research/stat_pairs_backtest
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progress. Initial untested version

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This commit is contained in:
Oleg Sheynin
2026-01-11 18:17:05 +00:00
parent b196863a34
commit bd6cf1d4d0
6 changed files with 46 additions and 88 deletions
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lib/pt_strategy/trading_pair.py
+14 -34
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@@ -27,22 +27,6 @@ class PairState(Enum):
CLOSE_STOP_PROFIT = 6
# def get_symbol(instrument: Dict[str, str]) -> str:
# if "symbol" in instrument:
# return instrument["symbol"]
# elif "instrument_id" in instrument:
# instrument_id = instrument["instrument_id"]
# instrument_pfx = instrument_id[: instrument_id.find("-") + 1]
# symbol = instrument_id[len(instrument_pfx) :]
# instrument["symbol"] = symbol
# instrument["instrument_id_pfx"] = instrument_pfx
# return symbol
# else:
# raise ValueError(
# f"Invalid instrument: {instrument}, missing symbol or instrument_id"
# )
class TradingPair(NamedObject, ABC):
config_: Config
model_: Any # "PairsTradingModel"
@@ -67,13 +51,12 @@ class TradingPair(NamedObject, ABC):
self.instruments_[0].user_data_["symbol"] = instruments[0].instrument_id().split("-", 1)[1]
self.instruments_[1].user_data_["symbol"] = instruments[1].instrument_id().split("-", 1)[1]
def __repr__(self) -> str:
return (
f"{self.__class__.__name__}:"
f" symbol_a={self.symbol_a()},"
f" symbol_b={self.symbol_b()},"
f" model={self.model_.__class__.__name__}"
)
def run(self, market_data: pd.DataFrame, data_params: DataWindowParams) -> Prediction: # type: ignore[assignment]
self.market_data_ = market_data[
data_params.training_start_index_ : data_params.training_start_index_
+ data_params.training_size_
]
return self.model_.predict(pair=self)
def colnames(self) -> List[str]:
return [
@@ -91,9 +74,15 @@ class TradingPair(NamedObject, ABC):
def get_instrument_b(self) -> ExchangeInstrument:
return self.instruments_[1]
def __repr__(self) -> str:
return (
f"{self.__class__.__name__}:"
f" symbol_a={self.symbol_a()},"
f" symbol_b={self.symbol_b()},"
f" model={self.model_.__class__.__name__}"
)
class ResearchTradingPair(TradingPair):
def __init__(
@@ -109,8 +98,6 @@ class ResearchTradingPair(TradingPair):
"state": PairState.INITIAL,
}
# URGENT set exchange instruments for the pair
def is_closed(self) -> bool:
return self.user_data_["state"] in [
PairState.CLOSE,
@@ -228,13 +215,6 @@ class ResearchTradingPair(TradingPair):
}
)
def run(self, market_data: pd.DataFrame, data_params: DataWindowParams) -> Prediction: # type: ignore[assignment]
self.market_data_ = market_data[
data_params.training_start_index_ : data_params.training_start_index_
+ data_params.training_size_
]
return self.model_.predict(pair=self)
class LiveTradingPair(TradingPair):
def __init__(self, config: Config, instruments: List[ExchangeInstrument]):