Initial commit: manifoldbt public repo

Python DSL, examples, docs, benchmarks, and tests.
Rust engine distributed as pre-compiled wheel via PyPI.

examples/05_stat_arb.py

@@ -0,0 +1,73 @@
+"""Statistical Arbitrage -- spread z-score vs ETH anchor.
+
+Demonstrates:
+  - symbol_ref() for cross-asset signals
+  - Kalman filter for spread equilibrium
+  - Z-score mean-reversion sizing
+
+Usage:
+    python examples/05_stat_arb.py
+"""
+import os
+import time
+import manifoldbt as mbt
+from manifoldbt.indicators import close, kalman
+from manifoldbt.helpers import time_range, Slippage, Interval
+
+# -- Spread construction ------------------------------------------------------
+pair_close = mbt.symbol_ref("ETHUSDT", "close")
+ratio = close / (pair_close + mbt.lit(1e-12))
+
+# -- Kalman equilibrium -------------------------------------------------------
+equilibrium = kalman(ratio, q=1e-4, r=1e-2)
+spread = ratio - equilibrium
+
+# -- Z-score signal -----------------------------------------------------------
+spread_z = spread.zscore(28)
+signal = -spread_z  # mean-revert: short when z > 0, long when z < 0
+
+# -- Strategy -----------------------------------------------------------------
+strategy = (
+    mbt.Strategy.create("stat_arb")
+    .signal("pair_close", pair_close)
+    .signal("spread", spread)
+    .signal("spread_z", spread_z)
+    .signal("signal", signal)
+    .size(mbt.col("signal"))
+    .describe("Spread z-score mean reversion vs ETH")
+)
+
+# -- Config -------------------------------------------------------------------
+start, end = time_range("2022-01-01", "2026-01-01")
+
+config = mbt.BacktestConfig(
+    universe=[1, 2, 5],  # BTC, ETH, BNB
+    time_range_start=start,
+    time_range_end=end,
+    bar_interval=Interval.hours(24),
+    initial_capital=10_000,
+    execution=mbt.ExecutionConfig(
+        allow_short=True,
+        max_position_pct=5,
+    ),
+    fees=mbt.FeeConfig.binance_perps(),
+    slippage=Slippage.fixed_bps(2),
+    warmup_bars=30,
+    symbol_names={"BTCUSDT": 1, "ETHUSDT": 2, "BNBUSDT": 5},
+)
+
+# -- Run ----------------------------------------------------------------------
+if __name__ == "__main__":
+    root = os.path.join(os.path.dirname(__file__), "..")
+    store = mbt.DataStore(
+        data_root=os.path.abspath(os.path.join(root, "data")),
+        metadata_db=os.path.abspath(os.path.join(root, "metadata", "metadata.sqlite")),
+    )
+
+    t0 = time.perf_counter()
+    result = mbt.run(strategy, config, store)
+    elapsed = time.perf_counter() - t0
+
+    print(result.summary())
+    print(f"\nElapsed: {elapsed:.3f}s")
+    mbt.plot.summary(result, show=True)