srfm::backtest::Backtester Class Reference

#include <backtest.hpp>

Public Member Functions
	Backtester (BacktestConfig config=BacktestConfig{})
	Construct with configuration.
std::optional< BacktestComparison >	run (std::span< const BarData > bars, std::span< const double > asset_returns) const noexcept
std::optional< LorentzCorrectedSeries >	apply_corrections (std::span< const BarData > bars) const noexcept

Detailed Description

Runs raw and relativistic strategies side by side and reports metrics.

Usage pattern:

BacktestConfig cfg;
cfg.risk_free_rate = 0.02 / 252.0;   // daily r_f
cfg.annualisation  = 252.0;
 
Backtester bt(cfg);
auto cmp = bt.run(bars, returns);
if (cmp) fmt::print("{}\n", cmp->to_string());

Definition at line 249 of file backtest.hpp.

Constructor & Destructor Documentation

Backtester()

srfm::backtest::Backtester::Backtester ( BacktestConfig  config = BacktestConfig{} )

explicit

Construct with configuration.

Definition at line 21 of file backtester.cpp.

Member Function Documentation

apply_corrections()

std::optional< LorentzCorrectedSeries > srfm::backtest::Backtester::apply_corrections ( std::span< const BarData >  bars ) const

noexcept

Compute only the Lorentz-corrected signal series (no strategy eval). Useful for inspection / visualisation.

Definition at line 26 of file backtester.cpp.

run()

std::optional< BacktestComparison > srfm::backtest::Backtester::run ( std::span< const BarData >  bars, std::span< const double >  asset_returns  ) const

noexcept

Run a full side-by-side backtest.

Arguments

• bars — One entry per time step: raw signal, β, benchmark return.
• returns — Realised asset returns aligned to bars (same length). Signalling rule: strategy return = sign(signal) × asset ret.

Returns

BacktestComparison containing both metric sets, or nullopt if:

• Input lengths mismatch
• Fewer than MIN_RETURN_SERIES_LENGTH bars provided
• Any metric calculation is numerically degenerate

Definition at line 58 of file backtester.cpp.

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The documentation for this class was generated from the following files:

• include/srfm/backtest.hpp
• src/backtest/backtester.cpp