bist-quant 0.3.3__tar.gz

bist_quant-0.3.3/.gitignore

@@ -0,0 +1,81 @@
+# Python
+__pycache__/
+*.py[cod]
+*$py.class
+*.so
+*.egg-info/
+*.egg
+dist/
+build/
+.eggs/
+
+# Virtual environments
+venv/
+env/
+.env/
+
+# IDE
+.vscode/
+.idea/
+*.swp
+*.swo
+*~
+
+# ===== DATA EXCLUSIONS =====
+
+data
+
+# ===== GENERATED OUTPUT EXCLUSIONS =====
+
+outputs
+
+# ===== ML ARTIFACTS =====
+*.pkl
+*.pt
+*.pth
+*.h5
+*.onnx
+
+# ===== MISC =====
+.DS_Store
+Thumbs.db
+*.log
+*.backup
+
+# ===== ENVIRONMENT / SECRETS =====
+.env
+.env.*
+*.env
+
+
+# ===== WEB APP BUILD =====
+.next/
+node_modules/
+.claude/
+.yfinance_cache/
+*.db
+
+# ===== TEST / RUNTIME CACHES =====
+.hypothesis/
+.pytest_cache/
+.ruff_cache/
+logs/
+
+# ===== RUNTIME ARTIFACTS =====
+temp_*.html
+.coverage
+# ===== AI AGENT TOOLING =====
+.agent/
+.agents/
+skills-lock.json
+claude.md
+AGENTS.md
+tasks/
+
+# ===== NON-LIBRARY APP / DEV SURFACES =====
+.streamlit/
+frontend/
+app/
+deploy/
+playwright-report/
+test-results/

bist_quant-0.3.3/CONTRIBUTING.md

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+# Contributing to BIST Quant
+
+Thank you for your interest in contributing to BIST Quant. This document outlines the recommended workflow.
+
+## Development Setup
+
+1. Fork the repository.
+2. Clone your fork:
+
+```bash
+git clone https://github.com/YOUR_USERNAME/BIST.git
+cd BIST
+```
+
+3. Create and activate a virtual environment:
+
+```bash
+python -m venv .venv
+source .venv/bin/activate  # On Windows: .venv\Scripts\activate
+```
+
+4. Install development dependencies:
+
+```bash
+pip install -e ".[dev]"
+```
+
+5. Install pre-commit hooks:
+
+```bash
+pre-commit install
+```
+
+## Development Workflow
+
+1. Create a feature branch:
+
+```bash
+git checkout -b feature/your-feature-name
+```
+
+2. Make code changes and add tests.
+3. Run tests:
+
+```bash
+pytest tests/ -v
+```
+
+4. Run linting and type checks:
+
+```bash
+ruff check bist_quant
+black --check bist_quant
+mypy bist_quant --ignore-missing-imports
+```
+
+5. Commit your changes:
+
+```bash
+git commit -m "feat: add your feature description"
+```
+
+6. Push your branch:
+
+```bash
+git push origin feature/your-feature-name
+```
+
+7. Open a Pull Request.
+
+## Code Style
+
+- Formatting: Black
+- Linting: Ruff
+- Type hints: required for public APIs
+- Docstrings: Google style for public functions/classes
+
+## Testing
+
+- Add tests for all new behavior.
+- Keep project coverage at or above 50 percent.
+- Reuse fixtures from `tests/conftest.py` where possible.
+
+## Pull Request Guidelines
+
+- Use a Conventional Commits style title.
+- Include a clear summary and testing notes.
+- Link related issues.
+- Ensure CI checks pass before merge.
+
+## Questions
+
+- Open an issue for questions or proposals.
+- Check existing docs and previous discussions first.

bist_quant-0.3.3/LICENSE

@@ -0,0 +1,162 @@
+Apache License
+Version 2.0, January 2004
+http://www.apache.org/licenses/
+
+TERMS AND CONDITIONS FOR USE, REPRODUCTION, AND DISTRIBUTION
+
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+additional or different license terms and conditions for use, reproduction, or
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+
+5. Submission of Contributions. Unless You explicitly state otherwise, any
+Contribution intentionally submitted for inclusion in the Work by You to the
+Licensor shall be under the terms and conditions of this License, without any
+additional terms or conditions. Notwithstanding the above, nothing herein shall
+supersede or modify the terms of any separate license agreement you may have
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+6. Trademarks. This License does not grant permission to use the trade names,
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+7. Disclaimer of Warranty. Unless required by applicable law or agreed to in
+writing, Licensor provides the Work (and each Contributor provides its
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+appropriateness of using or redistributing the Work and assume any risks
+associated with Your exercise of permissions under this License.
+
+8. Limitation of Liability. In no event and under no legal theory, whether in
+tort (including negligence), contract, or otherwise, unless required by
+applicable law (such as deliberate and grossly negligent acts) or agreed to in
+writing, shall any Contributor be liable to You for damages, including any
+direct, indirect, special, incidental, or consequential damages of any character
+arising as a result of this License or out of the use or inability to use the
+Work (including but not limited to damages for loss of goodwill, work stoppage,
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+
+9. Accepting Warranty or Additional Liability. While redistributing the Work or
+Derivative Works thereof, You may choose to offer, and charge a fee for,
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+incurred by, or claims asserted against, such Contributor by reason of your
+accepting any such warranty or additional liability.
+
+END OF TERMS AND CONDITIONS
+
+Copyright 2024 BIST Quant Team

bist_quant-0.3.3/PKG-INFO

@@ -0,0 +1,124 @@
+Metadata-Version: 2.4
+Name: bist-quant
+Version: 0.3.3
+Summary: Quantitative trading library for BIST
+Project-URL: Homepage, https://github.com/Safa675/BIST
+Project-URL: Documentation, https://safa675.github.io/BIST
+Project-URL: Repository, https://github.com/Safa675/BIST
+Project-URL: Issues, https://github.com/Safa675/BIST/issues
+Project-URL: Changelog, https://github.com/Safa675/BIST/blob/main/CHANGELOG.md
+Author-email: Safa Öksüz <safa.okksuz@gmail.com>
+License: Apache-2.0
+License-File: LICENSE
+Keywords: BIST,backtesting,factor investing,portfolio optimization,quantitative finance,trading strategies
+Classifier: Development Status :: 4 - Beta
+Classifier: Intended Audience :: Developers
+Classifier: Intended Audience :: Financial and Insurance Industry
+Classifier: Intended Audience :: Science/Research
+Classifier: License :: OSI Approved :: Apache Software License
+Classifier: Operating System :: OS Independent
+Classifier: Programming Language :: Python :: 3
+Classifier: Programming Language :: Python :: 3.10
+Classifier: Programming Language :: Python :: 3.11
+Classifier: Programming Language :: Python :: 3.12
+Classifier: Topic :: Office/Business :: Financial :: Investment
+Classifier: Topic :: Scientific/Engineering :: Information Analysis
+Requires-Python: >=3.10
+Requires-Dist: borsapy>=0.8.3
+Requires-Dist: httpx>=0.27.0
+Requires-Dist: numpy>=1.24.0
+Requires-Dist: pandas>=2.0.0
+Requires-Dist: pyarrow>=12.0.0
+Requires-Dist: python-dateutil>=2.8.0
+Requires-Dist: pyyaml>=6.0
+Requires-Dist: scipy>=1.10.0
+Requires-Dist: tqdm>=4.65.0
+Requires-Dist: yfinance>=0.2.0
+Provides-Extra: dev
+Requires-Dist: black==26.3.0; extra == 'dev'
+Requires-Dist: build>=1.0.0; extra == 'dev'
+Requires-Dist: mypy>=1.4.0; extra == 'dev'
+Requires-Dist: pytest-asyncio>=0.21.0; extra == 'dev'
+Requires-Dist: pytest-cov>=4.0.0; extra == 'dev'
+Requires-Dist: pytest>=7.0.0; extra == 'dev'
+Requires-Dist: ruff>=0.0.280; extra == 'dev'
+Requires-Dist: tomli>=2.0.0; (python_version < '3.11') and extra == 'dev'
+Description-Content-Type: text/markdown
+
+# bist_quant
+
+**Quantitative research and backtesting library for Borsa Istanbul (BIST).** Version 0.3.3.
+
+`bist_quant` is a Python library for factor research, signal construction, backtesting, portfolio analytics, and BIST-focused data workflows. It is designed to be usable from notebooks, scripts, dashboards, and external applications without requiring a repo checkout.
+
+## Install
+
+```bash
+pip install bist-quant
+```
+
+## Quick Start
+
+```python
+from bist_quant import DataLoader, DataPaths, PortfolioEngine
+
+paths = DataPaths()
+loader = DataLoader(data_paths=paths)
+engine = PortfolioEngine(
+    data_loader=loader,
+    options={"use_regime_filter": False},
+)
+
+result = engine.run_factor("momentum")
+print(f"Sharpe: {result['sharpe']:.2f}")
+print(f"CAGR:   {result['cagr']:.1%}")
+```
+
+By default the library uses user-scoped directories:
+
+- data: `~/.local/share/bist-quant/data`
+- regime outputs: `~/.local/share/bist-quant/regime/simple_regime`
+- cache: `~/.cache/bist-quant`
+
+Override them with `BIST_DATA_DIR`, `BIST_REGIME_DIR`, and `BIST_CACHE_DIR` when needed.
+If you are working from local parquet/CSV files, set `BIST_DATA_SOURCE=local`.
+
+## What Ships in the Library
+
+- `portfolio.py` - `PortfolioEngine` and backtest entry points
+- `signals/` - factor and signal builders
+- `analytics/` - performance analytics and metrics
+- `clients/` - built-in data-provider integrations
+- `common/` - data loading, backtester, risk, and shared helpers
+- `configs/` - strategy registry and configuration loaders
+- `regime/` - regime classification helpers
+- `realtime/` - quote and market snapshot helpers
+
+## Data Setup
+
+The package does not ship datasets. Point it at an existing dataset directory or seed data into the default user-scoped location.
+
+```bash
+export BIST_DATA_DIR="$HOME/.local/share/bist-quant/data"
+python -m bist_quant.fetchers.fetch_gold_prices
+python -m bist_quant.fetchers.fetch_indices
+python -m bist_quant.clients.update_prices
+```
+
+## Documentation
+
+- [Installation](docs/getting-started/installation.md)
+- [Quick Start](docs/getting-started/quickstart.md)
+- [Configuration](docs/getting-started/configuration.md)
+- [Signals Guide](docs/user-guide/signals.md)
+- [Backtesting Guide](docs/user-guide/backtesting.md)
+- [Portfolio & Risk](docs/user-guide/portfolio.md)
+- [Multi-Asset Guide](docs/user-guide/multi-asset.md)
+
+## Development
+
+Contributor setup lives in `CONTRIBUTING.md`. App-stack deployment notes remain in `deploy/README.md`, but they are out of scope for the published library package.
+
+## License
+
+Apache License 2.0 - see `LICENSE`.

bist_quant-0.3.3/README.md

@@ -0,0 +1,77 @@
+# bist_quant
+
+**Quantitative research and backtesting library for Borsa Istanbul (BIST).** Version 0.3.3.
+
+`bist_quant` is a Python library for factor research, signal construction, backtesting, portfolio analytics, and BIST-focused data workflows. It is designed to be usable from notebooks, scripts, dashboards, and external applications without requiring a repo checkout.
+
+## Install
+
+```bash
+pip install bist-quant
+```
+
+## Quick Start
+
+```python
+from bist_quant import DataLoader, DataPaths, PortfolioEngine
+
+paths = DataPaths()
+loader = DataLoader(data_paths=paths)
+engine = PortfolioEngine(
+    data_loader=loader,
+    options={"use_regime_filter": False},
+)
+
+result = engine.run_factor("momentum")
+print(f"Sharpe: {result['sharpe']:.2f}")
+print(f"CAGR:   {result['cagr']:.1%}")
+```
+
+By default the library uses user-scoped directories:
+
+- data: `~/.local/share/bist-quant/data`
+- regime outputs: `~/.local/share/bist-quant/regime/simple_regime`
+- cache: `~/.cache/bist-quant`
+
+Override them with `BIST_DATA_DIR`, `BIST_REGIME_DIR`, and `BIST_CACHE_DIR` when needed.
+If you are working from local parquet/CSV files, set `BIST_DATA_SOURCE=local`.
+
+## What Ships in the Library
+
+- `portfolio.py` - `PortfolioEngine` and backtest entry points
+- `signals/` - factor and signal builders
+- `analytics/` - performance analytics and metrics
+- `clients/` - built-in data-provider integrations
+- `common/` - data loading, backtester, risk, and shared helpers
+- `configs/` - strategy registry and configuration loaders
+- `regime/` - regime classification helpers
+- `realtime/` - quote and market snapshot helpers
+
+## Data Setup
+
+The package does not ship datasets. Point it at an existing dataset directory or seed data into the default user-scoped location.
+
+```bash
+export BIST_DATA_DIR="$HOME/.local/share/bist-quant/data"
+python -m bist_quant.fetchers.fetch_gold_prices
+python -m bist_quant.fetchers.fetch_indices
+python -m bist_quant.clients.update_prices
+```
+
+## Documentation
+
+- [Installation](docs/getting-started/installation.md)
+- [Quick Start](docs/getting-started/quickstart.md)
+- [Configuration](docs/getting-started/configuration.md)
+- [Signals Guide](docs/user-guide/signals.md)
+- [Backtesting Guide](docs/user-guide/backtesting.md)
+- [Portfolio & Risk](docs/user-guide/portfolio.md)
+- [Multi-Asset Guide](docs/user-guide/multi-asset.md)
+
+## Development
+
+Contributor setup lives in `CONTRIBUTING.md`. App-stack deployment notes remain in `deploy/README.md`, but they are out of scope for the published library package.
+
+## License
+
+Apache License 2.0 - see `LICENSE`.

bist_quant-0.3.3/docs/contributing.md

@@ -0,0 +1,60 @@
+# Contributing
+
+See the full guidelines in [CONTRIBUTING.md](https://github.com/Safa675/bist-quant/blob/main/CONTRIBUTING.md).
+
+## Quick Reference
+
+### Code Conventions
+
+- `from __future__ import annotations` at the top of every file
+- `frozen=True` for all config and path dataclasses
+- No bare `except:` — always catch a specific exception type
+- Atomic writes: write to `.tmp` then `os.replace()` (never partial writes)
+- All secret comparisons use `hmac.compare_digest` (never `==`)
+- 252-day annualization everywhere (not 250 or 365)
+
+### Data Rules
+
+- **borsapy is the only data source inside the library core.** yfinance is only allowed in `fetchers/` scripts.
+- Never use `yfinance` in `clients/`, `signals/`, `engines/`, or `services/`.
+- Period columns use `"YYYY/MM"` string format (not `pd.Period`).
+- DatetimeIndex must be timezone-naive and floored to midnight before any join.
+- `UFRS_TICKERS` in `clients/borsapy_client.py` governs which tickers use the alternate isyatirim endpoint.
+
+### Signal Rules
+
+- Every signal must call `validate_signal_panel_schema()` before returning.
+- Output shape: `(dates × tickers)`, dtype `float64`, higher = more attractive.
+- `NaN` means exclude — never substitute 0.0 for a missing signal.
+- `signal_lag_days=1` is mandatory (anti-lookahead). Never skip.
+- Turkish fundamental reporting lags: **Q4 = 70 days**, **Q1-Q3 = 40 days**.
+
+### Analytics Rules
+
+- `core_metrics.py` must remain dependency-free (no numpy, no pandas).
+- The `list[SeriesPoint]` interface is the boundary — do not accept DataFrames.
+- PRNG in analytics uses `_Xorshift32` — do not switch to `random.random()` or numpy.
+
+### Regime Classifier
+
+- MA window = **50** (tuned for BIST). Do not change to 200.
+- Regime labels: `Bull`, `Bear`, `Recovery`, `Stress`. Do not add new labels without updating all downstream consumers.
+
+### Testing
+
+```bash
+pytest tests/
+pytest tests/unit/
+pytest tests/integration/
+```
+
+### Pre-Commit Checklist
+
+1. `from __future__ import annotations` present
+2. BIST data source is borsapy (not yfinance) in library core
+3. `validate_signal_panel_schema()` called before signal return
+4. `signal_lag_days=1` applied
+5. Atomic writes used for any file output
+6. No hardcoded paths (`DataPaths` for all paths)
+7. `frozen=True` on new dataclasses
+8. Tests pass

bist_quant-0.3.3/docs/examples/basic-backtest.md

@@ -0,0 +1,68 @@
+# Basic Backtest Example
+
+This example runs a momentum factor backtest with the current API.
+
+## Setup
+
+```python
+from bist_quant import PortfolioEngine, DataLoader, DataPaths
+
+paths  = DataPaths()
+loader = DataLoader(data_paths=paths)
+engine = PortfolioEngine(data_loader=loader, options={"use_regime_filter": False})
+```
+
+## Run a Factor
+
+```python
+result = engine.run_factor("momentum")
+
+print(f"CAGR:         {result['cagr']:.1%}")
+print(f"Sharpe:       {result['sharpe']:.2f}")
+print(f"Sortino:      {result['sortino']:.2f}")
+print(f"Max Drawdown: {result['max_drawdown']:.1%}")
+print(f"Calmar:       {result['calmar']:.2f}")
+```
+
+## Inspect Holdings
+
+```python
+# Daily returns
+print(result["returns"].describe())
+
+# Holdings snapshot
+print(result["holdings_history"].tail(20))
+
+# Regime periods
+print(result["regime_performance"].keys())
+```
+
+## Compare Multiple Strategies
+
+```python
+strategies = ["momentum", "value", "quality", "composite"]
+results = {name: engine.run_factor(name) for name in strategies}
+
+for name, res in results.items():
+    print(f"{name:15s}  Sharpe={res['sharpe']:.2f}  CAGR={res['cagr']:.1%}")
+```
+
+## Custom Options
+
+```python
+from bist_quant import get_default_options
+
+options = get_default_options()
+options.update({
+    "top_n": 10,
+    "use_regime_filter": False,
+    "use_vol_targeting": True,
+    "target_downside_vol": 0.15,
+    "use_slippage": True,
+    "slippage_bps": 5.0,
+    "rebalance_frequency": "quarterly",
+})
+
+result = engine.run_factor("momentum", override_config={"portfolio_options": options})
+print({k: result[k] for k in ("cagr", "sharpe", "max_drawdown")})
+```