bench: add a cost workload and a multi-asset one, and go to three repetitions (#10)

Two gaps a reader could name without running anything: costs appeared on one
workload out of four, and nothing in the suite was a portfolio.

Costs could not simply be switched on across the board, and the reason is
measured. On FractionOfEquity sizing a 5 bps fee puts the engines 1.3e-4 of
capital apart and 2 bps of slippage 2.1e-5, against a 1e-9 tolerance, while the
round-trip counts stay identical: the trading agrees, the cost arithmetic does
not, because one charges the fee on top of the notional and the other reserves
it out of cash first. In fixed units both land exactly, to 1e-15. So
`sma_cross_costs` carries a fee and slippage on the headline signal, sized in
units, and the price of that is visible rather than hidden: x48.0 against x50.6
at 100k bars.

`multi_asset` runs five independent series in one shared book. It is the
workload manifoldbt does worst on, and it is here for that reason: going from
one asset to five costs it 6.1x and vectorbt 1.4x, so the ratio falls from x36.7
to x8.8 at a million bars. Broadcasting a column per asset is close to free;
walking five books is not. A portfolio is also what people actually run, and a
suite that only measures where it wins is not evidence.

Both are capped where a materialised five-column simulation would stop measuring
the engine and start measuring the swap file, and `ema_rsi_fees` keeps the
ceiling it got for going bankrupt.

Repetitions go from two to three: the floor at which a median is a median rather
than the mean of two.
This commit is contained in:
Exocet92
2026-08-20 18:45:05 +02:00
committed by GitHub
parent 9ddefc64df
commit 6cae686283
6 changed files with 203 additions and 25 deletions
+39 -1
View File
@@ -86,10 +86,48 @@ store)`, the documented entry point, not through an internal fast path.
| Workload | What it exercises | vectorbt | raptorbt |
|---|---|---|---|
| `sma_cross` | SMA 30/150 crossover, long-only, no cost | exact | exact |
| `ema_rsi_fees` | EMA 12/26 crossover with an RSI(14) filter and a 5 bps taker fee, capped at 1M bars | exact | unsupported |
| `sma_cross_metrics` | the same simulation, plus max drawdown, Sharpe, Sortino and volatility | exact | exact |
| `sma_cross_costs` | the same signal with a 5 bps fee and 2 bps of slippage | exact | unsupported |
| `multi_asset` | five assets in one shared book, capped at 1M bars | exact | unsupported |
| `ema_rsi_fees` | EMA 12/26 with an RSI(14) filter and a 5 bps taker fee, capped at 1M bars | exact | unsupported |
| `bracket_sl_tp` | the same entry with a 15 bps stop and a 30 bps target | documented | documented |
### Costs live in their own workload, and not by preference
A cost model cannot simply be switched on across the board. Measured on the
headline workload, a fee or a slippage applied to `FractionOfEquity` sizing puts
the engines 1.3e-4 and 2.1e-5 of capital apart against a 1e-9 tolerance, while
the round-trip counts stay identical: the trading agrees, the cost arithmetic
does not, because one charges the fee on top of the notional and the other
reserves it out of cash first. In fixed units both land exactly, to 1e-15.
So `sma_cross_costs` carries both costs on the same signal as the headline, and
the price of that is visible: x48.0 against x50.6 at 100k bars, x36.1 against
x36.7 at 1M. Costs change the result, not the ratio.
### The multi-asset workload is the one manifoldbt does worst on
It is here on purpose. A portfolio is what people actually run, and it is also
where the two designs differ in kind: manifoldbt walks a universe against one
shared book, while vectorbt broadcasts a column per asset and has to be told to
share cash at all.
Broadcasting wins.
| Workload | 100k bars | 1M bars |
|---|---:|---:|
| `sma_cross`, one asset | x50.6 | x36.7 |
| `multi_asset`, five assets | **x10.7** | **x8.8** |
The absolute timings say why: going from one asset to five costs manifoldbt 6.1x
(26.4 ms to 162.3 ms at 1M bars) and vectorbt 1.4x (989 ms to 1415 ms). Five
columns in one vectorised pass is close to free for it; five books are not free
for anything that walks them.
Publishing this lowers the average number on the page. It is the most useful
workload in the suite for anyone deciding whether to switch, which is the only
audience the benchmark has.
### Why the fee workload stops at 1M bars
A workload can stop being a comparison before it stops running. `ema_rsi_fees`