Skip to content
OpenQuant OpenQuant Documentation

Rust Core Workflow

Workflow Objective

Section titled “Workflow Objective”

Produce leakage-aware model evaluation and portfolio diagnostics using the Rust library API surface.

Stage 1: Data structures and event filters

Section titled “Stage 1: Data structures and event filters”

Modules:

  • data_structures
  • filters

Deliverable:

  • event-based bars and filtered timestamps ready for labeling.

Stage 2: Label engineering and sizing

Section titled “Stage 2: Label engineering and sizing”

Modules:

  • labeling
  • bet_sizing

Deliverable:

  • event labels and executable sizing signals with explicit barriers and constraints.

Stage 3: Leakage-safe validation and backtesting

Section titled “Stage 3: Leakage-safe validation and backtesting”

Modules:

  • cross_validation
  • backtesting_engine

Deliverable:

  • Purged/embargoed validation plus CPCV-aware distributional diagnostics.

Stage 4: Risk and portfolio diagnostics

Section titled “Stage 4: Risk and portfolio diagnostics”

Modules:

  • backtest_statistics
  • risk_metrics
  • strategy_risk
  • portfolio_optimization, hrp, hcaa, onc, cla

Deliverable:

  • risk-adjusted strategy diagnostics and portfolio allocation outputs.

Quality Criteria

Section titled “Quality Criteria”
  • Purging/embargo parameters explicitly documented.
  • Multiple-testing context included when reporting Sharpe-family metrics.
  • Portfolio-risk and strategy-failure-risk interpretations separated.
Section titled “Module Deep Links”