research/stat_pairs_backtest
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Oleg Sheynin
2026-07-24 22:44:41 +00:00
parent 8ccebf81f5
commit c77377f67e
5 changed files with 1 additions and 166 deletions
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.gitignore
+1 -3
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@@ -3,10 +3,8 @@ __pycache__/
__OLD__/
.specstory/
.history/
.cursorindexingignore
.vscode/
data
cvttpy
# SpecStory explanation file
.specstory/.what-is-this.md
results/
tmp/
.vscode/.env
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@@ -1 +0,0 @@
PYTHONPATH=/home/oleg/develop
.vscode/launch.json
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@@ -1,133 +0,0 @@
{
// Use IntelliSense to learn about possible attributes.
// Hover to view descriptions of existing attributes.
// For more information, visit: https://go.microsoft.com/fwlink/?linkid=830387
"version": "0.2.0",
"configurations": [
{
"name": "Python Debugger: Current File",
"type": "debugpy",
"request": "launch",
"python": "/home/oleg/.pyenv/python3.12-venv/bin/python",
"program": "${file}",
"console": "integratedTerminal",
"env": {
"PYTHONPATH": "${workspaceFolder}/lib:${workspaceFolder}/.."
},
},
{
"name": "-------- VECM --------",
},
{
"name": "CRYPTO VECM BACKTEST (optimized)",
"type": "debugpy",
"request": "launch",
"python": "/home/oleg/.pyenv/python3.12-venv/bin/python",
"program": "${workspaceFolder}/research/backtest.py",
"args": [
"--config=http://cloud16.cvtt.vpn:6789/apps/pairs_trading/backtest",
"--instruments=CRYPTO:BNBSPOT:PAIR-ADA-USDT,CRYPTO:BNBSPOT:PAIR-SOL-USDT",
"--date_pattern=20250911",
"--result_db=${workspaceFolder}/research/results/crypto/%T.vecm-opt.ADA-SOL.20250605.crypto_results.db",
],
"env": {
"PYTHONPATH": "${workspaceFolder}/..",
"CONFIG_SERVICE": "cloud16.cvtt.vpn:6789",
"MODEL_CONFIG": "vecm-opt"
},
"console": "integratedTerminal"
},
// {
// "name": "EQUITY VECM (rolling)",
// "type": "debugpy",
// "request": "launch",
// "python": "/home/oleg/.pyenv/python3.12-venv/bin/python",
// "program": "${workspaceFolder}/research/backtest.py",
// "args": [
// "--config=${workspaceFolder}/configuration/vecm.cfg",
// "--instruments=COIN:EQUITY:ALPACA,MSTR:EQUITY:ALPACA",
// "--date_pattern=20250605",
// "--result_db=${workspaceFolder}/research/results/equity/%T.vecm.COIN-MSTR.20250605.equity_results.db",
// ],
// "env": {
// "PYTHONPATH": "${workspaceFolder}/lib"
// },
// "console": "integratedTerminal"
// },
// {
// "name": "EQUITY-CRYPTO VECM (rolling)",
// "type": "debugpy",
// "request": "launch",
// "python": "/home/oleg/.pyenv/python3.12-venv/bin/python",
// "program": "${workspaceFolder}/research/backtest.py",
// "args": [
// "--config=${workspaceFolder}/configuration/vecm.cfg",
// "--instruments=COIN:EQUITY:ALPACA,BTC-USDT:CRYPTO:BNBSPOT",
// "--date_pattern=20250605",
// "--result_db=${workspaceFolder}/research/results/intermarket/%T.vecm.COIN-BTC.20250601.equity_results.db",
// ],
// "env": {
// "PYTHONPATH": "${workspaceFolder}/lib"
// },
// "console": "integratedTerminal"
// },
{
"name": "-------- B a t c h e s --------",
},
{
"name": "CRYPTO OLS Batch (rolling)",
"type": "debugpy",
"request": "launch",
"python": "/home/oleg/.pyenv/python3.12-venv/bin/python",
"program": "${workspaceFolder}/research/backtest.py",
"args": [
"--config=${workspaceFolder}/configuration/ols.cfg",
"--instruments=ADA-USDT:CRYPTO:BNBSPOT,SOL-USDT:CRYPTO:BNBSPOT",
"--date_pattern=2025060*",
"--result_db=${workspaceFolder}/research/results/crypto/%T.ols.ADA-SOL.2025060-.crypto_results.db",
],
"env": {
"PYTHONPATH": "${workspaceFolder}/lib"
},
"console": "integratedTerminal"
},
{
"name": "CRYPTO VECM Batch (rolling)",
"type": "debugpy",
"request": "launch",
"python": "/home/oleg/.pyenv/python3.12-venv/bin/python",
"program": "${workspaceFolder}/research/backtest.py",
"args": [
"--config=${workspaceFolder}/configuration/vecm.cfg",
"--instruments=ADA-USDT:CRYPTO:BNBSPOT,SOL-USDT:CRYPTO:BNBSPOT",
"--date_pattern=2025060*",
"--result_db=${workspaceFolder}/research/results/crypto/%T.vecm.ADA-SOL.2025060-.crypto_results.db",
],
"env": {
"PYTHONPATH": "${workspaceFolder}/lib"
},
"console": "integratedTerminal"
},
{
"name": "-------- Viz Test --------",
},
{
"name": "Viz Test",
"type": "debugpy",
"request": "launch",
"python": "/home/oleg/.pyenv/python3.12-venv/bin/python",
"program": "${workspaceFolder}/tests/viz_test.py",
"args": [
"--config=${workspaceFolder}/configuration/ols.cfg",
"--instruments=ADA-USDT:CRYPTO:BNBSPOT,SOL-USDT:CRYPTO:BNBSPOT",
"--date_pattern=20250605",
],
"env": {
"PYTHONPATH": "${workspaceFolder}/lib"
},
"console": "integratedTerminal"
}
]
}
.vscode/pairs_trading.code-workspace
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@@ -1,10 +0,0 @@
{
"folders": [
{
"path": ".."
}
],
"settings": {
"workbench.colorTheme": "Dracula Theme"
}
}
.vscode/settings.json
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@@ -1,19 +0,0 @@
{
"python.testing.pytestEnabled": true,
"python.testing.unittestEnabled": false,
"python.testing.pytestArgs": [
"unittests"
],
"python.testing.cwd": "${workspaceFolder}",
"python.testing.autoTestDiscoverOnSaveEnabled": true,
"python.testing.pytestPath": "python3",
"python.analysis.extraPaths": [
"${workspaceFolder}",
"${workspaceFolder}/..",
"${workspaceFolder}/unittests"
],
"python.envFile": "${workspaceFolder}/.env",
"python.testing.debugPort": 3000,
"python.testing.promptToConfigure": false,
"python.defaultInterpreterPath": "/home/oleg/.pyenv/python3.12-venv/bin/python"
}