porcelaincode
0ff67e7fe2
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.
38 lines
961 B
TOML
38 lines
961 B
TOML
[package]
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name = "raptorbt"
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version = "0.3.2"
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edition = "2021"
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description = "High-performance Rust backtesting engine with Python bindings. Drop-in VectorBT replacement with up insanely faster performance at fractional memory footprint."
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authors = ["Alphabench <contact@alphabench.in>"]
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license = "MIT"
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repository = "https://github.com/alphabench/raptorbt"
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homepage = "https://www.alphabench.in/raptorbt"
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readme = "README.md"
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keywords = ["backtesting", "trading", "quantitative-finance", "rust", "python"]
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categories = ["finance", "simulation"]
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[lib]
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name = "raptorbt"
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crate-type = ["cdylib", "rlib"]
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[dependencies]
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pyo3 = { version = "0.20", features = ["extension-module"] }
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numpy = "0.20"
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rayon = "1.8"
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thiserror = "1.0"
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serde = { version = "1.0", features = ["derive"] }
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[dev-dependencies]
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criterion = "0.5"
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approx = "0.5"
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[[bench]]
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name = "backtest_benchmark"
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harness = false
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[profile.release]
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lto = true
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codegen-units = 1
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opt-level = 3
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strip = true
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