notebook progress

2025-07-23 03:32:43 +00:00
parent e0138907be
commit 577fb5c109
5 changed files with 1485 additions and 504 deletions
@@ -75,9 +75,12 @@ class VECMTradingPair(TradingPair):
            predicted_df[self.colnames()] @ self.vecm_fit_.beta
        )

+        predicted_df["signed_scaled_disequilibrium"] = (
+            predicted_df["disequilibrium"] - self.training_mu_
+        ) / self.training_std_
+
        predicted_df["scaled_disequilibrium"] = (
-            abs(predicted_df["disequilibrium"] - self.training_mu_)
-            / self.training_std_
+            abs(predicted_df["signed_scaled_disequilibrium"])
        )
        
        predicted_df = predicted_df.reset_index(drop=True)