Expand description
Portfolio analysis and performance metrics for NautilusTrader.
The analysis crate provides a comprehensive suite of portfolio analysis tools and performance statistics for evaluating trading strategies and portfolios. This includes return-based metrics, PnL-based statistics, and risk measurements commonly used in quantitative finance:
- Portfolio analyzer for tracking account states and positions.
- Extensive collection of performance statistics and risk metrics.
- Flexible statistic calculation framework supporting different data sources.
- Support for multi-currency portfolios and unrealized PnL calculations.
§Platform
NautilusTrader is an open-source, high-performance, production-grade algorithmic trading platform, providing quantitative traders with the ability to backtest portfolios of automated trading strategies on historical data with an event-driven engine, and also deploy those same strategies live, with no code changes.
NautilusTrader’s design, architecture, and implementation philosophy prioritizes software correctness and safety at the highest level, with the aim of supporting mission-critical, trading system backtesting and live deployment workloads.
§Feature flags
This crate provides feature flags to control source code inclusion during compilation, depending on the intended use case, i.e. whether to provide Python bindings for the nautilus_trader Python package, or as part of a Rust only build.
python: Enables Python bindings from PyO3.
Modules§
- analyzer
- python
- statistic
- statistics
- Trading performance statistics and portfolio metrics.
Type Aliases§
- Returns
- Type alias for time-indexed returns data used in portfolio analysis.