nautilus-analysis

Portfolio analysis and performance metrics for NautilusTrader.

The nautilus-analysis crate provides portfolio analysis tools and performance statistics for evaluating trading strategies and portfolios. This includes return-based metrics, PnL-based statistics, and risk measurements commonly used in quantitative finance:

Portfolio analyzer for tracking account states and positions.
Extensive collection of performance statistics and risk metrics.
Flexible statistic calculation framework supporting different data sources.
Support for multi-currency portfolios and unrealized PnL calculations.

NautilusTrader

NautilusTrader is an open-source, production-grade, Rust-native engine for multi-asset, multi-venue trading systems.

The system spans research, deterministic simulation, and live execution within a single event-driven architecture, providing research-to-live semantic parity.

Feature flags

This crate provides feature flags to control source code inclusion during compilation:

python: Enables Python bindings from PyO3.
extension-module: Builds as a Python extension module.

Documentation

See the docs for more detailed usage.

License

The source code for NautilusTrader is available on GitHub under the GNU Lesser General Public License v3.0.

NautilusTrader™ is developed and maintained by Nautech Systems, a technology company specializing in the development of high-performance trading systems. For more information, visit https://nautilustrader.io.

Use of this software is subject to the Disclaimer.