research/stat_pairs_backtest
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This commit is contained in:
Oleg Sheynin
2026-01-11 13:33:58 +00:00
parent 6dd0f97d74
commit b196863a34
26 changed files with 5365 additions and 5566 deletions
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configuration/vecm-opt.cfg
+13 -6
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@@ -1,9 +1,16 @@
{
"refdata": {
"assets": @inc=http://@env{CONFIG_SERVICE}/refdata/assets
, "instruments": @inc=http://@env{CONFIG_SERVICE}/refdata/instruments
, "exchange_instruments": @inc=http://@env{CONFIG_SERVICE}/refdata/exchange_instruments
, "dynamic_instrument_exchanges": ["ALPACA"]
, "exchanges": @inc=http://@env{CONFIG_SERVICE}/refdata/exchanges
},
"market_data_loading": {
"CRYPTO": {
"data_directory": "./data/crypto",
"db_table_name": "md_1min_bars",
"instrument_id_pfx": "PAIR-",
"data_directory": "./data/crypto",
"db_table_name": "md_1min_bars",
"instrument_id_pfx": "PAIR-",
},
"EQUITY": {
"data_directory": "./data/equity",
@@ -24,11 +31,11 @@
"dis-equilibrium_open_trshld": 1.75,
"dis-equilibrium_close_trshld": 1.0,
"model_class": "pt_strategy.models.VECMModel",
"model_class": "pairs_trading.lib.pt_strategy.models.VECMModel",
# "training_size": 120,
# "model_data_policy_class": "pt_strategy.model_data_policy.RollingWindowDataPolicy",
"model_data_policy_class": "pt_strategy.model_data_policy.ADFOptimizedWndDataPolicy",
# "model_data_policy_class": "pairs_trading.lib.pt_strategy.model_data_policy.RollingWindowDataPolicy",
"model_data_policy_class": "pairs_trading.lib.pt_strategy.model_data_policy.ADFOptimizedWndDataPolicy",
"min_training_size": 60,
"max_training_size": 150,