research/stat_pairs_backtest
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refactored code. before cleaning

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This commit is contained in:
Oleg Sheynin
2025-07-30 20:11:25 +00:00
parent 1d73ce8070
commit 1b6b5e5735
7 changed files with 6729 additions and 636 deletions
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lib/pt_strategy/models.py
+3 -4
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@@ -27,10 +27,9 @@ class ZScoreOLSModel(PairsTradingModel):
assert zscore_df is not None
return Prediction(
tstamp_=pair.market_data_.index[-1],
disequilibrium_=self.training_df_["dis-equilibrium"].iloc[-1],
scaled_disequilibrium_=self.training_df_["scaled_dis-equilibrium"].iloc[-1],
pair_=pair,
tstamp=pair.market_data_.iloc[-1]["tstamp"],
disequilibrium=self.training_df_["dis-equilibrium"].iloc[-1],
scaled_disequilibrium=self.training_df_["scaled_dis-equilibrium"].iloc[-1],
)
def _fit_zscore(self, pair: TradingPair) -> pd.DataFrame: