tzu Namespace Reference

Classes
struct	Signal
	Trading signal generated by a strategy. More...
struct	Ohlcv
	Open-High-Low-Close-Volume candlestick data. More...
struct	Tick
struct	SingleValue
struct	Position
struct	Trade
struct	PerformanceMetrics
struct	BuyAndHoldMetrics
class	Indicator
	Base indicator class using CRTP for static polymorphism. More...
class	SMA
	Simple Moving Average (SMA). More...
class	EMA
class	MVar
class	RSI
struct	MACDResult
class	MACD
class	MDD
class	Portfolio
class	BasicPortfolio
class	Runner
class	BasicRunner
class	PortfolioStats
class	Strategy
class	SMACrossover
class	RSIStrat
class	MACDStrat
struct	CsvParseTraits
struct	CsvParseTraits< Ohlcv >
struct	CsvParseTraits< Tick >
struct	CsvParseTraits< SingleValue >
class	ParseIterator
class	Csv

Enumerations
enum class	Side { BUY , SELL , NONE }
	Trade direction enumeration. More...
enum class	OhlcvField {   OPEN , HIGH , LOW , CLOSE ,   VOLUME }
	Field selector for OHLCV data. More...
enum class	DataType { OHLCV , TICK , SINGLE_VALUE }
enum class	TimeInterval {   NANOSECONDS , MICROSECONDS , MILLISECONDS , SECONDS ,   MINUTES , HOURS , DAYS , WEEKS ,   MONTHS , YEARS }

Functions
std::ostream &	operator<< (std::ostream &os, const BasicPortfolio &portfolio)
double	compute_max_drawdown (const std::vector< std::pair< int64_t, double > > &equity_curve)
double	compute_sharpe_ratio (const std::vector< double > &returns, double years)
std::vector< double >	compute_returns (const std::vector< std::pair< int64_t, double > > &equity_curve)
PerformanceMetrics	compute_performance_metrics (const std::vector< std::pair< int64_t, double > > &equity_curve)
BuyAndHoldMetrics	compute_buy_and_hold_metrics (double init_cash, double init_price, double final_price, double years)
std::string	unixTimeToString (int64_t unixTime, TimeInterval interval=TimeInterval::SECONDS, bool local_time=false)

Variables
constexpr size_t	MAX_BUFFER_SIZE = 2048

Detailed Description

This header file defines various trading strategies that utilize technical indicators to generate buy and sell signals. Each strategy is implemented as a class that shares a common interface for updating with new market data and generating signals. The strategies include methods to inform the required data types and the number of items they need to process. This is designed to allow strategies that require multiple inputs, for example prices and macroeconomic indicators.

This file defines data streamers. It is designed to be extensible by having specific parser traits for each data type, iterators that read from streams and parse lines, and simple reader classes that integrate these components, like the Csv class reader.

Note: Error handling is currently minimal. If a line fails to parse, it is simply skipped and a warning is printed to standard error. It is expected that the input is well-formed, being validated by a pre-processing step, which is out of scope for this module.

(C) 2026 Jaime Lopez https://codeberg.org/jailop

Enumeration Type Documentation

DataType

enum class tzu::DataType

strong

This enum is intended to communicate the type of data being processed, to enable components to handle different data types appropriately.

Enumerator
OHLCV
TICK
SINGLE_VALUE

OhlcvField

enum class tzu::OhlcvField

strong

Field selector for OHLCV data.

Used by indicators or strategies that need to access specific fields of OHLCV data. Use with Ohlcv::getFieldValue() to retrieve values.

Enumerator
OPEN	Opening price.
HIGH	Highest price in period.
LOW	Lowest price in period.
CLOSE	Closing price.
VOLUME	Trading volume.

Side

enum class tzu::Side

strong

Trade direction enumeration.

Used to label trades and signals. The NONE value can be used to represent a hold signal (no action).

Enumerator
BUY	Buy signal or long position.
SELL	Sell signal or short position.
NONE	No action, hold current position.

TimeInterval

enum class tzu::TimeInterval

strong

Enumerator
NANOSECONDS
MICROSECONDS
MILLISECONDS
SECONDS
MINUTES
HOURS
DAYS
WEEKS
MONTHS
YEARS

Function Documentation

compute_buy_and_hold_metrics()

BuyAndHoldMetrics tzu::compute_buy_and_hold_metrics ( double init_cash, double init_price, double final_price, double years )

inline

Compute buy-and-hold benchmark metrics.

compute_max_drawdown()

double tzu::compute_max_drawdown ( const std::vector< std::pair< int64_t, double > > & equity_curve )

inline

Compute maximum drawdown from an equity curve.

compute_performance_metrics()

PerformanceMetrics tzu::compute_performance_metrics ( const std::vector< std::pair< int64_t, double > > & equity_curve )

inline

Compute performance metrics from an equity curve.

compute_returns()

std::vector< double > tzu::compute_returns ( const std::vector< std::pair< int64_t, double > > & equity_curve )

inline

Extract periodic returns from equity curve.

compute_sharpe_ratio()

double tzu::compute_sharpe_ratio ( const std::vector< double > & returns, double years )

inline

Compute Sharpe ratio from periodic returns. Assumes risk-free rate of 0. Returns annualized Sharpe ratio.

operator<<()

std::ostream & tzu::operator<< ( std::ostream & os, const BasicPortfolio & portfolio )

inline

unixTimeToString()

std::string tzu::unixTimeToString	(	int64_t	unixTime,
		TimeInterval	interval = TimeInterval::SECONDS,
		bool	local_time = false )

Convert a unix time to a string representation. Unix time is represented as an integer that can represent seconds or fractions of seconds.

Variable Documentation

MAX_BUFFER_SIZE

size_t tzu::MAX_BUFFER_SIZE = 2048

constexpr