research/stat_pairs_backtest
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This commit is contained in:
Oleg Sheynin
2025-05-29 01:39:31 -04:00
parent 0ceb2f2eba
commit 06884d72b7
4 changed files with 154 additions and 175 deletions
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src/tools/data_loader.py
+11 -11
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@@ -118,20 +118,20 @@ def transform_dataframe(df: pd.DataFrame, price_column: str):
return result_df
def get_datasets(df: pd.DataFrame, training_minutes: int, pair: TradingPair) -> Tuple[pd.DataFrame, pd.DataFrame]:
# Training dataset
colname_a, colname_b = pair.colnames()
df = df[["tstamp", colname_a, colname_b]]
df = df.dropna()
# def get_datasets(df: pd.DataFrame, training_minutes: int, pair: TradingPair) -> Tuple[pd.DataFrame, pd.DataFrame]:
# # Training dataset
# colname_a, colname_b = pair.colnames()
# df = df[["tstamp", colname_a, colname_b]]
# df = df.dropna()
training_df = df.iloc[:training_minutes - 1, :].copy()
training_df.reset_index(drop=True).dropna().reset_index(drop=True)
# training_df = df.iloc[:training_minutes - 1, :].copy()
# training_df.reset_index(drop=True).dropna().reset_index(drop=True)
# Testing dataset
testing_df = df.iloc[training_minutes:, :].copy()
testing_df.reset_index(drop=True).dropna().reset_index(drop=True)
# # Testing dataset
# testing_df = df.iloc[training_minutes:, :].copy()
# testing_df.reset_index(drop=True).dropna().reset_index(drop=True)
return (training_df, testing_df)
# return (training_df, testing_df)
if __name__ == "__main__":