research/stat_pairs_backtest
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Oleg Sheynin
2025-08-02 00:12:31 +00:00
parent 80c3e8d54b
commit 73f36ddcea
21 changed files with 812 additions and 321 deletions
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configuration/ols-opt.cfg
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@@ -24,8 +24,7 @@
"dis-equilibrium_close_trshld": 0.9,
"model_class": "pt_strategy.models.OLSModel",
# "training_size": 120,
# "model_data_policy_class": "pt_strategy.model_data_policy.RollingWindowDataPolicy",
# "model_data_policy_class": "pt_strategy.model_data_policy.EGOptimizedWndDataPolicy",
# "model_data_policy_class": "pt_strategy.model_data_policy.ADFOptimizedWndDataPolicy",
"model_data_policy_class": "pt_strategy.model_data_policy.JohansenOptdWndDataPolicy",
"min_training_size": 60,