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/trading_pair.py
+33 -11
View File
@@ -73,7 +73,7 @@ class TradingPair(ABC):
market_data_: pd.DataFrame
symbol_a_: str
symbol_b_: str
price_column_: str
stat_model_price_: str
training_mu_: float
training_std_: float
@@ -91,17 +91,17 @@ class TradingPair(ABC):
market_data: pd.DataFrame,
symbol_a: str,
symbol_b: str,
price_column: str,
):
self.symbol_a_ = symbol_a
self.symbol_b_ = symbol_b
self.price_column_ = price_column
self.set_market_data(market_data)
self.stat_model_price_ = config["stat_model_price"]
self.user_data_ = {}
self.predicted_df_ = None
self.config_ = config
def set_market_data(self, market_data: pd.DataFrame) -> None:
self._set_market_data(market_data)
def _set_market_data(self, market_data: pd.DataFrame) -> None:
self.market_data_ = pd.DataFrame(
self._transform_dataframe(market_data)[["tstamp"] + self.colnames()]
)
@@ -109,6 +109,22 @@ class TradingPair(ABC):
self.market_data_ = self.market_data_.dropna().reset_index(drop=True)
self.market_data_["tstamp"] = pd.to_datetime(self.market_data_["tstamp"])
self.market_data_ = self.market_data_.sort_values("tstamp")
self._set_execution_price_data()
pass
def _set_execution_price_data(self) -> None:
if "execution_price" not in self.config_:
self.market_data_[f"exec_price_{self.symbol_a_}"] = self.market_data_[f"{self.stat_model_price_}_{self.symbol_a_}"]
self.market_data_[f"exec_price_{self.symbol_b_}"] = self.market_data_[f"{self.stat_model_price_}_{self.symbol_b_}"]
return
execution_price_column = self.config_["execution_price"]["column"]
execution_price_shift = self.config_["execution_price"]["shift"]
self.market_data_[f"exec_price_{self.symbol_a_}"] = self.market_data_[f"{self.stat_model_price_}_{self.symbol_a_}"].shift(-execution_price_shift)
self.market_data_[f"exec_price_{self.symbol_b_}"] = self.market_data_[f"{self.stat_model_price_}_{self.symbol_b_}"].shift(-execution_price_shift)
self.market_data_ = self.market_data_.dropna().reset_index(drop=True)
def get_begin_index(self) -> int:
if "trading_hours" not in self.config_:
@@ -139,7 +155,7 @@ class TradingPair(ABC):
def _transform_dataframe(self, df: pd.DataFrame) -> pd.DataFrame:
# Select only the columns we need
df_selected: pd.DataFrame = pd.DataFrame(
df[["tstamp", "symbol", self.price_column_]]
df[["tstamp", "symbol", self.stat_model_price_]]
)
# Start with unique timestamps
@@ -157,13 +173,13 @@ class TradingPair(ABC):
)
# Create column name like "close-COIN"
new_price_column = f"{self.price_column_}_{symbol}"
new_price_column = f"{self.stat_model_price_}_{symbol}"
# Create temporary dataframe with timestamp and price
temp_df = pd.DataFrame(
{
"tstamp": df_symbol["tstamp"],
new_price_column: df_symbol[self.price_column_],
new_price_column: df_symbol[self.stat_model_price_],
}
)
@@ -201,8 +217,14 @@ class TradingPair(ABC):
def colnames(self) -> List[str]:
return [
f"{self.price_column_}_{self.symbol_a_}",
f"{self.price_column_}_{self.symbol_b_}",
f"{self.stat_model_price_}_{self.symbol_a_}",
f"{self.stat_model_price_}_{self.symbol_b_}",
]
def exec_prices_colnames(self) -> List[str]:
return [
f"exec_price_{self.symbol_a_}",
f"exec_price_{self.symbol_b_}",
]
def add_trades(self, trades: pd.DataFrame) -> None:
@@ -331,7 +353,7 @@ class TradingPair(ABC):
instrument_open_price = instrument_open_trades["price"].iloc[0]
sign = -1 if instrument_open_trades["side"].iloc[0] == "SELL" else 1
instrument_price = predicted_row[f"{self.price_column_}_{symbol}"]
instrument_price = predicted_row[f"{self.stat_model_price_}_{symbol}"]
instrument_return = (
sign
* (instrument_price - instrument_open_price)