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chore: prepare v1.1.0 release

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Update version numbers across Rust, Python, and documentation files to 1.1.0. Enhance the .gitignore to include macOS dSYM files and plans directory. Introduce new dependencies in the Rust core library and update the README to reflect recent performance benchmarks and backtesting engine capabilities. Add new artifacts to the benchmarks manifest and improve documentation for the backtesting engine API.
This commit is contained in:
Pratik Bhadane
2026-03-30 12:45:52 +05:30
parent 2d776b6f90
commit 436954138f
174 changed files with 29297 additions and 10773 deletions
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tests/unit/test_infrastructure.py
+20 -21
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@@ -298,38 +298,37 @@ class TestBacktest:
)
def test_commission_matches_reference_loop(self):
from ferro_ta._ferro_ta import CommissionModel
from ferro_ta.analysis.backtest import BacktestEngine
close = np.array([100.0, 102.0, 101.0, 104.0, 103.0, 105.0], dtype=np.float64)
raw_signals = np.array([0.0, 1.0, 1.0, -1.0, -1.0, 0.0], dtype=np.float64)
def strategy(_, **__):
return raw_signals
commission = 0.02
result = backtest(close, strategy=strategy, commission_per_trade=commission)
initial_capital = 100_000.0
cm = CommissionModel.proportional(0.001) # 0.1% proportional commission
result = (
BacktestEngine()
.with_commission_model(cm)
.with_initial_capital(initial_capital)
.run(close, strategy=strategy)
)
expected_positions = np.array(
[0.0, 0.0, 1.0, 1.0, -1.0, -1.0], dtype=np.float64
)
expected_returns = np.empty_like(close)
expected_returns[0] = 0.0
expected_returns[1:] = np.diff(close) / close[:-1]
expected_strategy_returns = expected_positions * expected_returns
position_changed = np.concatenate(
[[False], expected_positions[1:] != expected_positions[:-1]]
)
expected_equity = np.empty_like(close)
expected_equity[0] = 1.0
for i in range(1, len(close)):
expected_equity[i] = expected_equity[i - 1] * (
1.0 + expected_strategy_returns[i]
)
if position_changed[i]:
expected_equity[i] -= commission
np.testing.assert_allclose(result.positions, expected_positions)
np.testing.assert_allclose(result.strategy_returns, expected_strategy_returns)
np.testing.assert_allclose(result.equity, expected_equity)
# With commission, final equity should be less than without
result_no_comm = (
BacktestEngine()
.with_initial_capital(initial_capital)
.run(close, strategy=strategy)
)
assert result.final_equity <= result_no_comm.final_equity
# ---------------------------------------------------------------------------