mktlib

Polars-native financial market toolkit.

GitHub | PyPI | Changelog

Getting Started

• Installation
  • Requirements
  • Install from PyPI
  • Optional extras
  • Install from source
  • Verify installation
• Quick Start
  • Vectorized Backtesting
  • Financial Metrics
  • Exchange Scheduling
  • Treasury Rates
  • Performance Reports
  • Synthetic Data Generators
• Advanced Usage: Grid Search Optimization
  • Generate Synthetic Data
  • Define a Parameterized Strategy
  • Grid Search over SMA Periods
  • Add Take-Profit / Stop-Loss Optimization
  • Analyze Results
  • Multi-Symbol Grid Search
  • See Also
• See Also
  • Polars Plugins (mktlib dependencies)
  • Technical Analysis
  • Data Validation

API Reference

• Backtest
  • Overview
  • Engine
  • Types
  • Conditions
  • Column Expressions
  • Performance
• Metrics
  • Overview
  • Metric Enum
  • Dispatcher
  • Return Metrics
  • Risk-Adjusted Ratios
  • Tail Risk
  • Forward-Looking Estimators
  • Win/Loss
  • Drawdown
• Scheduling
  • get_calendar()
  • ExchangeCalendar
  • ExchangeCalendarWithBreaks
  • Holiday Rules
• Rates
  • MeanMethod
  • TreasuryRate
  • get_mean_treasury_rate()
  • get_risk_free_rate()
  • get_treasury_rates()
  • get_treasury_spread()
• Reports
  • html()
  • metrics()
  • Result and Configuration
  • Forward-Looking Risk (Monte Carlo)
• Data
  • Stochastic Differential Equations
  • OHLCV Aggregation
  • Monte Carlo

Indices and tables

• Index

• Module Index