Pyvorin for Quantitative Trading

Backtesting at Scale

Quantitative trading firms run millions of backtests to validate strategies. Pyvorin compiles the inner simulation loop, reducing backtest time from hours to minutes.

def backtest_strategy(prices, signals):
    pnl = 0.0
    position = 0
    for i in range(1, len(prices)):
        if signals[i] == 1 and position == 0:
            position = 1
            entry = prices[i]
        elif signals[i] == -1 and position == 1:
            pnl += prices[i] - entry
            position = 0
    return pnl

Signal Generation

Technical indicators like RSI, MACD, and Bollinger Bands benefit from loop compilation.

Execution Algorithms

Real-time order slicing and smart order routing require microsecond-level decisions. Compile the decision logic for consistent low latency.