Causal Cone Filter — light-cone analogue for financial time series. More...

#include "srfm/manifold.hpp"
#include "srfm/backtest.hpp"
#include "srfm/engine.hpp"
#include <optional>
#include <span>
#include <string>
#include <vector>

Classes
struct	srfm::causal::CausalHistory

struct	srfm::causal::CausalSignal

class	srfm::causal::CausalConeFilter

struct	srfm::causal::CausalConeFilter::Config
	Configuration for the causal cone filter. More...

struct	srfm::causal::CausalBacktestResult
	Comparison of CausalSignal-based strategy vs all-bars baseline strategy. More...

class	srfm::causal::CausalBacktest

Namespaces
namespace	srfm

namespace	srfm::causal

Detailed Description

Causal Cone Filter — light-cone analogue for financial time series.

Module: Causal Cone Filter

Conceptual Basis

In special relativity, an event B is causally influenced by event A only if A lies within the past light cone of B — i.e. the spacetime interval ds²(A→B) < 0 (TIMELIKE). Events outside the light cone (SPACELIKE) cannot causally affect B.

This module applies the same logic to financial OHLCV bars:

A historical bar A is a causal predecessor of the current bar B iff ds²(A, B) < 0 (TIMELIKE or near-LIGHTLIKE) in the embedded financial spacetime.
Only causal predecessors contribute to feature computation.
SPACELIKE bars are excluded as "causally disconnected" noise sources.

Hypothesis

Signals computed exclusively from causally-connected bars should exhibit higher predictive accuracy because they exclude market noise that arrived at speeds inconsistent with the bar's causal past.

Core Types

CausalHistory — the causal predecessors of one bar
CausalConeFilter — scans a bar sequence and builds causal histories
CausalSignal — a feature vector built only from causal predecessors
CausalBacktest — compares CausalSignal vs all-bars signal on a dataset

Guarantees

All methods are noexcept where no allocation can fail
No raw pointers; ownership by value or const&
Returns std::optional for all fallible operations
Thread-safe reads: const methods can be called concurrently

Definition in file causal_cone.hpp.