CGS Notebooks

Organized layout for backtest notebooks and CSV data.

Directory structure

notebooks/
├── paths.py                 # Shared path constants (import from any notebook)
├── backtest/
│   ├── vbt/                 # VectorBT backtests (BTC, stocks, RL)
│   ├── xydts/               # xyDTS strategy + parameter optimization (incl. `xyDTS_cgs_base_KR.ipynb`)
│   ├── xfilter/             # xFilter analysis and optimization
│   ├── params/              # Generic parameter optimization
│   ├── seed_price/          # Seed price yearly charts
│   └── misc/
├── data/
│   ├── csv_input/           # Read-only inputs
│   │   ├── prices/us|jp|kr|indices/
│   │   ├── trades/          # Canonical trade-state logs
│   │   └── seed/            # BTC/ETH consolidated price data
│   └── csv_output/          # Generated outputs
│       ├── trades/
│       ├── optimization/
│       ├── lp_trades/
│       └── metrics/
├── models/                  # RL model artifacts (.pth, .pkl)
└── archive/                 # Superseded notebooks and duplicate CSVs

Using paths in notebooks

Each notebook that reads/writes CSVs includes this setup (added automatically):

import sys
from pathlib import Path

_nb_root = None
for _p in [Path.cwd(), *Path.cwd().parents]:
    if (_p / "paths.py").exists() and (_p / "data" / "csv_input").exists():
        _nb_root = _p
        break
    if (_p / "notebooks" / "paths.py").exists():
        _nb_root = _p / "notebooks"
        break
else:
    raise RuntimeError(
        "Could not find notebooks/paths.py — start Jupyter from cgs_tech/ or notebooks/"
    )

if str(_nb_root) not in sys.path:
    sys.path.insert(0, str(_nb_root))

from paths import (
    PRICES_US, PRICES_JP, PRICES_KR, PRICES_INDICES,
    TRADES_INPUT, TRADES_OUTPUT, SEED_INPUT,
    OPTIMIZATION_OUTPUT, LP_TRADES_OUTPUT, METRICS_OUTPUT,
    ensure_on_sys_path,
)
ensure_on_sys_path()

Reads: pd.read_csv(TRADES_INPUT / "cgs_trades_log_....csv")
Writes: df.to_csv(TRADES_OUTPUT / "cgs_trades_log_....csv")
Imports: from indicators... and from data_sources... resolve via ensure_on_sys_path() → cgs_tech/src/

Works whether Jupyter’s working directory is cgs_tech/, notebooks/, or a notebook subfolder.

Canonical trade logs (csv_input/trades)

File	Use case
cgs_trades_log_20200101_to_20250728_15m.csv	BTC 15m
cgs_trades_log_long_only_20200101_to_20250728_15m.csv	BTC 15m long-only
cgs_trades_log_long_only_19900104_to_20250825_1d.csv	Nikkei 1d
cgs_trades_log_long_only_20100104_to_20250825_1d.csv	Softbank 1d
cgs_trades_log_long_only_19991001_to_20250825_1d.csv	Toyota 1d
cgs_trades_log_19991101_to_20250825_1d.csv	Sony 1d
Nikkei_cgs_trades_log_19900104_to_20250815_1d.csv	Nikkei (xFilter)

Older date-variant logs are in archive/data/trades/.

Archived notebooks

Superseded variants moved to archive/notebooks/:

• xyDTS_cgs_base_v0.ipynb
• VBT_TSLP_cgs_base_b.ipynb
• VBT_TSLP_cgs_base copy.ipynb

Running notebooks

Open Jupyter with repo root (cgs_tech) or notebooks/ as the working directory. The paths.py lookup walks up to 6 parent directories to find notebooks/paths.py.