Merge branch 'master' into develop

hudson-and-thames · Jun 27, 2023 · c63ae58 · c63ae58
2 parents 9d5feb7 + f04fd53
commit c63ae58
Showing 1 changed file with 4 additions and 4 deletions.
diff --git a/arbitragelab/spread_selection/cointegration.py b/arbitragelab/spread_selection/cointegration.py
@@ -133,8 +133,8 @@ def select_spreads(self, hedge_ratio_calculation: str = 'OLS',
         :param adf_cutoff_threshold: (float) ADF test threshold used to define if the spread is cointegrated.
             Can be 0.99, 0.95 or 0.9.
         :param hurst_exp_threshold: (float) Max Hurst threshold value.
-        :param min_crossover_threshold: (int) Minimum amount of mean crossovers per year.
-        :param min_half_life: (float) Minimum Half-Life of mean reversion value.
+        :param min_crossover_threshold: (int) Minimum amount of mean crossovers per analysed period.
+        :param min_half_life: (float) Minimum Half-Life of mean reversion value in units of time used.
         :return: (list) Tuple list of final pairs.
         """
 
@@ -171,8 +171,8 @@ def apply_filtering_rules(self,
         :param adf_cutoff_threshold: (float) ADF test threshold used to define if the spread is cointegrated.
             Can be 0.99, 0.95 or 0.9.
         :param hurst_exp_threshold: (float) Max Hurst threshold value.
-        :param min_crossover_threshold: (int) Minimum amount of mean crossovers per year.
-        :param min_half_life: (float) Minimum Half-Life of mean reversion value.
+        :param min_crossover_threshold: (int) Minimum amount of mean crossovers per analysed period.
+        :param min_half_life: (float) Minimum Half-Life of mean reversion value in units of time used.
         :return: (list) Tuple list of final pairs.
         """