finance

finance

The finance module provides financial data types, technical indicators, risk management, and backtesting primitives. It is organized into several sub-modules.

Import

use std::finance
from std::finance::types use { Candle, Trade }
from std::finance::risk use { sharpe_ratio, max_drawdown, kelly_criterion }
from std::finance::indicators::moving_averages use { sma, ema }

Core Types

Candle

Canonical OHLCV candle for market data:

Field	Type	Description
timestamp	timestamp	Bar timestamp
open	number	Opening price
high	number	Highest price
low	number	Lowest price
close	number	Closing price
volume	number	Traded volume

Trade

Trade record emitted by backtests:

Field	Type	Description
id	string	Trade identifier
symbol	string	Instrument symbol
side	string	"buy" or "sell"
entry_price	number	Entry fill price
exit_price	number	Exit fill price
quantity	number	Filled quantity
entry_time	timestamp	Entry timestamp
exit_time	timestamp	Exit timestamp
pnl	number	Profit/loss in quote currency
pnl_pct	number	Profit/loss as fraction of entry

Risk Management (std::finance::risk)

Position Sizing

• fixed_fractional_size(account_balance, risk_percent?, stop_loss_amount) — Fixed fractional position sizing (default 2% risk).
• kelly_criterion(win_probability, avg_win, avg_loss) — Kelly Criterion with quarter-Kelly safety factor.
• volatility_based_size(account_balance, target_volatility?, current_volatility) — Size inversely proportional to volatility.
• risk_parity_size(account_balance, positions, target_risk?) — Equal risk contribution from each position.
• optimal_f(trade_results) — Find the optimal f value that maximizes terminal wealth ratio.

Stop Loss

• atr_stop_loss(entry_price, atr_multiplier?, atr_period?) — ATR-based stop distance.
• percent_stop_loss(entry_price, stop_percent?) — Fixed percentage stop.
• trailing_stop(entry_price, current_price, trail_percent?, is_long?) — Trailing stop with locked profit tracking.

Risk Metrics

• sharpe_ratio(returns, risk_free_rate?) — Annualized Sharpe ratio.
• sortino_ratio(returns, risk_free_rate?, target_return?) — Annualized Sortino ratio (downside risk only).
• max_drawdown(equity_curve) — Maximum drawdown with start/end indices.
• historical_var(returns, confidence_level?) — Value at Risk (historical method).
• cvar(returns, confidence_level?) — Conditional Value at Risk.
• portfolio_risk(positions, correlation_matrix?) — Portfolio volatility with optional correlation.

Trade Validation

• validate_trade_risk(trade, account_balance, open_positions) — Check if a trade meets risk criteria (max risk per trade, portfolio risk limits, position sizing, correlation).
• calculate_position_limits(account_balance, max_position_size?, max_sector_exposure?) — Compute position and exposure limits.

Indicators

The std::finance::indicators sub-modules provide technical analysis functions:

• Moving averages: sma, ema (simple and exponential)
• Volatility: atr (Average True Range)
• Oscillators: RSI, Stochastic, and related oscillators
• Trend: Trend-following indicators
• Volume: Volume-based indicators

Traits

• Extendable — Data sources that support extending their range backward/forward.
• TimeSeriesSource — Time-series sources with a known timeframe.

See Also

• Simulation — simulation framework used by backtesting