quantex 0.3.1__tar.gz → 0.3.2__tar.gz

{quantex-0.3.1 → quantex-0.3.2}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: quantex
-Version: 0.3.1
+Version: 0.3.2
 Summary: A simple quant strategy creation and backtesting package.
 License: MIT
 Author: Daniel Green
@@ -34,7 +34,7 @@ The project is intentionally small. It does not try to be a full research platfo
 
 ## Installation
 
-Quantex requires Python 3.10 or newer and is published as [`quantex`](pyproject.toml).
+Quantex requires Python 3.11 or newer and is published as [`quantex`](pyproject.toml).
 
 ```bash
 pip install quantex

{quantex-0.3.1 → quantex-0.3.2}/README.md

@@ -14,7 +14,7 @@ The project is intentionally small. It does not try to be a full research platfo
 
 ## Installation
 
-Quantex requires Python 3.10 or newer and is published as [`quantex`](pyproject.toml).
+Quantex requires Python 3.11 or newer and is published as [`quantex`](pyproject.toml).
 
 ```bash
 pip install quantex

{quantex-0.3.1 → quantex-0.3.2}/pyproject.toml

@@ -1,6 +1,6 @@
 [project]
 name = "quantex"
-version = "0.3.1"
+version = "0.3.2"
 description = "A simple quant strategy creation and backtesting package."
 authors = [
     {name = "Daniel Green",email = "dangreen07@outlook.com"}

{quantex-0.3.1 → quantex-0.3.2}/src/quantex/backtester.py

@@ -224,10 +224,11 @@ def _risk_tolerance_passes(report: "BacktestReport", risk_tolerance: dict[str, f
     if not risk_tolerance:
         return True
 
+    metrics = _compute_backtest_metrics(report)
     for metric, max_value in risk_tolerance.items():
         if max_value is None:
             continue
-        current_value = _extract_metric_value(report, metric)
+        current_value = metrics.get(metric, _extract_metric_value(report, metric))
         if current_value is None:
             raise AttributeError(f"BacktestReport does not expose metric '{metric}'")
         if not np.isfinite(float(current_value)):

{quantex-0.3.1 → quantex-0.3.2}/src/quantex/indicators.py

@@ -319,6 +319,22 @@ def mfi(high: ArrayLike, low: ArrayLike, close: ArrayLike, volume: ArrayLike, pe
     return result
 
 
+def vwap(high: ArrayLike, low: ArrayLike, close: ArrayLike, volume: ArrayLike) -> np.ndarray:
+    high_array = _as_float_array(high)
+    low_array = _as_float_array(low)
+    close_array = _as_float_array(close)
+    volume_array = _as_float_array(volume)
+    _validate_same_length(high_array, low_array, close_array, volume_array)
+    typical_price = (high_array + low_array + close_array) / 3.0
+    price_volume = typical_price * volume_array
+    cumulative_price_volume = np.cumsum(price_volume)
+    cumulative_volume = np.cumsum(volume_array)
+    with np.errstate(divide="ignore", invalid="ignore"):
+        result = cumulative_price_volume / cumulative_volume
+    result = np.where(cumulative_volume == 0.0, np.nan, result)
+    return result
+
+
 def adx(high: ArrayLike, low: ArrayLike, close: ArrayLike, period: int = 14) -> tuple[np.ndarray, np.ndarray, np.ndarray]:
     high_array = _as_float_array(high)
     low_array = _as_float_array(low)
@@ -589,6 +605,7 @@ class IndicatorCatalog:
         self.williams_r = williams_r
         self.obv = obv
         self.mfi = mfi
+        self.vwap = vwap
         self.adx = adx
         self.ichimoku_cloud = ichimoku_cloud
         self.keltner_channels = keltner_channels