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7 Commits
Author SHA1 Message Date
porcelaincodeandporcelaincode fc0c756203 chore: remove all VectorBT references — raptorbt stands on its own 
- README: remove VectorBT Comparison section and TOC entry, rewrite
  Overview/Performance as standalone benchmarks, clean metric-mapping
  table reference, update feature list to 7 strategy types including tick
- Cargo.toml / pyproject.toml: rewrite description without VectorBT mention
- __init__.py: rewrite module docstring without comparative framing
- Rust comments (engine.rs, position.rs, signals/processor.rs, core/types.rs,
  python/bindings.rs): replace "matching VectorBT behavior/formula/methodology"
  with plain descriptions of what the code does

Co-Authored-By: porcelaincode <contact@alphabench.in>
 2026-06-03 21:52:30 +05:30
porcelaincodeandClaude Sonnet 4.6 514c235f1c feat(core): add TickData struct, TimeExit reason, compute_backtest_metrics pub fn 
- TickData: parallel tick arrays (timestamps, ltp, bid, ask, buy_qty_delta,
  sell_qty_delta, oi) with len/is_empty helpers; callers must pre-convert
  Zerodha cumulative totals to per-tick deltas before passing
- ExitReason::TimeExit: max hold time exceeded variant for tick backtest
- compute_backtest_metrics: pub free fn wrapping PortfolioEngine::calculate_metrics
  so non-OHLCV strategies can produce identical metrics without duplication

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
 2026-06-03 21:26:51 +05:30
porcelaincode 0ff67e7fe2 feat: add payoff_ratio and recovery_factor metrics, bump to 0.3.2 
Add two new risk/reward metrics to BacktestMetrics:
- payoff_ratio: avg winning return / avg losing return (absolute)
- recovery_factor: net profit / max drawdown in absolute terms
Computed in both StreamingMetrics::finalize() and PortfolioEngine.
Exposed via PyO3 with #[pyo3(get)] on PyBacktestMetrics.
Updated README with API reference and changelog.
 2026-02-18 18:57:42 +05:30
porcelaincode 4d4ea2e5e9 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
 2026-02-17 00:35:20 +05:30
porcelaincode bb6ce05c57 feat: add instrument level config and bump to 0.3.0 2026-02-10 05:03:39 +05:30
vatsalandGitHub 0f032dd39e Fix CI workflow: use correct rust-toolchain action (#1) 
* Fix CI workflow: use correct rust-toolchain action

* Fix CI: resolve Rust compilation and formatting issues
- Fix rust-toolchain action name in CI workflow
- Add missing Direction import in test modules
- Add missing entry_fees argument to open_position test calls
- Comment out nightly-only rustfmt options
- Auto-format code with cargo fmt
 2026-01-28 15:38:31 +05:30
porcelaincode f6c60d7b8b Initial backtesting engine 2026-01-28 06:30:03 +05:30