f\"{TRADING_DATE}.mktdata.ohlcv.db\"\n",
"\n",
" # Update CONFIG with the specific data file and instruments\n",
" pt_bt_config[\"datafiles\"] = [DATA_FILE]\n",
" pt_bt_config[\"instruments\"] = [SYMBOL_A, SYMBOL_B]\n",
" \n",
" print(f\"\\nData Configuration:\")\n",
" print(f\" Data File: {DATA_FILE}\")\n",
" print(f\" Security Type: {pt_bt_config['security_type']}\")\n",
" \n",
" # Verify data file exists\n",
" data_file_path = f\"{pt_bt_config['data_directory']}/{DATA_FILE}\"\n",
" if os.path.exists(data_file_path):\n",
" print(f\" ✓ Data file found: {data_file_path}\")\n",
" else:\n",
" print(f\" ⚠ Data file not found: {data_file_path}\")\n",
" print(f\" Please check if the date and file exist in the data directory\")\n",
" \n",
" # List available files in the data directory\n",
" try:\n",
" data_dir = pt_bt_config['data_directory']\n",
" if os.path.exists(data_dir):\n",
" available_files = [f for f in os.listdir(data_dir) if f.endswith('.db')]\n",
" print(f\" Available files in {data_dir}:\")\n",
" for file in sorted(available_files)[:5]: # Show first 5 files\n",
" print(f\" - {file}\")\n",
" if len(available_files) > 5:\n",
" print(f\" ... and {len(available_files)-5} more files\")\n",
" except Exception as e:\n",
" print(f\" Could not list files in data directory: {e}\")\n",
"else:\n",
" print(\"⚠ Failed to load configuration. Please check the configuration file.\")\n"
]
},
{
"cell_type": "markdown",
"metadata": {
"vscode": {
"languageId": "raw"
}
},
"source": [
"## Load and Prepare Market Data\n"
]
},
{
"cell_type": "code",
"execution_count": 5,
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"Loading data from: /home/oleg/develop/pairs_trading/data/equity/20250605.mktdata.ohlcv.db\n",
"Loaded 782 rows of market data\n",
"Symbols in data: ['COIN' 'MSTR']\n",
"Time range: 2025-06-05 13:30:00 to 2025-06-05 20:00:00\n",
"\n",
"Created trading pair: COIN & MSTR\n",
"Market data shape: (391, 3)\n",
"Column names: ['close_COIN', 'close_MSTR']\n",
"\n",
"Sample data:\n"
]
},
{
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