initial cleaning after refactoring

2025-07-30 23:15:24 +00:00
parent 1b6b5e5735
commit b474752959
22 changed files with 105 additions and 13 deletions
@@ -10,7 +10,7 @@ from pt_strategy.pt_model import PairsTradingModel, Prediction
 from pt_strategy.trading_pair import TradingPair


-class ZScoreOLSModel(PairsTradingModel):
+class OLSModel(PairsTradingModel):
    zscore_model_: Optional[sm.regression.linear_model.RegressionResultsWrapper]
    pair_predict_result_: Optional[pd.DataFrame]
    zscore_df_: Optional[pd.DataFrame]
@@ -67,10 +67,9 @@ class VECMModel(PairsTradingModel):
        disequilibrium = (predicted_df[pair.colnames()] @ vecm_fit.beta)[0][0]
        scaled_disequilibrium = (disequilibrium - self.training_mu_) / self.training_std_
        return Prediction(
-            tstamp_=pair.market_data_.index[-1],
-            disequilibrium_=disequilibrium,
-            scaled_disequilibrium_=scaled_disequilibrium,
-            pair_=pair,
+            tstamp=pair.market_data_.iloc[-1]["tstamp"],
+            disequilibrium=disequilibrium,
+            scaled_disequilibrium=scaled_disequilibrium,
        )
        
    def _fit_VECM(self, pair: TradingPair) -> VECMResults: # type: ignore