feat: add Monte Carlo portfolio simulation and bump to 0.3.1

- Add Monte Carlo forward simulation using Geometric Brownian Motion
- Support correlated multi-asset simulation with Cholesky decomposition
- Implement parallel execution via Rayon for performance
- Expose simulate_portfolio_mc function in Python bindings
- Update version from 0.3.0 to 0.3.1 across all project files
This commit is contained in:
porcelaincode
2026-02-17 00:35:20 +05:30
parent a82ddc598a
commit 4d4ea2e5e9
10 changed files with 445 additions and 4 deletions
+5 -1
View File
@@ -26,6 +26,8 @@ from raptorbt._raptorbt import (
run_pairs_backtest,
run_multi_backtest,
run_spread_backtest,
# Monte Carlo simulation
simulate_portfolio_mc,
# Indicator functions
sma,
ema,
@@ -41,7 +43,7 @@ from raptorbt._raptorbt import (
rolling_max,
)
__version__ = "0.3.0"
__version__ = "0.3.1"
__all__ = [
# Config classes
@@ -60,6 +62,8 @@ __all__ = [
"run_pairs_backtest",
"run_multi_backtest",
"run_spread_backtest",
# Monte Carlo simulation
"simulate_portfolio_mc",
# Indicator functions
"sma",
"ema",
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