wbt 0.1.5

Weight-based backtesting engine for quantitative trading

wbt

Position-weighted backtesting engine for quantitative strategies, with a Rust core and Python bindings.

中文说明

Why This Project Exists

Many strategy teams use position weights as the canonical interface between signal generation and execution simulation. Existing backtesting tools often focus on order-level simulation or are too slow for large, multi-symbol weight datasets.

The goals of wbt are:

1. Keep one consistent data contract for weight-based strategies.
2. Provide fast and deterministic computation with Rust.
3. Expose a Python-first API for research workflows.
4. Offer built-in evaluation outputs and plotting-ready data structures.

What wbt Is Good At

• Time-series and cross-sectional weight backtests.
• Multi-symbol daily performance attribution.
• Long/short decomposition and segment-level metrics.
• High-throughput computation from pandas, polars, or file inputs.

What wbt Is Not Trying To Solve

• Tick-level order book simulation.
• Exchange matching-engine microstructure.
• Broker-specific execution modeling.

If your strategy logic is naturally represented as target weights over time, wbt is a strong fit.

Repository Layout

• Rust crate: repository root
• Python package: python/

wbt/
|-- Cargo.toml
|-- src/
`-- python/
    |-- pyproject.toml
    |-- README.md
    |-- tests/
    `-- wbt/

Quick Start (Python Users)

The Python package is in python/ and keeps the import path as import wbt.

cd python
uv sync --extra dev
uv run maturin develop --release
uv run pytest -v

Then in Python:

import pandas as pd
from wbt import WeightBacktest

df = pd.DataFrame(
    {
        "dt": ["2024-01-02 09:01:00", "2024-01-02 09:02:00", "2024-01-02 09:03:00"],
        "symbol": ["AAPL", "AAPL", "AAPL"],
        "weight": [0.5, 0.0, -0.3],
        "price": [185.0, 186.0, 184.5],
    }
)

wb = WeightBacktest(df, digits=2, fee_rate=0.0002, n_jobs=4, weight_type="ts")

print(wb.stats)
print(wb.long_stats)
print(wb.short_stats)

For complete Python guide, see python/README.md.

Quick Start (Rust Developers)

Run tests from repository root:

cargo test

Use as dependency:

[dependencies]
wbt = "0.1"

Data Contract (Core Idea)

wbt expects four essential columns:

• dt: bar end timestamp
• symbol: instrument identifier
• weight: target position weight at bar end
• price: trade/mark price

Accepted Python inputs:

• pandas.DataFrame
• polars.DataFrame or polars.LazyFrame
• file path (csv, parquet, feather, arrow)

Outputs You Can Use Immediately

• wb.stats: full long-short evaluation summary.
• wb.long_stats and wb.short_stats: directional breakdown.
• wb.daily_return and wb.dailys: daily series for analytics.
• wb.alpha and wb.alpha_stats: strategy-vs-benchmark excess analysis.
• wb.pairs: trade-pair table for per-trade evaluation.
• wb.segment_stats(...): metrics for arbitrary date windows.
• wb.long_alpha_stats: volatility-scaled long-side alpha metrics.

Plotting

Plot functions are available under wbt.plotting in the Python package, including:

• cumulative return curves
• monthly heatmap
• drawdown chart
• daily return distribution
• trade-pair analysis
• integrated overview dashboard

Development Workflow

• Rust checks run from repository root.
• Python checks run from python/.
• CI validates both layers.

Typical local quality checks:

# repository root
cargo test

# python subproject
cd python
uv run pytest -v
uv run ruff format --check .
uv run ruff check . --no-fix
uv run basedpyright

Related Docs

• English Python guide: python/README.md
• Chinese Python guide: python/README_CN.md
• Design notes: docs/desgin.md

License

MIT