Expand description
Portfolio analysis and performance metrics for NautilusTrader.
The nautilus-analysis crate provides 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.
§NautilusTrader
NautilusTrader is an open-source, production-grade, Rust-native engine for multi-asset, multi-venue trading systems.
The system spans research, deterministic simulation, and live execution within a single event-driven architecture, providing research-to-live semantic parity.
§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.extension-module: Builds the crate as a Python extension module.
Modules§
- analyzer
- python
- Python bindings from PyO3.
- statistic
- statistics
- Trading performance statistics and portfolio metrics.
Type Aliases§
- Returns
- Type alias for time-indexed returns data used in portfolio analysis.