Merge pull request #7 from alphabench/fix/spread-backtest

feat: add new backtest functions

Cargo.toml

@@ -1,12 +1,12 @@
 [package]
 name = "raptorbt"
-version = "0.2.1"
+version = "0.2.2"
 edition = "2021"
 description = "High-performance Rust backtesting engine with Python bindings. Drop-in VectorBT replacement with up insanely faster performance at fractional memory footprint."
 authors = ["Alphabench <contact@alphabench.in>"]
 license = "MIT"
 repository = "https://github.com/alphabench/raptorbt"
-homepage = "https://github.com/alphabench/raptorbt"
+homepage = "https://www.alphabench.in/raptorbt"
 readme = "README.md"
 keywords = ["backtesting", "trading", "quantitative-finance", "rust", "python"]
 categories = ["finance", "simulation"]

README.md

@@ -1,9 +1,10 @@
 # RaptorBT
 
-[![PyPI version](https://img.shields.io/pypi/v/raptorbt.svg)](https://pypi.org/project/raptorbt/)
 [![License: MIT](https://img.shields.io/badge/License-MIT-yellow.svg)](https://opensource.org/licenses/MIT)
+[![PyPI version](https://img.shields.io/pypi/v/raptorbt.svg)](https://pypi.org/project/raptorbt/)
 [![Python 3.10+](https://img.shields.io/badge/python-3.10+-blue.svg)](https://www.python.org/downloads/)
-[![Rust](https://img.shields.io/badge/rust-1.70+-orange.svg)](https://www.rust-lang.org/)
+[![Rust](https://img.shields.io/badge/rust-1.70+-red.svg)](https://www.rust-lang.org/)
+[![PyPI Downloads](https://static.pepy.tech/personalized-badge/raptorbt?period=total&units=INTERNATIONAL_SYSTEM&left_color=GRAY&right_color=ORANGE&left_text=downloads)](https://pepy.tech/projects/raptorbt)
 
 **Blazing-fast backtesting for the modern quant.**
 
@@ -573,18 +574,18 @@ print(f"Max Drawdown: {result.metrics.max_drawdown_pct}%")
 
 ### Metric Mapping
 
-| VectorBT Key           | RaptorBT Attribute             |
+| VectorBT Key       | RaptorBT Attribute         |
-| ---------------------- | ------------------------------ |
+| ------------------ | -------------------------- |
-| `Total Return [%]`     | `metrics.total_return_pct`     |
+| `Total Return [%]` | `metrics.total_return_pct` |
-| `Sharpe Ratio`         | `metrics.sharpe_ratio`         |
+| `Sharpe Ratio`     | `metrics.sharpe_ratio`     |
-| `Sortino Ratio`        | `metrics.sortino_ratio`        |
+| `Sortino Ratio`    | `metrics.sortino_ratio`    |
-| `Max Drawdown [%]`     | `metrics.max_drawdown_pct`     |
+| `Max Drawdown [%]` | `metrics.max_drawdown_pct` |
-| `Win Rate [%]`         | `metrics.win_rate_pct`         |
+| `Win Rate [%]`     | `metrics.win_rate_pct`     |
-| `Profit Factor`        | `metrics.profit_factor`        |
+| `Profit Factor`    | `metrics.profit_factor`    |
-| `SQN`                  | `metrics.sqn`                  |
+| `SQN`              | `metrics.sqn`              |
-| `Omega Ratio`          | `metrics.omega_ratio`          |
+| `Omega Ratio`      | `metrics.omega_ratio`      |
-| `Total Trades`         | `metrics.total_trades`         |
+| `Total Trades`     | `metrics.total_trades`     |
-| `Expectancy`           | `metrics.expectancy`           |
+| `Expectancy`       | `metrics.expectancy`       |
 
 ---
 

pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "maturin"
 
 [project]
 name = "raptorbt"
-version = "0.2.1"
+version = "0.2.2"
 description = "High-performance Rust backtesting engine with Python bindings. Drop-in VectorBT replacement with up insanely faster performance at fractional memory footprint."
 readme = "README.md"
 requires-python = ">=3.10"
@@ -39,9 +39,9 @@ classifiers = [
 ]
 
 [project.urls]
-Homepage = "https://github.com/alphabench/raptorbt"
+Homepage = "https://www.alphabench.in/raptorbt"
 Repository = "https://github.com/alphabench/raptorbt"
-Documentation = "https://github.com/alphabench/raptorbt#readme"
+Documentation = "https://www.alphabench.in/raptorbt"
 "Bug Tracker" = "https://github.com/alphabench/raptorbt/issues"
 
 [tool.maturin]

python/raptorbt/__init__.py

@@ -24,6 +24,7 @@ from raptorbt._raptorbt import (
     run_options_backtest,
     run_pairs_backtest,
     run_multi_backtest,
+    run_spread_backtest,
     # Indicator functions
     sma,
     ema,
@@ -35,9 +36,11 @@ from raptorbt._raptorbt import (
     adx,
     vwap,
     supertrend,
+    rolling_min,
+    rolling_max,
 )
 
-__version__ = "0.2.1"
+__version__ = "0.2.2"
 
 __all__ = [
     # Config classes
@@ -54,6 +57,7 @@ __all__ = [
     "run_options_backtest",
     "run_pairs_backtest",
     "run_multi_backtest",
+    "run_spread_backtest",
     # Indicator functions
     "sma",
     "ema",
@@ -65,4 +69,6 @@ __all__ = [
     "adx",
     "vwap",
     "supertrend",
+    "rolling_min",
+    "rolling_max",
 ]