srfm::backtest::ExtendedBacktester Class Reference

#include <geodesic_strategy.hpp>

Classes
struct	TripleComparison
	Three-way performance comparison across all strategy modes. More...

Public Member Functions
	ExtendedBacktester (BacktestConfig config=BacktestConfig{}, std::size_t rolling_window=100) noexcept
std::optional< TripleComparison >	run_triple (const std::vector< GeodesicBarData > &bars, const std::vector< double > &asset_returns, const std::string &ticker="") const noexcept
std::optional< std::vector< double > >	geodesic_returns (const std::vector< GeodesicBarData > &bars, const std::vector< double > &asset_returns) const noexcept

Detailed Description

Runs all three strategy modes side by side and reports metrics.

Usage

ExtendedBacktester ext;
auto result = ext.run_triple(bars, asset_returns, "AAPL");
if (result) {
    fmt::print("RAW Sharpe:        {:.3f}\n", result->raw.sharpe_ratio);
    fmt::print("Relativistic Sharpe: {:.3f}\n", result->relativistic.sharpe_ratio);
    fmt::print("Geodesic Sharpe:   {:.3f}\n", result->geodesic.sharpe_ratio);
}

Definition at line 64 of file geodesic_strategy.hpp.

Constructor & Destructor Documentation

ExtendedBacktester()

srfm::backtest::ExtendedBacktester::ExtendedBacktester ( BacktestConfig  config = BacktestConfig{}, std::size_t  rolling_window = 100  )

explicitnoexcept

Construct with backtesting configuration and rolling window size.

Arguments

• config — Risk-free rate, annualisation, effective mass, etc.
• rolling_window — Window for rolling p75 deviation (in bars).

Definition at line 74 of file geodesic_strategy.cpp.

Member Function Documentation

geodesic_returns()

std::optional< std::vector< double > > srfm::backtest::ExtendedBacktester::geodesic_returns ( const std::vector< GeodesicBarData > &  bars, const std::vector< double > &  asset_returns  ) const

noexcept

Compute only the geodesic strategy return series (for inspection).

Returns

Return series, or nullopt on invalid input.

Definition at line 137 of file geodesic_strategy.cpp.

run_triple()

std::optional< ExtendedBacktester::TripleComparison > srfm::backtest::ExtendedBacktester::run_triple ( const std::vector< GeodesicBarData > &  bars, const std::vector< double > &  asset_returns, const std::string &  ticker = ""  ) const

noexcept

Run all three strategies and return a three-way comparison.

Arguments

• bars — One GeodesicBarData per time step.
• asset_returns — Realised asset returns aligned to bars (same length).
• ticker — Ticker label for the output (informational only).

Returns

TripleComparison, or nullopt if:

• bars and asset_returns have different sizes
• Fewer than MIN_RETURN_SERIES_LENGTH bars
• Any metric computation is numerically degenerate

Definition at line 159 of file geodesic_strategy.cpp.

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

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