TinyCTA 0.10.0

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📈 TinyCTA

A Lightweight Python Package for Commodity Trading Advisor Strategies.

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Quick Links: 📚 Repository • 📦 PyPI • 🐛 Issues • 💬 Discussions

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📋 Overview

TinyCTA provides essential tools for quantitative finance and algorithmic trading, particularly for trend-following strategies. The package includes:

• Polars-based signal processing: oscillators, moving-average crossovers, and volatility-adjusted returns
• Robust volatility estimation via rolling median absolute deviation
• Linear algebra utilities that handle matrices with missing values
• Matrix shrinkage techniques commonly used in portfolio optimization

This package is designed to be the foundation for implementing CTA strategies in just a few lines of code, hence the name "TinyCTA".

🚀 Installation

Using pip

pip install tinycta

From source

Clone the repository and install using the provided Makefile:

git clone https://github.com/tschm/tinycta.git
cd tinycta
make install

This will install uv (a fast Python package installer) and create a virtual environment with all dependencies.

💻 Usage

Oscillator signal (Polars)

import polars as pl
from tinycta.osc import osc

prices = pl.DataFrame({"A": [1, 2, 3, 4, 5, 6, 7, 8, 9, 10]})
result = prices.with_columns(osc(pl.col("A"), fast=2, slow=6, vola=3).alias("osc_A"))

Moving-average crossover (Polars)

import polars as pl
from tinycta.ewma import ma_cross

prices = pl.DataFrame({"A": [1, 2, 3, 4, 5, 6, 7, 8, 9, 10]})
result = prices.with_columns(
    ma_cross(pl.col("A"), fast=2, slow=6).alias("sig_A")
)

Volatility-adjusted returns (Polars)

import polars as pl
from tinycta.util import vol_adj, adj_log_prices

prices = pl.DataFrame({"A": [100, 101, 99, 102, 98, 103]})
result = prices.with_columns(
    vol_adj(pl.col("A"), vola=3, clip=4.2).alias("vol_adj_A"),
    adj_log_prices(pl.col("A"), vola=3, clip=4.2).alias("adj_log_A"),
)

Linear algebra operations

import numpy as np
from tinycta.linalg import solve

matrix = np.array([[1.0, 0.5], [0.5, 1.0]])
rhs = np.array([1.0, 2.0])
solution = solve(matrix, rhs)
print(solution)

[0. 2.]

📚 API Reference

Signal Processing (tinycta.osc, tinycta.ewma, tinycta.util)

• osc(x, fast, slow, vola, min_samples=1) — EWMA-difference oscillator scaled by EWMA volatility (Polars)
• ma_cross(prices, fast, slow, min_samples=1) — sign of fast-vs-slow EWM crossover: -1, 0, or +1 (Polars)
• vol_adj(x, vola, clip, min_samples=1) — clipped, volatility-adjusted log returns (Polars)
• adj_log_prices(x, vola, clip, min_samples=1) — cumulative sum of volatility-adjusted log returns (Polars)

Signal Utilities (tinycta.signal)

• moving_absolute_deviation(price, com=32) — robust rolling volatility estimate via median absolute deviation (pandas)
• shrink2id(matrix, lamb=1.0) — shrink a matrix towards the identity matrix

Linear Algebra (tinycta.linalg)

• valid(matrix) — extract the finite subset of a matrix by filtering NaN rows/columns
• a_norm(vector, matrix=None) — matrix-norm of a vector
• inv_a_norm(vector, matrix=None) — inverse matrix-norm of a vector
• solve(matrix, rhs) — solve a linear system, handling matrices with NaN values

🛠️ Development

Setting up the development environment

make install

Running tests

make test

Code formatting and linting

make fmt

Cleaning up

make clean

📄 License

TinyCTA is licensed under the MIT License. See the LICENSE file for details.

🤝 Contributing

Contributions are welcome! Please feel free to submit a Pull Request.