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

progress: stop signals

Browse Source
This commit is contained in:
Oleg Sheynin
2025-07-19 01:04:09 +00:00
parent ca9fff8d88
commit c776c95d69
8 changed files with 243 additions and 166 deletions
Download Patch File Download Diff File Expand all files Collapse all files
README.md
-1
View File
@@ -45,7 +45,6 @@ Each configuration dictionary specifies:
- `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").
- `zero_threshold`: A small value to handle potential division by zero.
- `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).