feat(timeseries): add time-series integration helpers for financial analysis

- Implement 6 helper functions in src/timeseries_utils.rs:
  * prepare_for_hmm: Feature engineering for HMM regime detection
  * rolling_hurst_exponent: Mean-reversion detection (H < 0.5 = mean-reverting)
  * rolling_half_life: Mean-reversion speed for pairs trading
  * return_statistics: Risk metrics (mean, std, skew, kurt, sharpe)
  * create_lagged_features: ML feature matrix creation
  * rolling_correlation: Rolling correlation for pairs trading

- Add PyO3 bindings in src/timeseries_utils/python_bindings.rs:
  * All functions exposed with _py suffix
  * Proper signature decorators and error handling
  * Registered in lib.rs module system

- Update Python module exports:
  * python/optimizr/core.py: Import from _core
  * python/optimizr/__init__.py: Re-export all functions

- Create comprehensive example:
  * examples/timeseries_integration.py demonstrates all 6 functions
  * Includes integrated pairs trading workflow
  * Shows feature engineering for regime detection

- Technical details:
  * Fixed Array1<f64> type conversions for ndarray compatibility
  * Uses risk_metrics::hurst_exponent and estimate_half_life
  * Built successfully with maturin develop --release (40.93s)
  * All functions tested and working correctly

Part of Priority 3: Time-series integration helpers (Enhancement Strategy)
Addresses v0.3.0 roadmap: Bridge optimization with time-series analysis
This commit is contained in:
Melvin Alvarez
2026-01-02 22:13:05 +01:00
parent 79f51e4775
commit 9a8032e4ee
8 changed files with 1188 additions and 0 deletions
+14
View File
@@ -23,6 +23,13 @@ from optimizr.core import (
compute_risk_metrics_py,
estimate_half_life_py,
bootstrap_returns_py,
# Time-series utilities
prepare_for_hmm_py,
rolling_hurst_exponent_py,
rolling_half_life_py,
return_statistics_py,
create_lagged_features_py,
rolling_correlation_py,
)
# Try to import maths_toolkit from Rust backend
@@ -47,5 +54,12 @@ __all__ = [
"compute_risk_metrics_py",
"estimate_half_life_py",
"bootstrap_returns_py",
# Time-series utilities
"prepare_for_hmm_py",
"rolling_hurst_exponent_py",
"rolling_half_life_py",
"return_statistics_py",
"create_lagged_features_py",
"rolling_correlation_py",
"maths_toolkit",
]
+7
View File
@@ -21,6 +21,13 @@ try:
compute_risk_metrics_py,
estimate_half_life_py,
bootstrap_returns_py,
# Time-series utilities
prepare_for_hmm_py,
rolling_hurst_exponent_py,
rolling_half_life_py,
return_statistics_py,
create_lagged_features_py,
rolling_correlation_py,
)
RUST_AVAILABLE = True
except ImportError: