Massive changes to the way indicators are handled only using the CandleProcessor interface. This eliminates internal
tracking of the graph and signals fields in the indicator instances. All signals from indicators are now immediately
calculated and the signal is returned to the caller. This change allows for a more flexible way to handle complex indicators,
and simplifies creating new indicators.
This means that every candle will be processed during backtesting, more closely resembling a live trading environment.
The increase in processing time is negligible due to recalculating such a small window, and using polars (which
is highly optimized) to calculate the indicator data.
These changes are necessary to implement the VWAP indicator, and eventually, other complex indicators such as time-series
forecasting models.
Code Changes
Remove Candle::process_new_candles
Rename CandleProcessor::process_historical_candles() to process_candles
Change CandleProcessor::process_candles() to return Result<Self::ReturnType, Self::ErrorType>
Remove Indicator trait. CandleProcessor for indicators now returns a Signal.
Modify BacktestingRuntime::run to evaluate all candles
v0.5.0
Massive changes to the way indicators are handled only using the
CandleProcessorinterface. This eliminates internal tracking of thegraphandsignalsfields in the indicator instances. All signals from indicators are now immediately calculated and the signal is returned to the caller. This change allows for a more flexible way to handle complex indicators, and simplifies creating new indicators.This means that every candle will be processed during backtesting, more closely resembling a live trading environment. The increase in processing time is negligible due to recalculating such a small window, and using
polars(which is highly optimized) to calculate the indicator data.These changes are necessary to implement the
VWAPindicator, and eventually, other complex indicators such as time-series forecasting models.Code Changes
Candle::process_new_candlesCandleProcessor::process_historical_candles()toprocess_candlesCandleProcessor::process_candles()to returnResult<Self::ReturnType, Self::ErrorType>Indicatortrait.CandleProcessorfor indicators now returns aSignal.BacktestingRuntime::runto evaluate all candlesIssues