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refactoring the code for pairs, models, strategy

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This commit is contained in:
Oleg Sheynin
2025-07-30 04:08:02 +00:00
parent 71822c64b0
commit ed0c0fecb2
18 changed files with 3004 additions and 287 deletions
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configuration/new_zscore.cfg
+43
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@@ -0,0 +1,43 @@
{
"market_data_loading": {
"CRYPTO": {
"data_directory": "./data/crypto",
"db_table_name": "md_1min_bars",
"instrument_id_pfx": "PAIR-",
},
"EQUITY": {
"data_directory": "./data/equity",
"db_table_name": "md_1min_bars",
"instrument_id_pfx": "STOCK-",
}
},
# ====== Funding ======
"funding_per_pair": 2000.0,
# ====== Trading Parameters ======
"stat_model_price": "close",
"execution_price": {
"column": "vwap",
"shift": 1,
},
"dis-equilibrium_open_trshld": 2.0,
"dis-equilibrium_close_trshld": 0.5,
"training_size": 120,
"model_class": "pt_strategy.models.ZScoreOLSModel",
"model_data_policy_class": "pt_strategy.model_data_policy.RollingWindowDataPolicy",
# ====== Stop Conditions ======
"stop_close_conditions": {
"profit": 2.0,
"loss": -0.5
}
# ====== End of Session Closeout ======
# "close_outstanding_positions": true,
"close_outstanding_positions": false,
"trading_hours": {
"timezone": "America/New_York",
"begin_session": "7:30:00",
"end_session": "18:30:00",
}
}
configuration/vecm.cfg
+3 -2
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@@ -23,7 +23,8 @@
},
"dis-equilibrium_open_trshld": 2.0,
"dis-equilibrium_close_trshld": 1.0,
"training_minutes": 120,
"training_minutes": 120, # TODO Remove this
"training_size": 120,
"fit_method_class": "pt_trading.vecm_rolling_fit.VECMRollingFit",
# ====== Stop Conditions ======
@@ -37,7 +38,7 @@
# "close_outstanding_positions": false,
"trading_hours": {
"timezone": "America/New_York",
"begin_session": "9:30:00",
"begin_session": "7:30:00",
"end_session": "18:30:00",
}
}
configuration/zscore.cfg
+7 -6
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@@ -16,13 +16,14 @@
"funding_per_pair": 2000.0,
# ====== Trading Parameters ======
"stat_model_price": "close",
"execution_price": {
"column": "vwap",
"shift": 1,
},
# "execution_price": {
# "column": "vwap",
# "shift": 1,
# },
"dis-equilibrium_open_trshld": 2.0,
"dis-equilibrium_close_trshld": 0.5,
"training_minutes": 120,
"training_minutes": 120, # TODO Remove this
"training_size": 120,
"fit_method_class": "pt_trading.z-score_rolling_fit.ZScoreRollingFit",
# ====== Stop Conditions ======
@@ -36,7 +37,7 @@
# "close_outstanding_positions": false,
"trading_hours": {
"timezone": "America/New_York",
"begin_session": "9:30:00",
"begin_session": "7:30:00",
"end_session": "18:30:00",
}
}
configuration/zscore_expanding.cfg
+43
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@@ -0,0 +1,43 @@
{
"market_data_loading": {
"CRYPTO": {
"data_directory": "./data/crypto",
"db_table_name": "md_1min_bars",
"instrument_id_pfx": "PAIR-",
},
"EQUITY": {
"data_directory": "./data/equity",
"db_table_name": "md_1min_bars",
"instrument_id_pfx": "STOCK-",
}
},
# ====== Funding ======
"funding_per_pair": 2000.0,
# ====== Trading Parameters ======
"stat_model_price": "close",
"execution_price": {
"column": "vwap",
"shift": 1,
},
"dis-equilibrium_open_trshld": 2.0,
"dis-equilibrium_close_trshld": 0.5,
"training_minutes": 120, # TODO Remove this
"training_size": 120,
"fit_method_class": "pt_trading.z-score_rolling_fit.ZScoreRollingFit",
# ====== Stop Conditions ======
"stop_close_conditions": {
"profit": 2.0,
"loss": -0.5
}
# ====== End of Session Closeout ======
"close_outstanding_positions": true,
# "close_outstanding_positions": false,
"trading_hours": {
"timezone": "America/New_York",
"begin_session": "9:30:00",
"end_session": "18:30:00",
}
}