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This commit is contained in:
Oleg Sheynin
2025-07-23 03:32:43 +00:00
parent e0138907be
commit 577fb5c109
5 changed files with 1485 additions and 504 deletions
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lib/pt_trading/rolling_window_fit.py
+8
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@@ -177,6 +177,7 @@ class RollingFit(PairsTradingFitMethod):
open_tstamp = open_row["tstamp"]
open_disequilibrium = open_row["disequilibrium"]
open_scaled_disequilibrium = open_row["scaled_disequilibrium"]
signed_scaled_disequilibrium = open_row["signed_scaled_disequilibrium"]
open_px_a = open_row[f"{colname_a}"]
open_px_b = open_row[f"{colname_b}"]
@@ -214,6 +215,7 @@ class RollingFit(PairsTradingFitMethod):
open_px_a,
open_disequilibrium,
open_scaled_disequilibrium,
signed_scaled_disequilibrium,
pair,
),
(
@@ -224,6 +226,7 @@ class RollingFit(PairsTradingFitMethod):
open_px_b,
open_disequilibrium,
open_scaled_disequilibrium,
signed_scaled_disequilibrium,
pair,
),
]
@@ -241,6 +244,7 @@ class RollingFit(PairsTradingFitMethod):
"price": "float64",
"disequilibrium": "float64",
"scaled_disequilibrium": "float64",
"signed_scaled_disequilibrium": "float64",
"pair": "object",
}
)
@@ -254,6 +258,7 @@ class RollingFit(PairsTradingFitMethod):
close_tstamp = close_row["tstamp"]
close_disequilibrium = close_row["disequilibrium"]
close_scaled_disequilibrium = close_row["scaled_disequilibrium"]
signed_scaled_disequilibrium = close_row["signed_scaled_disequilibrium"]
close_px_a = close_row[f"{colname_a}"]
close_px_b = close_row[f"{colname_b}"]
@@ -269,6 +274,7 @@ class RollingFit(PairsTradingFitMethod):
close_px_a,
close_disequilibrium,
close_scaled_disequilibrium,
signed_scaled_disequilibrium,
pair,
),
(
@@ -279,6 +285,7 @@ class RollingFit(PairsTradingFitMethod):
close_px_b,
close_disequilibrium,
close_scaled_disequilibrium,
signed_scaled_disequilibrium,
pair,
),
]
@@ -297,6 +304,7 @@ class RollingFit(PairsTradingFitMethod):
"price": "float64",
"disequilibrium": "float64",
"scaled_disequilibrium": "float64",
"signed_scaled_disequilibrium": "float64",
"pair": "object",
}
)