research/stat_pairs_backtest
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Oleg Sheynin
2025-07-25 20:20:23 +00:00
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@@ -43,7 +43,7 @@ Each configuration dictionary specifies:
- `db_table_name`: The name of the table within the SQLite database.
- `instruments`: A list of symbols to consider for forming trading pairs.
- `trading_hours`: Defines the session start and end times, crucial for equity markets.
- `price_column`: The column in the data to be used as the price (e.g., "close").
- `stat_model_price`: The column in the data to be used as the price (e.g., "close").
- `dis-equilibrium_open_trshld`: The threshold (in standard deviations) of the dis-equilibrium for opening a trade.
- `dis-equilibrium_close_trshld`: The threshold (in standard deviations) of the dis-equilibrium for closing an open trade.
- `training_minutes`: The length of the rolling window (in minutes) used to train the model (e.g., calculate cointegration, mean, and standard deviation of the dis-equilibrium).