research/stat_pairs_backtest
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Leonid Gloubchnin
2025-11-04 17:55:08 +00:00
parent 5d46c1e32c
commit 413abafe0f
11 changed files with 7076 additions and 290 deletions
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lib/pt_trading/results.py
+8 -6
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@@ -427,14 +427,16 @@ class BacktestResult:
trd["open_scaled_disequilibrium"] is not None
and trd["open_scaled_disequilibrium"] is not None
):
disequil_info = f" | Open Dis-eq: {trd['open_scaled_disequilibrium']:.2f},"
f" Close Dis-eq: {trd['open_scaled_disequilibrium']:.2f}"
disequil_info = (
f' | Open Dis-eq: {trd["open_scaled_disequilibrium"]:.2f},'
f' Close Dis-eq: {trd["close_scaled_disequilibrium"]:.2f}'
)
print(
f" {trd['open_time'].time()}-{trd['close_time'].time()} {trd['symbol']}: "
f" {trd['open_side']} @ ${trd['open_price']:.2f},"
f" {trd["close_side"]} @ ${trd["close_price"]:.2f},"
f" Return: {trd['symbol_return']:.2f}%{disequil_info}"
f' {trd["open_time"].time()}-{trd["close_time"].time()} {trd["symbol"]}: '
f' {trd["open_side"]} @ ${trd["open_price"]:.2f},'
f' {trd["close_side"]} @ ${trd["close_price"]:.2f},'
f' Return: {trd["symbol_return"]:.2f}%{disequil_info}'
)
pair_return += trd["symbol_return"]