'a': 1,
'b': 0,
'rolling': 4000,
'sd_coef': 3,
'block': 100,
'stop_win': 200,
}
settings = {
'date': date_list,
'path': DATA_PATH,
'tickset': 'top',
'algo': algo
}
runner = PairRunner(settings)
price_diff = get_price_diff(pair)
price_diff_std = np.nanstd(price_diff)
rolling_list = range(1000, 10000, 2000)
sd_coef_list = np.arange(2, 8)
stop_win_list = price_diff_std * np.arange(0.5, 3.5, 0.5)
final_profit = []
for r in rolling_list:
for sd in sd_coef_list:
for sw in stop_win_list:
start_time = time.time()
runner.run(algo_param={
'rolling': r,
'sd_coef': sd,
'stop_win': sw
})
account = runner.account
algo['param'] = {'x': pair[0],
'y': pair[1],
'a': 1,
'b': 0,
'rolling': 4000,
'sd_coef': 3,
'block': 100,
'stop_win': 200,
}
settings = { 'date': date_list,
'path': DATA_PATH,
'tickset': 'top',
'algo': algo}
runner = PairRunner(settings)
price_diff = get_price_diff(pair)
price_diff_std = np.nanstd(price_diff)
rolling_list = range(1000,10000,2000)
sd_coef_list = np.arange(2,8)
stop_win_list = price_diff_std * np.arange(0.5, 3.5, 0.5)
final_profit = []
for r in rolling_list :
for sd in sd_coef_list :
for sw in stop_win_list:
start_time = time.time()
runner.run(algo_param={'rolling': r, 'sd_coef': sd, 'stop_win': sw })
account = runner.account
history = account.history.to_dataframe(account.items)
score = float(history[['pnl']].iloc[-1])
final_profit.append(score)
print("rolling {}, sd_coef {}, stop_win {}, backtest took {:.3f}s, score is {:.3f}".format(r, sd, sw, time.time() - start_time, score))