mirror of
https://github.com/manifoldbt/manifoldbt.git
synced 2026-08-24 14:38:04 +00:00
release: v0.8.6
This commit is contained in:
github-actions[bot]
@@ -1,5 +1,5 @@
|
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<p align="center">
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<img src="assets/logo.png" width="110" alt="ManifoldBT logo">
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<img src="https://raw.githubusercontent.com/Jimmy7892/manifoldbt/master/assets/logo.png" width="110" alt="ManifoldBT logo">
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</p>
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||||
|
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<p align="center">
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@@ -14,7 +14,7 @@
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<p align="center">
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<a href="https://www.manifoldbt.com">Website</a> ·
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<a href="https://www.manifoldbt.com/docs/documentation.html">Documentation</a> ·
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<a href="examples/">Examples</a>
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<a href="https://github.com/Jimmy7892/manifoldbt/tree/master/examples">Examples</a>
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</p>
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---
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@@ -109,25 +109,25 @@ manifoldbt ingest --provider binance --symbol BTCUSDT --symbol-id 1 --start ...
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| # | Example | What it shows |
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|---|---------|---------------|
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| 00 | [Template](examples/00_template.py) | Minimal starting point |
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| 01 | [Trend Following](examples/01_trend_following.py) | EMA crossover, volume filter, stop-loss |
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| 02 | [Mean Reversion](examples/02_mean_reversion.py) | EMA crossover with parameter sweep |
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| 03 | [Multi-Asset Momentum](examples/03_multi_asset_momentum.py) | Cross-asset signals |
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| 04 | [Linear Regression](examples/04_linear_regression.py) | Regression-based signal |
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| 05 | [Statistical Arbitrage](examples/05_stat_arb.py) | Pairs trading, spread z-score |
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| 06 | [Full Visualization](examples/06_full_visualization.py) | Tearsheet and charts |
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| 07 | [Walk-Forward](examples/07_walk_forward.py) | Out-of-sample validation |
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| 08 | [2D Sweep](examples/08_sweep_2d_heatmap.py) | Parameter grid heatmap |
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| 09 | [3D Surface](examples/09_surface_3d.py) | Parameter surface plot |
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| 10 | [Monte Carlo](examples/10_monte_carlo.py) | Permutation-based robustness |
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| 11 | [Portfolio](examples/11_portfolio.py) | Multi-strategy portfolio |
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| 12 | [Diagnostics](examples/12_diagnostics.py) | Lookahead & exposure safety checks |
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| 13 | [Stochastic Simulation](examples/13_stochastic_simulation.py) | SDE path simulation (GBM, Heston, …) |
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| 14 | [Multi-Timeframe](examples/14_multi_timeframe.py) | Combining signals across timeframes |
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| 15 | [Cross-Exchange](examples/15_cross_exchange.py) | Signal on one venue, execute on another |
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| 16 | [Exogenous Data](examples/16_hashrate_exogene.py) | External series (e.g. hashrate) as a signal |
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| 17 | [Per-Venue Fees](examples/17_per_venue_fees.py) | Per-venue funding & borrow costs |
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| 18 | [CSV Import](examples/18_csv_import.py) | Load OHLCV from CSV (standard / MT4 / MT5) |
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| 00 | [Template](https://github.com/Jimmy7892/manifoldbt/blob/master/examples/00_template.py) | Minimal starting point |
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| 01 | [Trend Following](https://github.com/Jimmy7892/manifoldbt/blob/master/examples/01_trend_following.py) | EMA crossover, volume filter, stop-loss |
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| 02 | [Mean Reversion](https://github.com/Jimmy7892/manifoldbt/blob/master/examples/02_mean_reversion.py) | EMA crossover with parameter sweep |
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| 03 | [Multi-Asset Momentum](https://github.com/Jimmy7892/manifoldbt/blob/master/examples/03_multi_asset_momentum.py) | Cross-asset signals |
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| 04 | [Linear Regression](https://github.com/Jimmy7892/manifoldbt/blob/master/examples/04_linear_regression.py) | Regression-based signal |
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| 05 | [Statistical Arbitrage](https://github.com/Jimmy7892/manifoldbt/blob/master/examples/05_stat_arb.py) | Pairs trading, spread z-score |
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| 06 | [Full Visualization](https://github.com/Jimmy7892/manifoldbt/blob/master/examples/06_full_visualization.py) | Tearsheet and charts |
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||||
| 07 | [Walk-Forward](https://github.com/Jimmy7892/manifoldbt/blob/master/examples/07_walk_forward.py) | Out-of-sample validation |
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| 08 | [2D Sweep](https://github.com/Jimmy7892/manifoldbt/blob/master/examples/08_sweep_2d_heatmap.py) | Parameter grid heatmap |
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||||
| 09 | [3D Surface](https://github.com/Jimmy7892/manifoldbt/blob/master/examples/09_surface_3d.py) | Parameter surface plot |
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| 10 | [Monte Carlo](https://github.com/Jimmy7892/manifoldbt/blob/master/examples/10_monte_carlo.py) | Permutation-based robustness |
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| 11 | [Portfolio](https://github.com/Jimmy7892/manifoldbt/blob/master/examples/11_portfolio.py) | Multi-strategy portfolio |
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| 12 | [Diagnostics](https://github.com/Jimmy7892/manifoldbt/blob/master/examples/12_diagnostics.py) | Lookahead & exposure safety checks |
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| 13 | [Stochastic Simulation](https://github.com/Jimmy7892/manifoldbt/blob/master/examples/13_stochastic_simulation.py) | SDE path simulation (GBM, Heston, …) |
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| 14 | [Multi-Timeframe](https://github.com/Jimmy7892/manifoldbt/blob/master/examples/14_multi_timeframe.py) | Combining signals across timeframes |
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| 15 | [Cross-Exchange](https://github.com/Jimmy7892/manifoldbt/blob/master/examples/15_cross_exchange.py) | Signal on one venue, execute on another |
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| 16 | [Exogenous Data](https://github.com/Jimmy7892/manifoldbt/blob/master/examples/16_hashrate_exogene.py) | External series (e.g. hashrate) as a signal |
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| 17 | [Per-Venue Fees](https://github.com/Jimmy7892/manifoldbt/blob/master/examples/17_per_venue_fees.py) | Per-venue funding & borrow costs |
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| 18 | [CSV Import](https://github.com/Jimmy7892/manifoldbt/blob/master/examples/18_csv_import.py) | Load OHLCV from CSV (standard / MT4 / MT5) |
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## Performance
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@@ -164,4 +164,4 @@ Full API reference, indicator list, configuration guide, and best practices:
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Apache 2.0 with Commons Clause. The source is available, free to use,
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modify and self-host. Reselling the software or offering it as a paid
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hosted service is not permitted. See [LICENSE](LICENSE) for the full text.
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hosted service is not permitted. See [LICENSE](https://github.com/Jimmy7892/manifoldbt/blob/master/LICENSE) for the full text.
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@@ -1,69 +0,0 @@
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"""Multi-Asset Momentum -- relative strength across 5 assets.
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Demonstrates:
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- Multi-asset universe (5 symbols)
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- Momentum via smoothed ROC on 12h bars
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- Volatility-adjusted sizing
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Usage:
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python examples/03_multi_asset_momentum.py
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"""
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import os
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import time
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import manifoldbt as mbt
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from manifoldbt.indicators import close, ema, roc, high, low
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from manifoldbt.helpers import time_range, Slippage, Interval
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# -- Indicators ---------------------------------------------------------------
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mom = ema(roc(close, 14), 6) # 7-day momentum, smoothed
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avg_range = (high - low).rolling_mean(14)
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norm_vol = avg_range / (close + mbt.lit(1e-12)) # normalized volatility
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safe_vol = mbt.when(norm_vol > 0.0005, norm_vol, 0.0005)
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# -- Strategy -----------------------------------------------------------------
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signal = mbt.when(mom > 0.0, mom / safe_vol, 0.0)
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strategy = (
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mbt.Strategy.create("multi_momentum")
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.signal("momentum", mom)
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.signal("norm_vol", norm_vol)
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.size(signal * 0.01)
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.describe("Multi-asset momentum with volatility-adjusted sizing")
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)
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# -- Config -------------------------------------------------------------------
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start, end = time_range("2022-01-01", "2025-01-01")
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config = mbt.BacktestConfig(
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universe=[1, 2, 3, 4, 5],
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time_range_start=start,
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time_range_end=end,
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bar_interval=Interval.hours(12),
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initial_capital=10_000,
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execution=mbt.ExecutionConfig(
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signal_delay=1,
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max_position_pct=0.3,
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allow_short=False,
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),
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fees=mbt.FeeConfig.binance_perps(),
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slippage=Slippage.fixed_bps(2),
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warmup_bars=25,
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)
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# -- Run ----------------------------------------------------------------------
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if __name__ == "__main__":
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root = os.path.join(os.path.dirname(__file__), "..")
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data_root = os.path.abspath(os.path.join(root, "data"))
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store = mbt.DataStore(
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data_root=data_root,
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metadata_db=os.path.abspath(os.path.join(root, "metadata", "metadata.sqlite")),
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arrow_dir=os.path.join(data_root, "mega"),
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)
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t0 = time.perf_counter()
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result = mbt.run(strategy, config, store)
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elapsed = time.perf_counter() - t0
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print(result.summary())
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print(f"\nElapsed: {elapsed:.3f}s")
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mbt.plot.summary(result, show=True)
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@@ -1,62 +0,0 @@
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"""Benchmark: all symbols, Arrow IPC store (bars_1m + bars_1h).
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Usage:
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python examples/bench_mega_all_symbols.py
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"""
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import os
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import time
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import manifoldbt as mbt
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from manifoldbt.indicators import ema, close
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from manifoldbt.helpers import time_range, Slippage, Interval
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# -- Strategy -------------------------------------------------------------------
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fast = ema(close, 12)
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slow = ema(close, 200)
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trend = fast - slow
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strategy = (
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mbt.Strategy.create("ema_crossover_all")
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.signal("trend", trend)
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.size(mbt.when(trend > 0.0, 0.5, 0.0))
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)
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# -- Config: all available Binance perp symbols, 3 years, 1h bars -----------------
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universe = {"binance": [
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"BTC-USDT:perp", "ETH-USDT:perp", "LTC-USDT:perp", "BNB-USDT:perp",
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"DOT-USDT:perp", "XRP-USDT:perp", "ADA-USDT:perp", "LINK-USDT:perp",
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"DOGE-USDT:perp", "AVAX-USDT:perp",
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]}
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start, end = time_range("2022-01-01", "2025-01-01")
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config = mbt.BacktestConfig(
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universe=universe,
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time_range_start=start,
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time_range_end=end,
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bar_interval=Interval.minutes(60),
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precise=True,
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initial_capital=100_000,
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execution=mbt.ExecutionConfig(
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allow_short=False,
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max_position_pct=0.05,
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position_sizing_mode="FractionOfInitialCapital",
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),
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fees=mbt.FeeConfig.binance_perps(),
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slippage=Slippage.fixed_bps(2),
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warmup_bars=30,
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)
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# -- Run -----------------------------------------------------------------------
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root = os.path.join(os.path.dirname(__file__), "..")
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data_root = os.path.abspath(os.path.join(root, "data"))
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metadata_db = os.path.abspath(os.path.join(root, "metadata", "metadata.sqlite"))
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store = mbt.DataStore(data_root=data_root, metadata_db=metadata_db, arrow_dir=os.path.join(data_root, "mega"))
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t0 = time.perf_counter()
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result = mbt.run(strategy, config, store)
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elapsed = time.perf_counter() - t0
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print(result.profile_summary())
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print(f"\nWall clock: {elapsed:.3f}s")
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print(f"Trades: {result.trade_count}")
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print(f"Symbols: {len(universe['binance'])}")
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+1
-1
@@ -1,6 +1,6 @@
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[project]
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name = "manifoldbt"
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version = "0.8.5"
|
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version = "0.8.6"
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description = "Rust-powered backtesting engine for quantitative research"
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requires-python = ">=3.9"
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license = { file = "LICENSE" }
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@@ -5,9 +5,17 @@ import pyarrow as pa
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class DataStore:
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"""Parquet data store with SQLite metadata."""
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"""Bar data store (Parquet by default, or Arrow IPC via ``arrow_dir``) with SQLite metadata."""
|
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|
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def __init__(self, data_root: str, metadata_db: str = "metadata/metadata.sqlite") -> None: ...
|
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def __init__(
|
||||
self,
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data_root: str,
|
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metadata_db: str = "metadata/metadata.sqlite",
|
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dataset: str = "bars_1m",
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mega: Optional[str] = None,
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arrow_dir: Optional[str] = None,
|
||||
) -> None: ...
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def dataset(self) -> str: ...
|
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def data_root(self) -> str: ...
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def metadata_db(self) -> str: ...
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def active_version(self, dataset: str) -> str: ...
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@@ -98,8 +98,15 @@ def arrow_to_series(
|
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if backend == "polars":
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import polars as pl
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|
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if hasattr(array, "to_pylist"):
|
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return pl.Series(name=name, values=array.to_pylist())
|
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try:
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import pyarrow as pa
|
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except ImportError:
|
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pa = None
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# Zero-copy: hand the Arrow buffers straight to polars instead of boxing
|
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# every value into a Python object via to_pylist() (copies the whole
|
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# column). pl.from_arrow shares the underlying buffers.
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if pa is not None and isinstance(array, (pa.Array, pa.ChunkedArray)):
|
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return pl.from_arrow(array).rename(name)
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return pl.Series(name=name, values=list(array))
|
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|
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return array
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@@ -13,6 +13,27 @@ _EMPTY_TS = np.array([], dtype="datetime64[ns]")
|
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_SAFETY_PRO_FEATURE = "Safety checks (lookahead, exposure)"
|
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|
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|
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def _prepare_for_diagnostics(config, strategy, store):
|
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"""Mirror ``run()``'s config/store preparation for the diagnostics path.
|
||||
|
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``run()`` resolves the config and store before serializing
|
||||
(``_cap_output_resolution`` -> ``_resolve_store`` -> ``_prepare_config``).
|
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Diagnostics must do the same: in particular a dict ``universe`` has to be
|
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resolved to a ``List[SymbolId]`` first, otherwise ``config.to_json()`` emits
|
||||
a JSON map and the Rust loader rejects it ("invalid type: map, expected a
|
||||
sequence"). Returns the prepared ``(config, store)``.
|
||||
"""
|
||||
from manifoldbt import (
|
||||
_cap_output_resolution,
|
||||
_resolve_store,
|
||||
_prepare_config,
|
||||
)
|
||||
config = _cap_output_resolution(config)
|
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store = _resolve_store(config, store)
|
||||
config = _prepare_config(config, strategy, store)
|
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return config, store
|
||||
|
||||
|
||||
@dataclass
|
||||
class LookaheadReport:
|
||||
"""Result of a single look-ahead bias test."""
|
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@@ -289,6 +310,10 @@ def detect_lookahead(
|
||||
run_on_aligned as _run_on_aligned,
|
||||
)
|
||||
|
||||
# Resolve config/store exactly like run() (notably dict universe -> ids),
|
||||
# otherwise config.to_json() emits a map the Rust loader rejects.
|
||||
config, store = _prepare_for_diagnostics(config, strategy, store)
|
||||
|
||||
period = config.time_range_end - config.time_range_start
|
||||
|
||||
# Load data ONCE for the full range.
|
||||
@@ -813,6 +838,10 @@ def check_exposure_stability(
|
||||
run_on_aligned as _run_on_aligned,
|
||||
)
|
||||
|
||||
# Resolve config/store exactly like run() (notably dict universe -> ids),
|
||||
# otherwise config.to_json() emits a map the Rust loader rejects.
|
||||
config, store = _prepare_for_diagnostics(config, strategy, store)
|
||||
|
||||
period = config.time_range_end - config.time_range_start
|
||||
|
||||
# Load data ONCE.
|
||||
|
||||
@@ -0,0 +1,108 @@
|
||||
"""Regression tests for the diagnostics config-preparation path.
|
||||
|
||||
Guards the fix for the bug where ``detect_lookahead`` / ``check_exposure_stability``
|
||||
crashed with a dict ``universe`` (e.g. ``{"binance": ["BTC-USDT:perp"]}``):
|
||||
they serialized the config without resolving the universe, so ``config.to_json()``
|
||||
emitted a JSON *map* while the Rust loader expects a *sequence*
|
||||
(``ValueError: invalid type: map, expected a sequence``).
|
||||
|
||||
The fix routes diagnostics through the same preparation as ``run()`` via
|
||||
``_prepare_for_diagnostics``. These tests assert that helper resolves a dict
|
||||
universe into a list of integer SymbolIds (so serialization is a JSON array),
|
||||
without needing a Pro license or real market data.
|
||||
"""
|
||||
import json
|
||||
import sqlite3
|
||||
|
||||
import manifoldbt as bt
|
||||
from manifoldbt.diagnostics import _prepare_for_diagnostics
|
||||
|
||||
|
||||
def _make_metadata_db(path):
|
||||
"""Create a minimal metadata sqlite with one resolvable symbol (id=1)."""
|
||||
conn = sqlite3.connect(path)
|
||||
conn.execute(
|
||||
"CREATE TABLE symbols ("
|
||||
"id INTEGER PRIMARY KEY, base_currency TEXT, quote_currency TEXT, "
|
||||
"asset_class TEXT, exchange TEXT, ticker TEXT)"
|
||||
)
|
||||
conn.execute(
|
||||
"INSERT INTO symbols VALUES (1, 'BTC', 'USDT', 'CryptoPerpetual', "
|
||||
"'BINANCE', 'BTC-USDT:perp')"
|
||||
)
|
||||
conn.commit()
|
||||
conn.close()
|
||||
return str(path)
|
||||
|
||||
|
||||
class _StubStore:
|
||||
"""Minimal DataStore stand-in.
|
||||
|
||||
``_resolve_normalized`` only needs ``metadata_db()`` (+ ``resolve_symbol``
|
||||
as a fallback). ``dataset()`` raises so ``_resolve_store`` returns the store
|
||||
unchanged instead of trying to swap datasets on disk.
|
||||
"""
|
||||
|
||||
def __init__(self, db_path):
|
||||
self._db = db_path
|
||||
|
||||
def metadata_db(self):
|
||||
return self._db
|
||||
|
||||
def dataset(self):
|
||||
raise NotImplementedError
|
||||
|
||||
def resolve_symbol(self, name): # fallback, not expected to be hit here
|
||||
return 1
|
||||
|
||||
|
||||
def _simple_strategy():
|
||||
return (
|
||||
bt.Strategy.create("regression")
|
||||
.signal("s", bt.lit(1.0))
|
||||
.size(bt.col("s"))
|
||||
)
|
||||
|
||||
|
||||
def test_prepare_for_diagnostics_resolves_dict_universe(tmp_path):
|
||||
"""A dict universe must become a list of ints before serialization."""
|
||||
db = _make_metadata_db(tmp_path / "metadata.sqlite")
|
||||
store = _StubStore(db)
|
||||
|
||||
config = bt.BacktestConfig(
|
||||
universe={"binance": ["BTC-USDT:perp"]},
|
||||
time_range_start=0,
|
||||
time_range_end=4_000_000_000,
|
||||
bar_interval={"Hours": 1},
|
||||
initial_capital=1000.0,
|
||||
)
|
||||
|
||||
prepared, _ = _prepare_for_diagnostics(config, _simple_strategy(), store)
|
||||
|
||||
# Core invariant: universe is a list of ints, never a dict.
|
||||
assert isinstance(prepared.universe, list)
|
||||
assert prepared.universe == [1]
|
||||
|
||||
# And the JSON the Rust loader sees is an array, not a map (the crash cause).
|
||||
universe_json = json.loads(prepared.to_json())["universe"]
|
||||
assert isinstance(universe_json, list)
|
||||
assert universe_json == [1]
|
||||
|
||||
|
||||
def test_prepare_for_diagnostics_passes_through_list_universe(tmp_path):
|
||||
"""An already-resolved list universe is left intact."""
|
||||
db = _make_metadata_db(tmp_path / "metadata.sqlite")
|
||||
store = _StubStore(db)
|
||||
|
||||
config = bt.BacktestConfig(
|
||||
universe=[1],
|
||||
time_range_start=0,
|
||||
time_range_end=4_000_000_000,
|
||||
bar_interval={"Hours": 1},
|
||||
initial_capital=1000.0,
|
||||
)
|
||||
|
||||
prepared, _ = _prepare_for_diagnostics(config, _simple_strategy(), store)
|
||||
|
||||
assert prepared.universe == [1]
|
||||
assert json.loads(prepared.to_json())["universe"] == [1]
|
||||
@@ -0,0 +1,60 @@
|
||||
"""Doc <-> code signature contract.
|
||||
|
||||
These assertions encode the public signatures and helper outputs that the
|
||||
online documentation and the interactive notebook rely on. They are cheap,
|
||||
IO-free, and Pro-free, and exist to catch *doc drift*: if a documented kwarg,
|
||||
preset, or helper shape changes in the code, a doc snippet silently breaks.
|
||||
|
||||
This guards, among others:
|
||||
* ``plot.monte_carlo`` exposing ``n_simulations`` (NOT ``n_paths``) -- the
|
||||
notebook bug where ``n_paths=`` raised TypeError.
|
||||
* ``Slippage.volume_impact`` emitting ``impact_coeff``/``exponent`` -- the
|
||||
notebook bug where ``{"coefficient": ...}`` failed Rust deserialization.
|
||||
* ``DataStore`` accepting ``mega``/``arrow_dir`` -- the doc signature that
|
||||
omitted them.
|
||||
"""
|
||||
import inspect
|
||||
|
||||
import manifoldbt as bt
|
||||
|
||||
|
||||
def test_monte_carlo_uses_n_simulations_not_n_paths():
|
||||
params = inspect.signature(bt.plot.monte_carlo).parameters
|
||||
assert "n_simulations" in params
|
||||
assert "n_paths" not in params # the notebook snippet bug
|
||||
|
||||
|
||||
def test_slippage_helper_shapes_match_serde():
|
||||
# Keys must match the Rust SlippageConfig serde variants exactly.
|
||||
assert bt.Slippage.volume_impact(0.1) == {
|
||||
"VolumeImpact": {"impact_coeff": 0.1, "exponent": 1.5}
|
||||
}
|
||||
assert bt.Slippage.fixed_bps(2.0) == {"FixedBps": {"bps": 2.0}}
|
||||
|
||||
|
||||
def test_interval_helper_shapes():
|
||||
assert bt.Interval.seconds(1) == {"Seconds": 1}
|
||||
assert bt.Interval.minutes(1) == {"Minutes": 1}
|
||||
assert bt.Interval.hours(12) == {"Hours": 12}
|
||||
assert bt.Interval.days(1) == {"Days": 1}
|
||||
|
||||
|
||||
def test_fee_presets_match_documented_values():
|
||||
# Documented under #configuration > FeeConfig Presets.
|
||||
perps = bt.FeeConfig.binance_perps()
|
||||
assert (perps.maker_fee_bps, perps.taker_fee_bps) == (2.0, 5.0)
|
||||
spot = bt.FeeConfig.binance_spot()
|
||||
assert (spot.maker_fee_bps, spot.taker_fee_bps) == (10.0, 10.0)
|
||||
|
||||
|
||||
def test_datastore_accepts_mega_and_arrow_dir_kwargs(tmp_path):
|
||||
# The real signature is (data_root, metadata_db, dataset, mega, arrow_dir).
|
||||
# We only assert the kwargs are *accepted* (no TypeError for unknown kwarg);
|
||||
# any runtime/IO error from opening an empty dir is fine for this contract.
|
||||
for kw in ("mega", "arrow_dir"):
|
||||
try:
|
||||
bt.DataStore(str(tmp_path), dataset="bars_1m", **{kw: str(tmp_path)})
|
||||
except TypeError as exc: # unexpected keyword argument -> contract broken
|
||||
raise AssertionError(f"DataStore rejected kwarg {kw!r}: {exc}")
|
||||
except Exception:
|
||||
pass # non-TypeError (e.g. cannot open store) -> kwarg was accepted
|
||||
Reference in New Issue
Block a user