sigc

A Rust-based quantitative finance platform with a DSL for trading signals and backtesting.

Overview

sigc is a single binary that bundles:

• Compiler - Parse and compile the sigc DSL
• Runtime - Execute strategies with 120+ operators
• Daemon - Long-running service mode with RPC
• CLI - Interactive command-line interface

Installation

cargo install sigc

Or build from source:

git clone https://github.com/skelf-Research/sigc.git
cd sigc
cargo build --release

Quick Start

# Compile a strategy
sigc compile strategy.sig

# Run a backtest
sigc run strategy.sig

# Start daemon mode
sigc daemon

DSL Example

data:
  prices: load parquet from "data/prices.parquet"

params:
  lookback = 20

signal momentum:
  returns = ret(prices, lookback)
  emit zscore(returns)

portfolio main:
  weights = rank(momentum).long_short(top=0.2, bottom=0.2)
  backtest from 2024-01-01 to 2024-12-31

Documentation

Full documentation is available at https://docs.skelfresearch.com/sigc

License

MIT License - see LICENSE for details.