progress: added zscore fit

2025-07-22 00:20:14 +00:00
parent b87b40a6ed
commit 0e83142d0a
9 changed files with 271 additions and 117 deletions
@@ -0,0 +1,33 @@
+{
+    "security_type": "CRYPTO",
+    "data_directory": "./data/crypto",
+    "datafiles": [
+        "2025*.mktdata.ohlcv.db"
+    ],
+    "db_table_name": "md_1min_bars",
+    "exchange_id": "BNBSPOT",
+    "instrument_id_pfx": "PAIR-",
+    "funding_per_pair": 2000.0,
+
+    # ====== Trading Parameters ======
+    "price_column": "close",
+    "dis-equilibrium_open_trshld": 2.0,
+    "dis-equilibrium_close_trshld": 0.5,
+    "training_minutes": 120,
+    "fit_method_class": "pt_trading.z-score_rolling_fit.ZScoreRollingFit",
+
+    # ====== Stop Conditions ======
+    "stop_close_conditions": {
+        "profit": 2.0,
+        "loss": -0.5
+    }
+
+    # ====== End of Session Closeout ======
+    "close_outstanding_positions": true,
+    # "close_outstanding_positions": false,
+    "trading_hours": {
+        "begin_session": "9:30:00",
+        "end_session": "21:30:00",
+        "timezone": "America/New_York"
+    }
+}
@@ -0,0 +1,35 @@
+{
+    "security_type": "EQUITY",
+    "data_directory": "./data/equity",
+    "datafiles": [
+        "202506*.mktdata.ohlcv.db",
+    ],
+    "db_table_name": "md_1min_bars",
+    "exchange_id": "ALPACA",
+    "instrument_id_pfx": "STOCK-",
+    "exclude_instruments": ["CAN"],
+
+    "funding_per_pair": 2000.0,
+
+    # ====== Trading Parameters ======
+    "price_column": "close",
+    "dis-equilibrium_open_trshld": 2.0,
+    "dis-equilibrium_close_trshld": 1.0,
+    "training_minutes": 120,
+    "fit_method_class": "pt_trading.z-score_rolling_fit.ZScoreRollingFit",
+
+    # ====== Stop Conditions ======
+    "stop_close_conditions": {
+        "profit": 2.0,
+        "loss": -0.5
+    }
+
+    # ====== End of Session Closeout ======
+    "close_outstanding_positions": true,
+    # "close_outstanding_positions": false,
+    "trading_hours": {
+        "begin_session": "9:30:00",
+        "end_session": "15:30:00",
+        "timezone": "America/New_York"
+    }
+}