Pratik Bhadane
436954138f
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.
191 lines
6.8 KiB
ReStructuredText
191 lines
6.8 KiB
ReStructuredText
Support Matrix
|
|
==============
|
|
|
|
The primary product is the Python technical analysis library: TA-Lib-style
|
|
indicator calls backed by a Rust implementation.
|
|
|
|
Indicator compatibility
|
|
-----------------------
|
|
|
|
.. list-table::
|
|
:header-rows: 1
|
|
|
|
* - Status
|
|
- Scope
|
|
- Notes
|
|
* - Exact parity
|
|
- Common TA-Lib-compatible indicators such as ``SMA``, ``WMA``,
|
|
``BBANDS``, ``RSI``, ``ATR``, ``NATR``, ``CCI``, ``STOCH``,
|
|
``STOCHRSI``, and most candlestick patterns
|
|
- Matches TA-Lib numerically within floating-point tolerance in the
|
|
current comparison suite.
|
|
* - Approximate parity
|
|
- EMA-family indicators (``EMA``, ``DEMA``, ``TEMA``, ``T3``, ``MACD``),
|
|
``MAMA`` / ``FAMA``, ``SAR`` / ``SAREXT``, and ``HT_*`` cycle
|
|
indicators
|
|
- Same API and intended use, with convergence-window or floating-point
|
|
differences documented in the migration guide.
|
|
* - Intentionally different
|
|
- ferro-ta-only indicators such as ``VWAP``, ``SUPERTREND``,
|
|
``ICHIMOKU``, ``DONCHIAN``, ``KELTNER_CHANNELS``, ``HULL_MA``,
|
|
``CHANDELIER_EXIT``, ``VWMA``, and ``CHOPPINESS_INDEX``
|
|
- These extend the library beyond TA-Lib and are not parity claims.
|
|
|
|
For migration details and known indicator-specific differences, see
|
|
:doc:`migration_talib`.
|
|
|
|
Module status
|
|
-------------
|
|
|
|
.. list-table::
|
|
:header-rows: 1
|
|
|
|
* - Surface
|
|
- Status
|
|
- Notes
|
|
* - Top-level indicators and category submodules
|
|
- Stable core
|
|
- This is the main supported surface of the project.
|
|
* - ``ferro_ta.batch``
|
|
- Supported
|
|
- Public API is supported; internal dispatch may evolve.
|
|
* - ``ferro_ta.streaming``
|
|
- Supported, still evolving
|
|
- Suitable for live workflows; some API details are still marked
|
|
experimental in the stability policy.
|
|
* - ``ferro_ta.extended``
|
|
- Supported extension
|
|
- Useful indicators beyond TA-Lib, but not part of drop-in parity claims.
|
|
* - ``ferro_ta.analysis.*``
|
|
- Adjacent tooling
|
|
- Useful analytics helpers, but not the primary product story.
|
|
* - ``ferro_ta.analysis.resample``
|
|
- Supported (v1.2.0)
|
|
- ``resample_ohlcv()``, ``align_to_coarse()``, ``resample_ohlcv_labels()`` — pure-NumPy
|
|
OHLCV bar aggregation across timeframes.
|
|
* - ``ferro_ta.analysis.multitf``
|
|
- Supported (v1.2.0)
|
|
- ``MultiTimeframeEngine`` — multi-timeframe signal generation with automatic alignment.
|
|
* - ``ferro_ta.analysis.adjust``
|
|
- Supported (v1.2.0)
|
|
- ``adjust_ohlcv()``, ``adjust_for_splits()``, ``adjust_for_dividends()`` — backward-adjusted
|
|
price series for equity/index strategies.
|
|
* - ``ferro_ta.analysis.plot``
|
|
- Supported (v1.2.0)
|
|
- ``plot_backtest()`` — interactive Plotly backtest visualization (requires plotly).
|
|
* - ``ferro_ta.analysis.regime``
|
|
- Supported (v1.2.0)
|
|
- ``detect_volatility_regime()``, ``detect_trend_regime()``, ``detect_combined_regime()``,
|
|
``RegimeFilter`` — pure-NumPy 6-state market regime labeling; no ML dependencies.
|
|
* - ``ferro_ta.analysis.optimize``
|
|
- Supported (v1.2.0)
|
|
- ``PortfolioOptimizer``, ``mean_variance_optimize()``, ``risk_parity_optimize()``,
|
|
``max_sharpe_optimize()`` — portfolio optimization via SLSQP (requires scipy).
|
|
* - ``ferro_ta.analysis.live``
|
|
- Supported (v1.2.0)
|
|
- ``PaperTrader`` — event-driven paper trading bridge matching backtest logic exactly.
|
|
* - MCP, WASM, GPU, plugin, and agent-oriented tooling
|
|
- Experimental or adjacent
|
|
- Evaluate these independently from the core indicator library.
|
|
|
|
Backtesting engine features
|
|
---------------------------
|
|
|
|
.. list-table::
|
|
:header-rows: 1
|
|
|
|
* - Feature
|
|
- Status
|
|
- Notes
|
|
* - Flat/proportional commission
|
|
- Supported
|
|
- Via ``CommissionModel`` presets and ``BacktestEngine.with_commission_model()``.
|
|
* - Bid-ask spread model (``spread_bps``)
|
|
- Supported (v1.2.0)
|
|
- New ``CommissionModel.spread_bps`` field; half-spread deducted per leg.
|
|
* - Short borrow cost (``short_borrow_rate_annual``)
|
|
- Supported (v1.2.0)
|
|
- New ``CommissionModel.short_borrow_rate_annual`` field; accrued per bar for short positions.
|
|
* - Trailing stop loss
|
|
- Supported
|
|
- ``BacktestEngine.with_trailing_stop(pct)`` — intrabar high-water mark tracking.
|
|
* - Breakeven stop (``breakeven_pct``)
|
|
- Supported (v1.2.0)
|
|
- ``BacktestEngine.with_breakeven_stop(pct)`` — moves stop to entry once profit reaches ``pct``.
|
|
* - Bracket order priority
|
|
- Supported (v1.2.0)
|
|
- When both SL and TP are breached on the same bar, the level closer to open fires first.
|
|
* - Leverage / margin modeling
|
|
- Supported (v1.2.0)
|
|
- ``BacktestEngine.with_leverage(margin_ratio, margin_call_pct)`` — tracks margin and
|
|
triggers force-close on margin call.
|
|
* - Loss circuit breakers
|
|
- Supported (v1.2.0)
|
|
- ``BacktestEngine.with_loss_limits(daily, total)`` — halts trading on drawdown breach.
|
|
* - Portfolio constraints
|
|
- Supported (v1.2.0)
|
|
- ``BacktestEngine.with_portfolio_constraints(max_asset_weight, max_gross_exposure,
|
|
max_net_exposure)`` for multi-asset backtests.
|
|
* - Volatility-target position sizing
|
|
- Supported
|
|
- ``BacktestEngine.with_position_sizing("volatility_target", ...)``.
|
|
* - Walk-forward / Monte Carlo
|
|
- Supported
|
|
- Available via ``BacktestEngine`` higher-level methods.
|
|
* - Benchmark comparison
|
|
- Supported
|
|
- ``BacktestEngine.with_benchmark(close_array)`` — alpha, beta, information ratio.
|
|
|
|
Supported Python versions
|
|
-------------------------
|
|
|
|
.. list-table::
|
|
:header-rows: 1
|
|
|
|
* - Python
|
|
- Status
|
|
* - 3.13
|
|
- Supported and tested in CI
|
|
* - 3.12
|
|
- Supported and tested in CI
|
|
* - 3.11
|
|
- Supported and tested in CI
|
|
* - 3.10
|
|
- Supported and tested in CI
|
|
* - < 3.10
|
|
- Not supported
|
|
|
|
Tested wheel targets
|
|
--------------------
|
|
|
|
.. list-table::
|
|
:header-rows: 1
|
|
|
|
* - OS
|
|
- Architecture
|
|
- Wheel status
|
|
* - Linux
|
|
- ``x86_64`` (manylinux2014 / ``manylinux_2_17``)
|
|
- Tested wheel target
|
|
* - macOS
|
|
- ``universal2``
|
|
- Tested wheel target for Intel and Apple Silicon
|
|
* - Windows
|
|
- ``x86_64``
|
|
- Tested wheel target
|
|
|
|
For source builds, packaging details, and platform notes, see
|
|
`PLATFORMS.md <https://github.com/pratikbhadane24/ferro-ta/blob/main/PLATFORMS.md>`_.
|
|
|
|
Release status
|
|
--------------
|
|
|
|
These docs track package version ``1.2.0``.
|
|
|
|
- Release notes by version: :doc:`changelog`
|
|
- Canonical project changelog: `CHANGELOG.md <https://github.com/pratikbhadane24/ferro-ta/blob/main/CHANGELOG.md>`_
|
|
- Stability policy: `docs/stability.md <https://github.com/pratikbhadane24/ferro-ta/blob/main/docs/stability.md>`_
|
|
|
|
If the package version, docs version, or support matrix disagree, treat that as
|
|
a documentation bug.
|