Pratik Bhadane
fd1bb137d6
* feat: implement Dynamic Time Warping (DTW) functionality - Added DTW distance computation and optimal warping path functions in Rust. - Introduced corresponding Python bindings for DTW, DTW_DISTANCE, and BATCH_DTW. - Enhanced WASM support with a new dtw_distance function. - Included comprehensive unit tests for DTW functionality, validating against the dtaidistance library and ensuring mathematical properties. * chore: update ferro-ta version to 1.1.4 - Bumped version number of ferro-ta to 1.1.4 in uv.lock and Cargo.lock files. - Ensured consistency across package dependencies for the updated version.
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6.8 KiB
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191 lines
6.8 KiB
ReStructuredText
Support Matrix
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==============
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The primary product is the Python technical analysis library: TA-Lib-style
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indicator calls backed by a Rust implementation.
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Indicator compatibility
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-----------------------
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.. list-table::
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:header-rows: 1
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* - Status
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- Scope
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- Notes
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* - Exact parity
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- Common TA-Lib-compatible indicators such as ``SMA``, ``WMA``,
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``BBANDS``, ``RSI``, ``ATR``, ``NATR``, ``CCI``, ``STOCH``,
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``STOCHRSI``, and most candlestick patterns
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- Matches TA-Lib numerically within floating-point tolerance in the
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current comparison suite.
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* - Approximate parity
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- EMA-family indicators (``EMA``, ``DEMA``, ``TEMA``, ``T3``, ``MACD``),
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``MAMA`` / ``FAMA``, ``SAR`` / ``SAREXT``, and ``HT_*`` cycle
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indicators
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- Same API and intended use, with convergence-window or floating-point
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differences documented in the migration guide.
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* - Intentionally different
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- ferro-ta-only indicators such as ``VWAP``, ``SUPERTREND``,
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``ICHIMOKU``, ``DONCHIAN``, ``KELTNER_CHANNELS``, ``HULL_MA``,
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``CHANDELIER_EXIT``, ``VWMA``, and ``CHOPPINESS_INDEX``
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- These extend the library beyond TA-Lib and are not parity claims.
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For migration details and known indicator-specific differences, see
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:doc:`migration_talib`.
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Module status
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-------------
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.. list-table::
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:header-rows: 1
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* - Surface
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- Status
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- Notes
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* - Top-level indicators and category submodules
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- Stable core
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- This is the main supported surface of the project.
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* - ``ferro_ta.batch``
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- Supported
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- Public API is supported; internal dispatch may evolve.
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* - ``ferro_ta.streaming``
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- Supported, still evolving
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- Suitable for live workflows; some API details are still marked
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experimental in the stability policy.
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* - ``ferro_ta.extended``
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- Supported extension
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- Useful indicators beyond TA-Lib, but not part of drop-in parity claims.
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* - ``ferro_ta.analysis.*``
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- Adjacent tooling
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- Useful analytics helpers, but not the primary product story.
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* - ``ferro_ta.analysis.resample``
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- Supported (v1.1.0)
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- ``resample_ohlcv()``, ``align_to_coarse()``, ``resample_ohlcv_labels()`` — pure-NumPy
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OHLCV bar aggregation across timeframes.
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* - ``ferro_ta.analysis.multitf``
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- Supported (v1.1.0)
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- ``MultiTimeframeEngine`` — multi-timeframe signal generation with automatic alignment.
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* - ``ferro_ta.analysis.adjust``
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- Supported (v1.1.0)
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- ``adjust_ohlcv()``, ``adjust_for_splits()``, ``adjust_for_dividends()`` — backward-adjusted
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price series for equity/index strategies.
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* - ``ferro_ta.analysis.plot``
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- Supported (v1.1.0)
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- ``plot_backtest()`` — interactive Plotly backtest visualization (requires plotly).
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* - ``ferro_ta.analysis.regime``
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- Supported (v1.1.0)
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- ``detect_volatility_regime()``, ``detect_trend_regime()``, ``detect_combined_regime()``,
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``RegimeFilter`` — pure-NumPy 6-state market regime labeling; no ML dependencies.
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* - ``ferro_ta.analysis.optimize``
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- Supported (v1.1.0)
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- ``PortfolioOptimizer``, ``mean_variance_optimize()``, ``risk_parity_optimize()``,
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``max_sharpe_optimize()`` — portfolio optimization via SLSQP (requires scipy).
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* - ``ferro_ta.analysis.live``
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- Supported (v1.1.0)
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- ``PaperTrader`` — event-driven paper trading bridge matching backtest logic exactly.
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* - MCP, WASM, GPU, plugin, and agent-oriented tooling
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- Experimental or adjacent
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- Evaluate these independently from the core indicator library.
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Backtesting engine features
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---------------------------
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.. list-table::
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:header-rows: 1
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* - Feature
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- Status
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- Notes
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* - Flat/proportional commission
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- Supported
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- Via ``CommissionModel`` presets and ``BacktestEngine.with_commission_model()``.
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* - Bid-ask spread model (``spread_bps``)
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- Supported (v1.1.0)
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- New ``CommissionModel.spread_bps`` field; half-spread deducted per leg.
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* - Short borrow cost (``short_borrow_rate_annual``)
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- Supported (v1.1.0)
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- New ``CommissionModel.short_borrow_rate_annual`` field; accrued per bar for short positions.
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* - Trailing stop loss
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- Supported
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- ``BacktestEngine.with_trailing_stop(pct)`` — intrabar high-water mark tracking.
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* - Breakeven stop (``breakeven_pct``)
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- Supported (v1.1.0)
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- ``BacktestEngine.with_breakeven_stop(pct)`` — moves stop to entry once profit reaches ``pct``.
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* - Bracket order priority
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- Supported (v1.1.0)
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- When both SL and TP are breached on the same bar, the level closer to open fires first.
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* - Leverage / margin modeling
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- Supported (v1.1.0)
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- ``BacktestEngine.with_leverage(margin_ratio, margin_call_pct)`` — tracks margin and
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triggers force-close on margin call.
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* - Loss circuit breakers
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- Supported (v1.1.0)
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- ``BacktestEngine.with_loss_limits(daily, total)`` — halts trading on drawdown breach.
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* - Portfolio constraints
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- Supported (v1.1.0)
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- ``BacktestEngine.with_portfolio_constraints(max_asset_weight, max_gross_exposure,
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max_net_exposure)`` for multi-asset backtests.
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* - Volatility-target position sizing
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- Supported
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- ``BacktestEngine.with_position_sizing("volatility_target", ...)``.
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* - Walk-forward / Monte Carlo
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- Supported
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- Available via ``BacktestEngine`` higher-level methods.
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* - Benchmark comparison
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- Supported
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- ``BacktestEngine.with_benchmark(close_array)`` — alpha, beta, information ratio.
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Supported Python versions
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-------------------------
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.. list-table::
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:header-rows: 1
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* - Python
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- Status
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* - 3.13
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- Supported and tested in CI
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* - 3.12
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- Supported and tested in CI
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* - 3.11
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- Supported and tested in CI
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* - 3.10
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- Supported and tested in CI
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* - < 3.10
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- Not supported
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Tested wheel targets
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--------------------
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.. list-table::
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:header-rows: 1
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* - OS
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- Architecture
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- Wheel status
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* - Linux
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- ``x86_64`` (manylinux2014 / ``manylinux_2_17``)
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- Tested wheel target
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* - macOS
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- ``universal2``
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- Tested wheel target for Intel and Apple Silicon
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* - Windows
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- ``x86_64``
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- Tested wheel target
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For source builds, packaging details, and platform notes, see
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`PLATFORMS.md <https://github.com/pratikbhadane24/ferro-ta/blob/main/PLATFORMS.md>`_.
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Release status
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--------------
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These docs track package version ``1.1.4``.
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- Release notes by version: :doc:`changelog`
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- Canonical project changelog: `CHANGELOG.md <https://github.com/pratikbhadane24/ferro-ta/blob/main/CHANGELOG.md>`_
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- Stability policy: `docs/stability.md <https://github.com/pratikbhadane24/ferro-ta/blob/main/docs/stability.md>`_
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If the package version, docs version, or support matrix disagree, treat that as
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a documentation bug.
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