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cointegration test initial

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This commit is contained in:
Oleg Sheynin
2025-07-17 00:19:49 +00:00
parent facf7fb0c6
commit 2272a31765
8 changed files with 294 additions and 5302 deletions
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lib/pt_trading/sliding_fit.py
+2 -28
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@@ -5,14 +5,10 @@ from typing import Dict, Optional, cast
import pandas as pd # type: ignore[import]
from pt_trading.fit_method import PairState, PairsTradingFitMethod
from pt_trading.results import BacktestResult
from pt_trading.trading_pair import TradingPair
from pt_trading.trading_pair import CointegrationData, TradingPair
NanoPerMin = 1e9
class SlidingFit(PairsTradingFitMethod):
def __init__(self) -> None:
super().__init__()
@@ -37,7 +33,6 @@ class SlidingFit(PairsTradingFitMethod):
"scaled_disequilibrium": "float64",
"pair": "object"
})
pair.user_data_["is_cointegrated"] = False
training_minutes = config["training_minutes"]
curr_predicted_row_idx = 0
@@ -59,31 +54,10 @@ class SlidingFit(PairsTradingFitMethod):
try:
# ================================ TRAINING ================================
is_cointegrated = pair.train_pair()
pair.train_pair()
except Exception as e:
raise RuntimeError(f"{pair}: Training failed: {str(e)}") from e
if pair.user_data_["is_cointegrated"] != is_cointegrated:
pair.user_data_["is_cointegrated"] = is_cointegrated
if not is_cointegrated:
if pair.user_data_["state"] == PairState.OPEN:
print(
f"{pair} {curr_training_start_idx} LOST COINTEGRATION. Consider closing positions..."
)
else:
print(
f"{pair} {curr_training_start_idx} IS NOT COINTEGRATED. Moving on"
)
else:
print("*" * 80)
print(
f"Pair {pair} ({curr_training_start_idx}) IS COINTEGRATED"
)
print("*" * 80)
if not is_cointegrated:
curr_training_start_idx += 1
continue
try:
# ================================ PREDICTION ================================
pair.predict()