Features¶

Core Backtesting¶

Multi-asset portfolio simulation - Trade multiple assets simultaneously with coordinated position management
Execution model - Market orders (immediate execution) and next-close orders (execution at the following bar's close)
Position sizing strategies - Notional and percentage-based position sizing with customizable scaling
Leverage and margin - Support for short positions and borrowing with configurable borrow rates and limits
Transaction costs - Model slippage and transaction fees with flexible cost structures (fixed, percentage, or value-based)

Stop-loss and take-profit - Automatic position exit triggers based on percentage levels
Portfolio risk tracking - Monitor portfolio-level risk exposure and constraints
Drawdown analysis - Maximum drawdown calculation for strategy evaluation

Standard indicators - SMA, EMA, RSI, MACD, Bollinger Bands, Stochastic, ATR, ADX, and more
Sequential indicator updates - All indicators update efficiently as new data arrives
Custom indicator support - Easy extension for strategy-specific calculations

Trade statistics - Win rate, maximum win/loss, trade count and distribution
Return metrics - Total and percentage returns, profit/loss tracking
Performance indicators - Sharpe ratio, Sortino ratio, maximum drawdown, with annualization support
Time-aware metrics - All performance calculations account for the data's time units
PnL analysis - Average PnL, standard deviation of PnL per trade

CSV reader - Load OHLCV data from standard CSV files
JSON Lines reader - Parse newline-delimited JSON data efficiently
Flexible data formats - Support for various timestamp units and data structures