research/stat_pairs_backtest
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This commit is contained in:
Oleg Sheynin
2026-01-12 21:26:15 +00:00
parent bd6cf1d4d0
commit c0fabcb429
15 changed files with 1205 additions and 568 deletions
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configuration/backtest.cfg
+46
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@@ -0,0 +1,46 @@
{
"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-",
},
"EQUITY": {
"data_directory": "./data/equity",
"db_table_name": "md_1min_bars",
"instrument_id_pfx": "STOCK-",
}
},
# ====== Funding ======
"funding_per_pair": 2000.0,
# ====== Model =======
"model": @inc=http://@env{CONFIG_SERVICE}/apps/common/models/@env{MODEL_CONFIG}
# ====== Trading =======
"execution_price": {
"column": "vwap",
"shift": 1,
},
# ====== Stop Conditions ======
"stop_close_conditions": {
"profit": 2.0,
"loss": -0.5
}
# ====== End of Session Closeout ======
"close_outstanding_positions": true,
# "close_outstanding_positions": false,
"trading_hours": {
"timezone": "America/New_York",
"begin_session": "7:30:00",
"end_session": "18:30:00",
}
}
configuration/__DELETE__/pairs_trader.cfg → configuration/pair_trader.cfg
+1 -1
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@@ -1,5 +1,5 @@
{
"strategy_config": @inc=file:///home/oleg/develop/pairs_trading/configuration/ols.cfg
"strategy_config": @inc=file:///home/oleg/develop/pairs_trading/configuration/vecm-opt.cfg
"pricer_config": {
"pricer_url": "ws://localhost:12346/ws",
"history_depth_sec": 86400 #"60*60*24", # use simpleeval
configuration/vecm-opt.cfg
+34 -34
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@@ -1,26 +1,26 @@
{
"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-",
},
"EQUITY": {
"data_directory": "./data/equity",
"db_table_name": "md_1min_bars",
"instrument_id_pfx": "STOCK-",
}
},
# "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-",
# },
# "EQUITY": {
# "data_directory": "./data/equity",
# "db_table_name": "md_1min_bars",
# "instrument_id_pfx": "STOCK-",
# }
# },
# ====== Funding ======
"funding_per_pair": 2000.0,
# # ====== Funding ======
# "funding_per_pair": 2000.0,
# ====== Trading Parameters ======
"stat_model_price": "close", # "vwap"
@@ -39,18 +39,18 @@
"min_training_size": 60,
"max_training_size": 150,
# ====== Stop Conditions ======
"stop_close_conditions": {
"profit": 2.0,
"loss": -0.5
}
# # ====== Stop Conditions ======
# "stop_close_conditions": {
# "profit": 2.0,
# "loss": -0.5
# }
# ====== End of Session Closeout ======
"close_outstanding_positions": true,
# "close_outstanding_positions": false,
"trading_hours": {
"timezone": "America/New_York",
"begin_session": "7:30:00",
"end_session": "18:30:00",
}
# # ====== End of Session Closeout ======
# "close_outstanding_positions": true,
# # "close_outstanding_positions": false,
# "trading_hours": {
# "timezone": "America/New_York",
# "begin_session": "7:30:00",
# "end_session": "18:30:00",
# }
}