154 lines
3.9 KiB
JSON
154 lines
3.9 KiB
JSON
{
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"metadata": {
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"suite": "backtest",
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"runtime": {
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"generated_at_utc": "2026-03-27T16:31:53.866252+00:00",
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"python_version": "3.13.5",
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"python_implementation": "CPython",
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"python_executable": "/Users/pratikbhadane/Work/Projects/ferro-ta/.venv/bin/python3",
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"platform": "macOS-26.3.1-arm64-arm-64bit-Mach-O",
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"system": "Darwin",
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"release": "25.3.0",
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"machine": "arm64",
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"processor": "arm",
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"cpu_model": "Apple M3 Max",
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"cpu_count_logical": 14,
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"total_memory_bytes": 38654705664
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},
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"git": {
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"commit": "2d776b6f908fd1a4f30a696972b7df5e5fe2ca00",
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"dirty": true,
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"branch": "main"
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},
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"build": {
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"rustc": "rustc 1.93.1 (01f6ddf75 2026-02-11)\nbinary: rustc\ncommit-hash: 01f6ddf7588f42ae2d7eb0a2f21d44e8e96674cf\ncommit-date: 2026-02-11\nhost: aarch64-apple-darwin\nrelease: 1.93.1\nLLVM version: 21.1.8",
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"cargo": "cargo 1.93.1 (083ac5135 2025-12-15)",
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"cargo_release_profile": {
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"lto": true,
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"codegen-units": 1
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},
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"rustflags": null,
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"cargo_build_rustflags": null,
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"maturin_flags": null
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},
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"packages": {
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"numpy": "2.2.6",
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"ferro-ta": "1.0.6"
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}
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},
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"results": {
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"backtest_core_single": [
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{
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"n_bars": 10000,
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"ferro_ta_ms": 0.024,
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"ferro_ta_mbars_s": 415.9388,
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"vectorbt_ms": 1.2843,
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"speedup_vs_vectorbt": 53.4187
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},
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{
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"n_bars": 100000,
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"ferro_ta_ms": 0.1964,
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"ferro_ta_mbars_s": 509.1209,
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"vectorbt_ms": 3.047,
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"speedup_vs_vectorbt": 15.5129
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}
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],
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"backtest_ohlcv_core": [
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{
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"n_bars": 10000,
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"ferro_ta_ms": 0.0573,
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"ferro_ta_mbars_s": 174.4166
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},
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{
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"n_bars": 100000,
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"ferro_ta_ms": 0.7068,
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"ferro_ta_mbars_s": 141.4927
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}
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],
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"performance_metrics": [
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{
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"n_bars": 10000,
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"ferro_ta_ms": 0.2182,
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"numpy_partial_ms": 0.0496,
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"speedup_vs_numpy": 0.2272,
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"note": "numpy_partial only computes sharpe+max_dd (2/23 metrics)"
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},
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{
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"n_bars": 100000,
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"ferro_ta_ms": 3.0303,
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"numpy_partial_ms": 0.351,
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"speedup_vs_numpy": 0.1158,
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"note": "numpy_partial only computes sharpe+max_dd (2/23 metrics)"
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}
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],
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"multi_asset": [
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{
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"n_bars": 10000,
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"n_assets": 50,
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"parallel_ms": 2.4245,
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"serial_ms": 4.1751,
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"loop_ms": 2.0349,
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"parallel_speedup_vs_loop": 0.8393,
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"parallel_speedup_vs_serial": 1.722
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},
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{
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"n_bars": 100000,
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"n_assets": 50,
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"parallel_ms": 24.0349,
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"serial_ms": 47.9311,
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"loop_ms": 24.7476,
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"parallel_speedup_vs_loop": 1.0297,
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"parallel_speedup_vs_serial": 1.9942
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}
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],
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"monte_carlo": [
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{
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"n_bars": 10000,
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"n_sims": 500,
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"ferro_ta_ms": 3.862,
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"numpy_loop_ms": 51.1589,
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"speedup_vs_numpy": 13.2469
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},
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{
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"n_bars": 100000,
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"n_sims": 500,
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"ferro_ta_ms": 26.0019,
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"numpy_loop_ms": 310.582,
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"speedup_vs_numpy": 11.9446
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}
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],
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"engine_full_pipeline": [
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{
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"n_bars": 10000,
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"ferro_ta_ms": 0.4402,
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"description": "Full pipeline: signals + OHLCV fill + 23 metrics + trades + drawdown"
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},
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{
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"n_bars": 100000,
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"ferro_ta_ms": 4.445,
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"description": "Full pipeline: signals + OHLCV fill + 23 metrics + trades + drawdown"
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}
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],
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"walk_forward_indices": [
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{
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"n_bars": 10000,
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"train_bars": 2000,
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"test_bars": 500,
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"ferro_ta_us": 0.333
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},
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{
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"n_bars": 100000,
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"train_bars": 20000,
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"test_bars": 5000,
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"ferro_ta_us": 0.292
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}
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],
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"kelly_fraction": [
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{
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"n_calls": 1000,
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"ferro_ta_us": 86.458
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}
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]
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}
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}
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