raptorbt 0.3.2

High-performance Rust backtesting engine with Python bindings. Drop-in VectorBT replacement with up insanely faster performance at fractional memory footprint.

RaptorBT

<iframe src="https://clickhouse-analytics.metabaseapp.com/public/dashboard/daa27bf9-c01e-43fe-9260-c69b679cfe83?project_name=raptorbt#&theme=night" frameborder="0" width="100%" height="600"></iframe>

Blazing-fast backtesting for the modern quant.

RaptorBT is a high-performance backtesting engine written in Rust with Python bindings via PyO3. It serves as a drop-in replacement for VectorBT — delivering HFT-grade compute efficiency with full metric parity.

5,800x faster · 45x smaller · 100% deterministic

---

Quick Install

pip install raptorbt

30-Second Example

import numpy as np
import raptorbt

# Configure
config = raptorbt.PyBacktestConfig(initial_capital=100000, fees=0.001)

# Run backtest
result = raptorbt.run_single_backtest(
    timestamps=timestamps, open=open, high=high, low=low, close=close,
    volume=volume, entries=entries, exits=exits,
    direction=1, weight=1.0, symbol="AAPL", config=config,
)

# Results
print(f"Return: {result.metrics.total_return_pct:.2f}%")
print(f"Sharpe: {result.metrics.sharpe_ratio:.2f}")

---

Developed and maintained by the Alphabench team.

Table of Contents

• Overview
• Performance
• Architecture
• Installation
• Quick Start
• Strategy Types
• Metrics
• Indicators
• Stop-Loss & Take-Profit
• VectorBT Comparison
• API Reference
• Building from Source
• Testing

---

Overview

RaptorBT was built to address the performance limitations of VectorBT. Benchmarked by the Alphabench team:

Metric	VectorBT	RaptorBT	Improvement
Disk Footprint	~450MB	<10MB	45x smaller
Startup Latency	200-600ms	<10ms	20-60x faster
Backtest Speed (1K bars)	1460ms	0.25ms	5,800x faster
Backtest Speed (50K bars)	43ms	1.7ms	25x faster
Memory Usage	High (JIT + pandas)	Low (native)	Significant reduction

Key Features

• 6 Strategy Types: Single instrument, basket/collective, pairs trading, options, spreads, and multi-strategy
• Monte Carlo Simulation: Correlated multi-asset forward projection via GBM + Cholesky decomposition
• 33 Metrics: Full parity with VectorBT including Sharpe, Sortino, Calmar, Omega, SQN, Payoff Ratio, Recovery Factor, and more
• 12 Technical Indicators: SMA, EMA, RSI, MACD, Stochastic, ATR, Bollinger Bands, ADX, VWAP, Supertrend, Rolling Min, Rolling Max
• Stop/Target Management: Fixed, ATR-based, and trailing stops with risk-reward targets
• 100% Deterministic: No JIT compilation variance between runs
• Native Parallelism: Rayon-based parallel processing with explicit SIMD optimizations

---

Performance

Benchmark Results

Tested on Apple Silicon M-series with random walk price data and SMA crossover strategy:

┌─────────────┬────────────┬───────────┬──────────┐
│ Data Size   │ VectorBT   │ RaptorBT  │ Speedup  │
├─────────────┼────────────┼───────────┼──────────┤
│ 1,000 bars  │ 1,460 ms   │ 0.25 ms   │ 5,827x   │
│ 5,000 bars  │ 36 ms      │ 0.24 ms   │ 153x     │
│ 10,000 bars │ 37 ms      │ 0.46 ms   │ 80x      │
│ 50,000 bars │ 43 ms      │ 1.68 ms   │ 26x      │
└─────────────┴────────────┴───────────┴──────────┘

Note: First VectorBT run includes Numba JIT compilation overhead. Subsequent runs are faster but still significantly slower than RaptorBT.

Metric Accuracy

RaptorBT produces identical results to VectorBT:

VectorBT Total Return: 7.2764%
RaptorBT Total Return: 7.2764%
Difference: 0.0000% ✓

---

Architecture

raptorbt/
├── src/
│   ├── core/              # Core types and error handling
│   │   ├── types.rs       # BacktestConfig, BacktestResult, Trade, Metrics
│   │   ├── error.rs       # RaptorError enum
│   │   ├── session.rs     # SessionTracker, SessionConfig (intraday sessions)
│   │   └── timeseries.rs  # Time series utilities
│   │
│   ├── strategies/        # Strategy implementations
│   │   ├── single.rs      # Single instrument backtest
│   │   ├── basket.rs      # Basket/collective strategies
│   │   ├── pairs.rs       # Pairs trading
│   │   ├── options.rs     # Options strategies
│   │   ├── spreads.rs     # Multi-leg spread strategies
│   │   └── multi.rs       # Multi-strategy combining
│   │
│   ├── indicators/        # Technical indicators
│   │   ├── trend.rs       # SMA, EMA, Supertrend
│   │   ├── momentum.rs    # RSI, MACD, Stochastic
│   │   ├── volatility.rs  # ATR, Bollinger Bands
│   │   ├── strength.rs    # ADX
│   │   ├── volume.rs      # VWAP
│   │   └── rolling.rs     # Rolling Min/Max (LLV/HHV)
│   │
│   ├── metrics/           # Performance metrics
│   │   ├── streaming.rs   # Streaming metric calculations
│   │   ├── drawdown.rs    # Drawdown analysis
│   │   └── trade_stats.rs # Trade statistics
│   │
│   ├── signals/           # Signal processing
│   │   ├── processor.rs   # Entry/exit signal processing
│   │   ├── synchronizer.rs # Multi-instrument sync
│   │   └── expression.rs  # Signal expressions
│   │
│   ├── stops/             # Stop-loss implementations
│   │   ├── fixed.rs       # Fixed percentage stops
│   │   ├── atr.rs         # ATR-based stops
│   │   └── trailing.rs    # Trailing stops
│   │
│   ├── portfolio/         # Portfolio-level analysis
│   │   ├── monte_carlo.rs # Monte Carlo forward simulation (GBM + Cholesky)
│   │   ├── allocation.rs  # Capital allocation
│   │   ├── engine.rs      # Portfolio engine
│   │   └── position.rs    # Position management
│   │
│   ├── python/            # PyO3 bindings
│   │   ├── bindings.rs    # Python function exports
│   │   └── numpy_bridge.rs # NumPy array conversion
│   │
│   └── lib.rs             # Library entry point
│
├── Cargo.toml             # Rust dependencies
└── pyproject.toml         # Python package config

---

Installation

From Pre-built Wheel

pip install raptorbt

From Source

cd raptorbt
maturin develop --release

Verify Installation

import raptorbt
print("RaptorBT installed successfully!")

---

Quick Start

Basic Single Instrument Backtest

import numpy as np
import pandas as pd
import raptorbt

# Prepare data
df = pd.read_csv("your_data.csv", index_col=0, parse_dates=True)

# Generate signals (SMA crossover example)
sma_fast = df['close'].rolling(10).mean()
sma_slow = df['close'].rolling(20).mean()
entries = (sma_fast > sma_slow) & (sma_fast.shift(1) <= sma_slow.shift(1))
exits = (sma_fast < sma_slow) & (sma_fast.shift(1) >= sma_slow.shift(1))

# Configure backtest
config = raptorbt.PyBacktestConfig(
    initial_capital=100000,
    fees=0.001,        # 0.1% per trade
    slippage=0.0005,   # 0.05% slippage
    upon_bar_close=True
)

# Optional: Add stop-loss
config.set_fixed_stop(0.02)  # 2% stop-loss

# Optional: Add take-profit
config.set_fixed_target(0.04)  # 4% take-profit

# Run backtest
result = raptorbt.run_single_backtest(
    timestamps=df.index.astype('int64').values,
    open=df['open'].values,
    high=df['high'].values,
    low=df['low'].values,
    close=df['close'].values,
    volume=df['volume'].values,
    entries=entries.values,
    exits=exits.values,
    direction=1,       # 1 = Long, -1 = Short
    weight=1.0,
    symbol="AAPL",
    config=config,
)

# Access results
print(f"Total Return: {result.metrics.total_return_pct:.2f}%")
print(f"Sharpe Ratio: {result.metrics.sharpe_ratio:.2f}")
print(f"Max Drawdown: {result.metrics.max_drawdown_pct:.2f}%")
print(f"Win Rate: {result.metrics.win_rate_pct:.2f}%")
print(f"Total Trades: {result.metrics.total_trades}")

# Get equity curve
equity = result.equity_curve()  # Returns numpy array

# Get trades
trades = result.trades()  # Returns list of PyTrade objects

---

Strategy Types

1. Single Instrument

Basic long or short strategy on a single instrument.

# Optional: Instrument-specific configuration
inst_config = raptorbt.PyInstrumentConfig(lot_size=1.0)

result = raptorbt.run_single_backtest(
    timestamps=timestamps,
    open=open_prices, high=high_prices, low=low_prices,
    close=close_prices, volume=volume,
    entries=entries, exits=exits,
    direction=1,  # 1=Long, -1=Short
    weight=1.0,
    symbol="SYMBOL",
    config=config,
    instrument_config=inst_config,  # Optional: lot_size rounding, capital caps
)

2. Basket/Collective

Trade multiple instruments with synchronized signals.

instruments = [
    (timestamps, open1, high1, low1, close1, volume1, entries1, exits1, 1, 0.33, "AAPL"),
    (timestamps, open2, high2, low2, close2, volume2, entries2, exits2, 1, 0.33, "GOOGL"),
    (timestamps, open3, high3, low3, close3, volume3, entries3, exits3, 1, 0.34, "MSFT"),
]

# Optional: Per-instrument configs for lot_size and capital allocation
instrument_configs = {
    "AAPL": raptorbt.PyInstrumentConfig(lot_size=1.0, alloted_capital=33000),
    "GOOGL": raptorbt.PyInstrumentConfig(lot_size=1.0, alloted_capital=33000),
    "MSFT": raptorbt.PyInstrumentConfig(lot_size=1.0, alloted_capital=34000),
}

result = raptorbt.run_basket_backtest(
    instruments=instruments,
    config=config,
    sync_mode="all",  # "all", "any", "majority", "master"
    instrument_configs=instrument_configs,  # Optional
)

Sync Modes:

• all: Enter only when ALL instruments signal
• any: Enter when ANY instrument signals
• majority: Enter when >50% of instruments signal
• master: Follow the first instrument's signals

3. Pairs Trading

Long one instrument, short another with optional hedge ratio.

result = raptorbt.run_pairs_backtest(
    # Long leg
    leg1_timestamps=timestamps,
    leg1_open=long_open, leg1_high=long_high,
    leg1_low=long_low, leg1_close=long_close,
    leg1_volume=long_volume,
    # Short leg
    leg2_timestamps=timestamps,
    leg2_open=short_open, leg2_high=short_high,
    leg2_low=short_low, leg2_close=short_close,
    leg2_volume=short_volume,
    # Signals
    entries=entries, exits=exits,
    direction=1,
    symbol="TCS_INFY",
    config=config,
    hedge_ratio=1.5,      # Short 1.5x the long position
    dynamic_hedge=False,  # Use rolling hedge ratio
)

4. Options

Backtest options strategies with strike selection.

result = raptorbt.run_options_backtest(
    timestamps=timestamps,
    open=underlying_open, high=underlying_high,
    low=underlying_low, close=underlying_close,
    volume=volume,
    option_prices=option_prices,  # Option premium series
    entries=entries, exits=exits,
    direction=1,
    symbol="NIFTY_CE",
    config=config,
    option_type="call",           # "call" or "put"
    strike_selection="atm",       # "atm", "otm1", "otm2", "itm1", "itm2"
    size_type="percent",          # "percent", "contracts", "notional", "risk"
    size_value=0.1,               # 10% of capital
    lot_size=50,                  # Options lot size
    strike_interval=50.0,         # Strike interval (e.g., 50 for NIFTY)
)

5. Multi-Strategy

Combine multiple strategies on the same instrument.

strategies = [
    (entries_sma, exits_sma, 1, 0.4, "SMA_Crossover"),    # 40% weight
    (entries_rsi, exits_rsi, 1, 0.35, "RSI_MeanRev"),     # 35% weight
    (entries_bb, exits_bb, 1, 0.25, "BB_Breakout"),       # 25% weight
]

result = raptorbt.run_multi_backtest(
    timestamps=timestamps,
    open=open_prices, high=high_prices,
    low=low_prices, close=close_prices,
    volume=volume,
    strategies=strategies,
    config=config,
    combine_mode="any",  # "any", "all", "majority", "weighted", "independent"
)

Combine Modes:

• any: Enter when any strategy signals
• all: Enter only when all strategies signal
• majority: Enter when >50% of strategies signal
• weighted: Weight signals by strategy weight
• independent: Run strategies independently (aggregate PnL)

---

Metrics

RaptorBT calculates 30+ performance metrics:

Core Performance

Metric	Description
total_return_pct	Total return as percentage
sharpe_ratio	Risk-adjusted return (annualized)
sortino_ratio	Downside risk-adjusted return
calmar_ratio	Return / Max Drawdown
omega_ratio	Probability-weighted gains/losses

Drawdown

Metric	Description
max_drawdown_pct	Maximum peak-to-trough decline
max_drawdown_duration	Longest drawdown period (bars)

Trade Statistics

Metric	Description
total_trades	Total number of trades
total_closed_trades	Number of closed trades
total_open_trades	Number of open positions
winning_trades	Number of profitable trades
losing_trades	Number of losing trades
win_rate_pct	Percentage of winning trades

Trade Performance

Metric	Description
profit_factor	Gross profit / Gross loss
expectancy	Average expected profit per trade
sqn	System Quality Number
avg_trade_return_pct	Average trade return
avg_win_pct	Average winning trade return
avg_loss_pct	Average losing trade return
best_trade_pct	Best single trade return
worst_trade_pct	Worst single trade return

Duration

Metric	Description
avg_holding_period	Average trade duration (bars)
avg_winning_duration	Average winning trade duration
avg_losing_duration	Average losing trade duration

Streaks

Metric	Description
max_consecutive_wins	Longest winning streak
max_consecutive_losses	Longest losing streak

Other

Metric	Description
start_value	Initial portfolio value
end_value	Final portfolio value
total_fees_paid	Total transaction costs
open_trade_pnl	Unrealized PnL from open positions
exposure_pct	Percentage of time in market

---

Indicators

RaptorBT includes optimized technical indicators:

import raptorbt

# Trend indicators
sma = raptorbt.sma(close, period=20)
ema = raptorbt.ema(close, period=20)
supertrend, direction = raptorbt.supertrend(high, low, close, period=10, multiplier=3.0)

# Momentum indicators
rsi = raptorbt.rsi(close, period=14)
macd_line, signal_line, histogram = raptorbt.macd(close, fast=12, slow=26, signal=9)
stoch_k, stoch_d = raptorbt.stochastic(high, low, close, k_period=14, d_period=3)

# Volatility indicators
atr = raptorbt.atr(high, low, close, period=14)
upper, middle, lower = raptorbt.bollinger_bands(close, period=20, std_dev=2.0)

# Strength indicators
adx = raptorbt.adx(high, low, close, period=14)

# Volume indicators
vwap = raptorbt.vwap(high, low, close, volume)

---

Stop-Loss & Take-Profit

Fixed Percentage

config = raptorbt.PyBacktestConfig(initial_capital=100000, fees=0.001)
config.set_fixed_stop(0.02)    # 2% stop-loss
config.set_fixed_target(0.04)  # 4% take-profit

ATR-Based

config.set_atr_stop(multiplier=2.0, period=14)    # 2x ATR stop
config.set_atr_target(multiplier=3.0, period=14)  # 3x ATR target

Trailing Stop

config.set_trailing_stop(0.02)  # 2% trailing stop

Risk-Reward Target

config.set_risk_reward_target(ratio=2.0)  # 2:1 risk-reward ratio

---

Monte Carlo Portfolio Simulation

RaptorBT includes a high-performance Monte Carlo forward simulation engine for portfolio risk analysis. It uses Geometric Brownian Motion (GBM) with Cholesky decomposition for correlated multi-asset simulation, parallelized via Rayon.

import numpy as np
import raptorbt

# Historical daily returns per strategy/asset (numpy arrays)
returns = [
    np.array([0.001, -0.002, 0.003, ...]),  # Strategy 1 returns
    np.array([0.002, 0.001, -0.001, ...]),   # Strategy 2 returns
]

# Portfolio weights (must sum to 1.0)
weights = np.array([0.6, 0.4])

# Correlation matrix (N x N)
correlation_matrix = [
    np.array([1.0, 0.3]),
    np.array([0.3, 1.0]),
]

# Run simulation
result = raptorbt.simulate_portfolio_mc(
    returns=returns,
    weights=weights,
    correlation_matrix=correlation_matrix,
    initial_value=100000.0,
    n_simulations=10000,   # Number of Monte Carlo paths (default: 10,000)
    horizon_days=252,      # Forward projection horizon (default: 252)
    seed=42,               # Random seed for reproducibility (default: 42)
)

# Results
print(f"Expected Return: {result['expected_return']:.2f}%")
print(f"Probability of Loss: {result['probability_of_loss']:.2%}")
print(f"VaR (95%): {result['var_95']:.2f}%")
print(f"CVaR (95%): {result['cvar_95']:.2f}%")

# Percentile paths: list of (percentile, path_values)
# Percentiles: 5th, 25th, 50th, 75th, 95th
for pct, path in result['percentile_paths']:
    print(f"  P{pct:.0f} final value: {path[-1]:.2f}")

# Final values: numpy array of terminal values for all simulations
final_values = result['final_values']  # numpy array, length = n_simulations

Result Fields

Field	Type	Description
expected_return	float	Expected return as percentage over the horizon
probability_of_loss	float	Probability that final value < initial value (0.0 to 1.0)
var_95	float	Value at Risk at 95% confidence (percentage)
cvar_95	float	Conditional VaR at 95% confidence (percentage)
percentile_paths	List[Tuple[float, List]]	Portfolio paths at 5th, 25th, 50th, 75th, 95th percentiles
final_values	numpy.ndarray	Terminal portfolio values for all simulations

---

VectorBT Comparison

RaptorBT is designed as a drop-in replacement for VectorBT. Here's a side-by-side comparison:

VectorBT (before)

import vectorbt as vbt
import pandas as pd

# Run backtest
pf = vbt.Portfolio.from_signals(
    close=close_series,
    entries=entries,
    exits=exits,
    init_cash=100000,
    fees=0.001,
)

# Get metrics
print(pf.stats()["Total Return [%]"])
print(pf.stats()["Sharpe Ratio"])
print(pf.stats()["Max Drawdown [%]"])

RaptorBT (after)

import raptorbt
import numpy as np

# Configure backtest
config = raptorbt.PyBacktestConfig(
    initial_capital=100000,
    fees=0.001,
)

# Run backtest
result = raptorbt.run_single_backtest(
    timestamps=timestamps,
    open=open_prices, high=high_prices,
    low=low_prices, close=close_prices,
    volume=volume,
    entries=entries, exits=exits,
    direction=1, weight=1.0,
    symbol="SYMBOL",
    config=config,
)

# Get metrics
print(f"Total Return: {result.metrics.total_return_pct}%")
print(f"Sharpe Ratio: {result.metrics.sharpe_ratio}")
print(f"Max Drawdown: {result.metrics.max_drawdown_pct}%")

Metric Mapping

VectorBT Key	RaptorBT Attribute
Total Return [%]	metrics.total_return_pct
Sharpe Ratio	metrics.sharpe_ratio
Sortino Ratio	metrics.sortino_ratio
Max Drawdown [%]	metrics.max_drawdown_pct
Win Rate [%]	metrics.win_rate_pct
Profit Factor	metrics.profit_factor
SQN	metrics.sqn
Omega Ratio	metrics.omega_ratio
Total Trades	metrics.total_trades
Expectancy	metrics.expectancy

---

API Reference

PyBacktestConfig

config = raptorbt.PyBacktestConfig(
    initial_capital: float = 100000.0,
    fees: float = 0.001,
    slippage: float = 0.0,
    upon_bar_close: bool = True,
)

# Stop methods
config.set_fixed_stop(percent: float)
config.set_atr_stop(multiplier: float, period: int)
config.set_trailing_stop(percent: float)

# Target methods
config.set_fixed_target(percent: float)
config.set_atr_target(multiplier: float, period: int)
config.set_risk_reward_target(ratio: float)

PyInstrumentConfig

Per-instrument configuration for position sizing and risk management.

inst_config = raptorbt.PyInstrumentConfig(
    lot_size=1.0,              # Min tradeable quantity (1 for equity, 50 for NIFTY F&O)
    alloted_capital=50000.0,   # Capital allocated to this instrument (optional)
    existing_qty=None,         # Existing position quantity (future use)
    avg_price=None,            # Existing position avg price (future use)
)

# Optional: per-instrument stop/target overrides
inst_config.set_fixed_stop(0.02)
inst_config.set_trailing_stop(0.03)
inst_config.set_fixed_target(0.05)

Fields:

• lot_size - Minimum tradeable quantity. Position sizes are rounded down to nearest lot_size multiple. Use 1.0 for equities, 50.0 for NIFTY F&O, 0.01 for forex.
• alloted_capital - Per-instrument capital cap (capped at available cash).
• existing_qty / avg_price - Reserved for future live-to-backtest transitions.

simulate_portfolio_mc

result = raptorbt.simulate_portfolio_mc(
    returns: List[np.ndarray],               # Per-asset daily returns (N arrays)
    weights: np.ndarray,                     # Portfolio weights (length N, sum to 1)
    correlation_matrix: List[np.ndarray],    # N x N correlation matrix
    initial_value: float,                    # Starting portfolio value
    n_simulations: int = 10000,              # Number of Monte Carlo paths
    horizon_days: int = 252,                 # Forward projection horizon in days
    seed: int = 42,                          # Random seed for reproducibility
) -> dict

Returns a dictionary with keys: expected_return, probability_of_loss, var_95, cvar_95, percentile_paths, final_values.

PyBacktestResult

result = raptorbt.run_single_backtest(...)

# Attributes
result.metrics        # PyBacktestMetrics object

# Methods
result.equity_curve()    # numpy.ndarray
result.drawdown_curve()  # numpy.ndarray
result.returns()         # numpy.ndarray
result.trades()          # List[PyTrade]

PyBacktestMetrics

metrics = result.metrics

# All available metrics
metrics.total_return_pct
metrics.sharpe_ratio
metrics.sortino_ratio
metrics.calmar_ratio
metrics.omega_ratio
metrics.max_drawdown_pct
metrics.max_drawdown_duration
metrics.win_rate_pct
metrics.profit_factor
metrics.expectancy
metrics.sqn
metrics.total_trades
metrics.total_closed_trades
metrics.total_open_trades
metrics.winning_trades
metrics.losing_trades
metrics.start_value
metrics.end_value
metrics.total_fees_paid
metrics.best_trade_pct
metrics.worst_trade_pct
metrics.avg_trade_return_pct
metrics.avg_win_pct
metrics.avg_loss_pct
metrics.avg_holding_period
metrics.avg_winning_duration
metrics.avg_losing_duration
metrics.max_consecutive_wins
metrics.max_consecutive_losses
metrics.exposure_pct
metrics.open_trade_pnl
metrics.payoff_ratio            # avg win / avg loss (risk/reward per trade)
metrics.recovery_factor         # net profit / max drawdown (resilience)

# Convert to dictionary (VectorBT format)
stats_dict = metrics.to_dict()

PyTrade

for trade in result.trades():
    print(trade.id)           # Trade ID
    print(trade.symbol)       # Symbol
    print(trade.entry_idx)    # Entry bar index
    print(trade.exit_idx)     # Exit bar index
    print(trade.entry_price)  # Entry price
    print(trade.exit_price)   # Exit price
    print(trade.size)         # Position size
    print(trade.direction)    # 1=Long, -1=Short
    print(trade.pnl)          # Profit/Loss
    print(trade.return_pct)   # Return percentage
    print(trade.fees)         # Fees paid
    print(trade.exit_reason)  # "Signal", "StopLoss", "TakeProfit"

---

Building from Source

Prerequisites

• Rust 1.70+ (install via rustup)
• Python 3.10+
• maturin (pip install maturin)

Development Build

cd raptorbt
maturin develop --release

Production Build

cd raptorbt
maturin build --release
pip install target/wheels/raptorbt-*.whl

---

Testing

Rust Unit Tests

cd raptorbt
cargo test

Python Integration Tests

import raptorbt
import numpy as np

config = raptorbt.PyBacktestConfig(initial_capital=100000, fees=0.001)
result = raptorbt.run_single_backtest(
    timestamps=np.arange(100, dtype=np.int64),
    open=np.random.randn(100).cumsum() + 100,
    high=np.random.randn(100).cumsum() + 101,
    low=np.random.randn(100).cumsum() + 99,
    close=np.random.randn(100).cumsum() + 100,
    volume=np.ones(100),
    entries=np.array([i % 20 == 0 for i in range(100)]),
    exits=np.array([i % 20 == 10 for i in range(100)]),
    direction=1,
    weight=1.0,
    symbol='TEST',
    config=config,
)
print(f'Total Return: {result.metrics.total_return_pct:.2f}%')
print('RaptorBT is working correctly!')

Comparison Test (VectorBT vs RaptorBT)

import numpy as np
import pandas as pd
import vectorbt as vbt
import raptorbt

# Create test data
np.random.seed(42)
n = 500
dates = pd.date_range('2023-01-01', periods=n, freq='D')
close = np.cumprod(1 + np.random.randn(n) * 0.02) * 100
entries = np.zeros(n, dtype=bool)
exits = np.zeros(n, dtype=bool)
entries[::20] = True
exits[10::20] = True

# VectorBT
pf = vbt.Portfolio.from_signals(
    close=pd.Series(close, index=dates),
    entries=pd.Series(entries, index=dates),
    exits=pd.Series(exits, index=dates),
    init_cash=100000, fees=0.001
)

# RaptorBT
config = raptorbt.PyBacktestConfig(initial_capital=100000, fees=0.001)
result = raptorbt.run_single_backtest(
    timestamps=dates.astype('int64').values,
    open=close, high=close, low=close, close=close,
    volume=np.ones(n), entries=entries, exits=exits,
    direction=1, weight=1.0, symbol="TEST", config=config
)

print(f"VectorBT: {pf.stats()['Total Return [%]']:.4f}%")
print(f"RaptorBT: {result.metrics.total_return_pct:.4f}%")
# Results should match within 0.01%

---

License

MIT License - see LICENSE for details.

---

Changelog

v0.3.2

• Add payoff_ratio metric to BacktestMetrics — average winning trade return divided by average losing trade return (absolute), measures risk/reward per trade
• Add recovery_factor metric to BacktestMetrics — net profit divided by maximum drawdown in absolute terms, measures how many times over the strategy recovered from its worst drawdown
• Both metrics computed in StreamingMetrics::finalize() (single-instrument backtest) and PortfolioEngine (multi-strategy aggregation)
• Both metrics exposed via PyO3 as #[pyo3(get)] attributes on PyBacktestMetrics
• Handles edge cases: returns f64::INFINITY when denominator is zero with positive numerator, 0.0 otherwise

v0.3.1

• Add Monte Carlo portfolio simulation (simulate_portfolio_mc) for forward risk projection
• Geometric Brownian Motion (GBM) with Cholesky decomposition for correlated multi-asset simulation
• Rayon-parallelized simulation paths with deterministic seeding (xoshiro256**)
• Returns percentile paths (P5/P25/P50/P75/P95), VaR, CVaR, expected return, and probability of loss
• GIL released during simulation for maximum Python concurrency

v0.3.0

• Per-instrument configuration via PyInstrumentConfig (lot_size, alloted_capital, stop/target overrides)
• Position sizes now correctly rounded to lot_size multiples
• Support for per-instrument capital allocation in basket backtests
• Future-ready fields: existing_qty, avg_price for live-to-backtest transitions

v0.2.2

• Export run_spread_backtest Python binding for multi-leg options spread strategies
• Export rolling_min and rolling_max indicator functions to Python

v0.2.1

• Add rolling_min and rolling_max indicators for LLV (Lowest Low Value) and HHV (Highest High Value) support
• NaN handling for warmup period

v0.2.0

• Add multi-leg spread backtesting (run_spread_backtest) supporting straddles, strangles, vertical spreads, iron condors, iron butterflies, butterfly spreads, calendar spreads, and diagonal spreads
• Coordinated entry/exit across all legs with net premium P&L calculation
• Max loss and target profit exit thresholds for spreads
• Add SessionTracker for intraday session management: market hours detection, squareoff time enforcement, session high/low/open tracking
• Pre-built session configs for NSE equity (9:15-15:30), MCX commodity (9:00-23:30), and CDS currency (9:00-17:00)
• Extend StreamingMetrics with equity/drawdown tracking, trade recording, and finalize() method

v0.1.0

• Initial release
• 5 strategy types: single, basket, pairs, options, multi
• 30+ performance metrics with full VectorBT parity
• 10 technical indicators (SMA, EMA, RSI, MACD, Stochastic, ATR, Bollinger Bands, ADX, VWAP, Supertrend)
• Stop-loss management: fixed, ATR-based, and trailing stops
• Take-profit management: fixed, ATR-based, and risk-reward targets
• PyO3 Python bindings for seamless Python integration