srfm::backtest::PerformanceCalculator Member List

This is the complete list of members for srfm::backtest::PerformanceCalculator, including all inherited members.

gamma_weighted_ir(std::span< const double > strategy_returns, std::span< const double > benchmark_returns, std::span< const double > gamma_factors) noexcept	srfm::backtest::PerformanceCalculator	static
max_drawdown(std::span< const double > returns) noexcept	srfm::backtest::PerformanceCalculator	static
sharpe(std::span< const double > returns, double risk_free_rate=constants::DEFAULT_RISK_FREE_RATE, double annualisation=constants::ANNUALISATION_FACTOR) noexcept	srfm::backtest::PerformanceCalculator	static
sortino(std::span< const double > returns, double risk_free_rate=constants::DEFAULT_RISK_FREE_RATE, double annualisation=constants::ANNUALISATION_FACTOR) noexcept	srfm::backtest::PerformanceCalculator	static