Athena

A Swift-native backtesting engine and quant library. Incremental event-driven core, planned vectorized MLX fast path, broker and data adapters, and financial primitives that get the boring-but-critical things right — ACB, slippage, commission, look-ahead prevention.

Athena is an open-source Swift quant library. It works standalone.

Status

v0.2 — correctness release. Adds stop / stop-limit order fills and corporate-action handling (splits + cash dividends) on top of the v0.1 foundation: event-driven engine, core types, six indicators (SMA, EMA, RSI, MACD, Bollinger Bands, ATR), simulated broker with realistic commission/slippage models (Free, Fixed, PerShare, Questrade), and a CSV data source. CI enforces ≥ 90% line coverage on every push.

Planned for v0.3+:

• MLX-backed vectorized engine for parameter sweeps
• IBKR Web API and Alpaca broker adapters
• Spin-offs, stock dividends, DRIP reinvestment
• Multi-currency portfolio with FX provider
• Tax regimes (Canadian ACB, US wash-sale)

Quick start

git clone https://github.com/rives-cloud/Athena
cd Athena
swift build
swift test

# Fetch SPY daily history (any source that produces Date,Open,High,Low,Close,Volume)
# and drop it at ./data/SPY.csv. The Python one-liner below uses yfinance:
#   pip install yfinance
#   python -c "import yfinance as yf; df=yf.download('SPY',start='2015-01-01',auto_adjust=False,progress=False); df.columns=df.columns.get_level_values(0); df.reset_index().assign(Date=lambda d: d['Date'].dt.strftime('%Y-%m-%d')).to_csv('data/SPY.csv',index=False)"

# Then run any of the worked examples:
swift run MACrossoverExample
swift run BuyAndHoldExample
swift run RSIMeanReversionExample
swift run BollingerBreakoutExample
swift run MACDSignalExample
swift run ProtectiveStopExample

Each example prints initial/final equity, total return, max drawdown, annualized Sharpe, and fill count, so you can compare strategies side-by-side against the buy-and-hold baseline.

Development

make test       # swift test
make coverage   # runs scripts/coverage.sh — fails if line coverage < 90%
make build      # swift build -c release

Design principles

1. The same Strategy runs in backtest, paper, and live. Only the Clock, DataSource, and Broker differ.
2. Decimal for money. Always. FP drift on cash is not a tradeoff.
3. Realistic fills by default. Commission and slippage are non-zero out of the box. Backtests that ignore these are stories, not evidence.
4. Actors for concurrency safety. Portfolio and SimulatedBroker are actors; strategies are Sendable structs.
5. Protocol-oriented. CommissionModel, SlippageModel, Broker, DataSource, Clock, Strategy, Indicator — each a protocol with reference implementations. Swap what you need.

Module structure

AthenaCore         Types, Portfolio, Clock, Strategy + Broker/Indicator protocols
AthenaIndicators   SMA, EMA, RSI, MACD, Bollinger Bands, ATR + IndicatorCache
AthenaBrokers      Commission/slippage models, SimulatedBroker
AthenaData         DataSource protocol, CSV reader
AthenaBacktest     Event-driven engine, results, metrics

Each module is a separate library product so downstream code imports only what it needs.

License

Apache 2.0. Use it, fork it, contribute back if you extend it.