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added window size optimization classes

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This commit is contained in:
Oleg Sheynin
2025-07-31 18:53:42 +00:00
parent 0af334bdf9
commit 8e6ac39674
8 changed files with 283 additions and 62 deletions
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configuration/ols.cfg
+7 -3
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@@ -20,11 +20,15 @@
"column": "vwap",
"shift": 1,
},
"dis-equilibrium_open_trshld": 2.0,
"dis-equilibrium_close_trshld": 0.5,
"training_size": 120,
"dis-equilibrium_open_trshld": 1.75,
"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.OptimizedWindowDataPolicy",
# "min_training_size": 60,
# "max_training_size": 150,
# ====== Stop Conditions ======
"stop_close_conditions": {