Optimizer

Research-focused Rust backtester and parameter optimizer for indicator-driven trading strategies on high-frequency trade data.

What it does

• Loads trade data from HDF5 (time, price, volume, buy_coeff).
• Runs an indicator -> signal -> broker simulation pipeline.
• Reports strategy metrics and aggregate return.
• Supports grid search and evolutionary optimization for parameters.

Quick start

1. Install the Rust 2021 toolchain.
2. Ensure HDF5 development libraries are available (macOS: brew install hdf5). If the build cannot find HDF5, set HDF5_DIR.
3. Update the data path in src/main.rs to point to your HDF5 files (glob patterns are supported).
4. Run:

cargo run --release

Data format

Each HDF5 file must include 1-D datasets with matching lengths:

• time (i64)
• price (f64)
• volume (f64)
• buy_coeff (f64)

The loader accepts glob patterns and concatenates all matching files.

Project layout

• src/main.rs: entry point and wiring for data, indicator, and strategy.
• src/data_loader.rs: HDF5 loading and concatenation.
• src/strategy_base.rs: core execution loop and risk controls.
• src/indicator_*.rs: indicator implementations.
• src/grid_search.rs, src/adaptive_grid_search.rs: parameter search helpers.
• src/evolutionary_optimizer.rs: evolutionary search.

Indicators present

• Trend extraction via decycling filter (src/indicator_decycler.rs).
• Order-flow imbalance signal (src/indicator_disbalance.rs).
• Bar-based breakout/edge detectors (src/indicator_edge*.rs).
• Short-horizon HFT-style signal (src/indicator_hft.rs).
• Liquidity stress/mean-reversion with clip management (src/indicator_liquidityecho.rs).
• Regime/mode detection using Bayesian change-point logic (src/indicator_mode*.rs).
• Jump/impact detection on price moves (src/indicator_price_jump.rs).
• Reinforcement-learning style exhaustion detector (src/indicator_rl.rs).
• Drift/cusum-style walk detectors (src/indicator_walk*.rs).

Disclaimer

This code is for research and experimentation only and is not financial advice.

License

MIT. See LICENSE.