扩展指标

2026-07-09 05:08:16 +08:00
commit 308c46ab9a
537 changed files with 152299 additions and 0 deletions
@@ -0,0 +1,257 @@
+"""
+RaptorBT - High-performance Rust backtesting engine.
+
+Provides Python bindings for a Rust-based backtesting engine built for
+production quantitative trading:
+- Sub-millisecond execution on thousands of bars
+- Disk footprint: <10MB, startup latency: <10ms
+- 100% deterministic execution (no JIT cache)
+- Native parallelism via Rayon + explicit SIMD
+- Full tick-level simulation (no bar resampling required)
+- 80+ technical indicators from ferro-ta (P0 batch: PPO, APO, ADOSC,
+  OBV, CMO, ARONOSC, BOP, ULTOSC, and more)
+"""
+
+from raptorbt._raptorbt import (
+    # Config classes
+    PyBacktestConfig,
+    PyInstrumentConfig,
+    PyStopConfig,
+    PyTargetConfig,
+    # Result classes
+    PyBacktestResult,
+    PyBacktestMetrics,
+    PyTrade,
+    # Backtest functions
+    run_single_backtest,
+    run_basket_backtest,
+    run_options_backtest,
+    run_pairs_backtest,
+    run_multi_backtest,
+    run_spread_backtest,
+    run_tick_backtest,
+    # Batch backtest
+    PyBatchSpreadItem,
+    batch_spread_backtest,
+    # Monte Carlo simulation
+    simulate_portfolio_mc,
+    # Tick signal functions
+    compute_tick_entry_signals,
+    compute_tick_exit_signals,
+    # Tick feature functions
+    tick_spread_pct,
+    buy_sell_imbalance_delta,
+    return_window,
+    realized_vol_rolling,
+    oi_position_pct,
+    tick_velocity,
+    # Indicator functions
+    sma,
+    ema,
+    rsi,
+    macd,
+    stochastic,
+    atr,
+    bollinger_bands,
+    adx,
+    vwap,
+    supertrend,
+    rolling_min,
+    rolling_max,
+    # ferro-ta indicator functions
+    cci,
+    willr,
+    sar,
+    plus_di,
+    minus_di,
+    adx_all,
+    adxr,
+    roc,
+    mfi,
+    wma,
+    dema,
+    tema,
+    kama,
+    stochrsi,
+    aroon,
+    trix,
+    natr,
+    trange,
+    stddev,
+    var,
+    linearreg,
+    linearreg_slope,
+    linearreg_intercept,
+    linearreg_angle,
+    tsf,
+    beta,
+    correl,
+    ad,
+    adosc,
+    obv,
+    mom,
+    ppo,
+    cmo,
+    aroonosc,
+    bop,
+    ultosc,
+    typprice,
+    medprice,
+    avgprice,
+    wclprice,
+    midpoint,
+    midprice,
+    t3,
+    trima,
+    apo,
+    # P0 batch
+    vwma,
+    donchian,
+    choppiness_index,
+    hull_ma,
+    chandelier_exit,
+    ichimoku,
+    pivot_points,
+    # Hilbert Transform (cycle)
+    ht_trendline,
+    ht_dcperiod,
+    ht_dcphase,
+    ht_phasor,
+    ht_sine,
+    ht_trendmode,
+    # Market regime detection
+    regime_adx,
+    regime_combined,
+    detect_breaks_cusum,
+    rolling_variance_break,
+    # Portfolio / cross-series tools
+    rolling_beta,
+    drawdown_series,
+    zscore_series,
+    relative_strength,
+    spread,
+    ratio,
+)
+
+__version__ = "0.4.1"
+
+__all__ = [
+    # Config classes
+    "PyBacktestConfig",
+    "PyInstrumentConfig",
+    "PyStopConfig",
+    "PyTargetConfig",
+    # Result classes
+    "PyBacktestResult",
+    "PyBacktestMetrics",
+    "PyTrade",
+    # Backtest functions
+    "run_single_backtest",
+    "run_basket_backtest",
+    "run_options_backtest",
+    "run_pairs_backtest",
+    "run_multi_backtest",
+    "run_spread_backtest",
+    "run_tick_backtest",
+    # Batch backtest
+    "PyBatchSpreadItem",
+    "batch_spread_backtest",
+    # Monte Carlo simulation
+    "simulate_portfolio_mc",
+    # Tick signal functions
+    "compute_tick_entry_signals",
+    "compute_tick_exit_signals",
+    # Tick feature functions
+    "tick_spread_pct",
+    "buy_sell_imbalance_delta",
+    "return_window",
+    "realized_vol_rolling",
+    "oi_position_pct",
+    "tick_velocity",
+    # Indicator functions
+    "sma",
+    "ema",
+    "rsi",
+    "macd",
+    "stochastic",
+    "atr",
+    "bollinger_bands",
+    "adx",
+    "vwap",
+    "supertrend",
+    "rolling_min",
+    "rolling_max",
+    # ferro-ta indicator functions
+    "cci",
+    "willr",
+    "sar",
+    "plus_di",
+    "minus_di",
+    "adx_all",
+    "adxr",
+    "roc",
+    "mfi",
+    "wma",
+    "dema",
+    "tema",
+    "kama",
+    "stochrsi",
+    "aroon",
+    "trix",
+    "natr",
+    "trange",
+    "stddev",
+    "var",
+    "linearreg",
+    "linearreg_slope",
+    "linearreg_intercept",
+    "linearreg_angle",
+    "tsf",
+    "beta",
+    "correl",
+    "ad",
+    "adosc",
+    "obv",
+    "mom",
+    "ppo",
+    "cmo",
+    "aroonosc",
+    "bop",
+    "ultosc",
+    "typprice",
+    "medprice",
+    "avgprice",
+    "wclprice",
+    "midpoint",
+    "midprice",
+    "t3",
+    "trima",
+    "apo",
+    # P0 batch
+    "vwma",
+    "donchian",
+    "choppiness_index",
+    "hull_ma",
+    "chandelier_exit",
+    "ichimoku",
+    "pivot_points",
+    # Hilbert Transform (cycle)
+    "ht_trendline",
+    "ht_dcperiod",
+    "ht_dcphase",
+    "ht_phasor",
+    "ht_sine",
+    "ht_trendmode",
+    # Market regime detection
+    "regime_adx",
+    "regime_combined",
+    "detect_breaks_cusum",
+    "rolling_variance_break",
+    # Portfolio / cross-series tools
+    "rolling_beta",
+    "drawdown_series",
+    "zscore_series",
+    "relative_strength",
+    "spread",
+    "ratio",
+]