research/stat_pairs_backtest
2
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

progress

Browse Source
This commit is contained in:
Oleg Sheynin
2025-07-25 20:20:23 +00:00
parent 21a473a4c2
commit c2f701e3a2
15 changed files with 5693 additions and 109 deletions
Download Patch File Download Diff File Expand all files Collapse all files
lib/pt_trading/rolling_window_fit.py
+4 -3
View File
@@ -146,7 +146,7 @@ class RollingFit(PairsTradingFitMethod):
print(f"{pair}: *** Position is NOT CLOSED. ***")
# outstanding positions
if config["close_outstanding_positions"]:
close_position_row = pair.market_data_.iloc[-1]
close_position_row = pd.Series(pair.market_data_.iloc[-2])
close_position_row["disequilibrium"] = 0.0
close_position_row["scaled_disequilibrium"] = 0.0
close_position_row["signed_scaled_disequilibrium"] = 0.0
@@ -176,9 +176,10 @@ class RollingFit(PairsTradingFitMethod):
def _get_open_trades(
self, pair: TradingPair, row: pd.Series, open_threshold: float
) -> Optional[pd.DataFrame]:
colname_a, colname_b = pair.colnames()
colname_a, colname_b = pair.exec_prices_colnames()
open_row = row
open_tstamp = open_row["tstamp"]
open_disequilibrium = open_row["disequilibrium"]
open_scaled_disequilibrium = open_row["scaled_disequilibrium"]
@@ -257,7 +258,7 @@ class RollingFit(PairsTradingFitMethod):
def _get_close_trades(
self, pair: TradingPair, row: pd.Series, close_threshold: float
) -> Optional[pd.DataFrame]:
colname_a, colname_b = pair.colnames()
colname_a, colname_b = pair.exec_prices_colnames()
close_row = row
close_tstamp = close_row["tstamp"]