tickreplay 0.1.0: tick-accurate MT5 backtesting engine + research toolkit

Memory-mapped tickstores, a nogil numba replay kernel validated trade-for-trade
against an independent reference implementation, purged walk-forward CV, an
append-only FDR registry, tick-exact labels, and online changepoint detection.
129 tests, 4 runnable examples on synthetic data, CI for linux/macos.

examples/breakout.py

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+"""N-bar breakout on M5 bars, exiting on the opposite breakout.
+
+Run: python examples/breakout.py
+"""
+import numpy as np
+
+import tickreplay as tr
+
+LOOKBACK = 20
+
+
+def main():
+    time_ns, bid, ask = tr.synth.generate_ticks(days=30, seed=11)
+    store = tr.TickStore(time_ns, bid, ask)
+    bars = store.bars("M5")
+
+    # shift(1) keeps the current bar out of its own reference range.
+    prior_high = bars["high"].shift(1).rolling(LOOKBACK).max()
+    prior_low = bars["low"].shift(1).rolling(LOOKBACK).min()
+    state = np.where(bars["close"] > prior_high, 1,
+                     np.where(bars["close"] < prior_low, -1, 0)).astype("int8")
+
+    # Fire on the bar that breaks out, not on every bar that stays beyond the range.
+    signal = np.where(state != np.r_[np.int8(0), state[:-1]], state, 0).astype("int8")
+
+    config = tr.Config(sl=4.0, tp=8.0, max_hold="8h", exit_on_opposite=True, cost=0.05)
+    result = tr.replay(store, bars, signal, config)
+
+    print(f"ticks     {len(store):>12,}")
+    print(f"M5 bars   {len(bars):>12,}")
+    print(f"signals   {int((signal != 0).sum()):>12,}  ({LOOKBACK}-bar breakout)")
+    print("config    sl=4.0 tp=8.0 max_hold=8h exit_on_opposite=True cost=0.05")
+    print()
+    for key, value in result.summary().items():
+        print(f"{key:<14}{value:>12.4f}" if isinstance(value, float)
+              else f"{key:<14}{value:>12,}")
+
+    print()
+    print("exit reasons")
+    counts = result.trades["exit_reason"].value_counts()
+    for reason, count in counts.items():
+        print(f"  {reason:<10}{count:>6,}{count / counts.sum():>8.1%}")
+
+
+if __name__ == "__main__":
+    main()