progress

2025-05-27 15:26:02 -04:00
parent d5369b629d
commit 966d7e4b1f
2 changed files with 1 additions and 0 deletions
@@ -263,6 +263,7 @@ def create_trading_signals(vecm_fit, testing_pair_df, pair: TradingPair) -> pd.D
    )

    pair_result_df["abs_equilibrium"] = np.abs(pair_result_df["equilibrium"])
+    pair_result_df["scaled_equilibrium"] = pair_result_df["abs_equilibrium"] / (abs(beta[0]) * pair_result_df[colname_a] + abs(beta[1]) * pair_result_df[colname_b])

    # Reset index to ensure proper indexing
    pair_result_df = pair_result_df.reset_index()