#include <backtest.hpp>

Public Member Functions
	RegimeFilteredBacktester (BacktestConfig config=BacktestConfig{})
	Construct with optional configuration (forwarded to inner Backtester).

std::optional< RegimeBacktestResult >	run (std::span< const BarDataEx > bars) const noexcept

Static Public Attributes
static constexpr double	LIGHTLIKE_EPSILON = 1e-6
	Threshold below which ds² is considered LIGHTLIKE (\|ds²\| < epsilon).

Detailed Description

Definition at line 335 of file backtest.hpp.

Constructor & Destructor Documentation

◆ RegimeFilteredBacktester()

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

explicit

Construct with optional configuration (forwarded to inner Backtester).

Definition at line 63 of file regime_filtered_backtester.cpp.

Member Function Documentation

◆ run()

std::optional< RegimeBacktestResult > srfm::backtest::RegimeFilteredBacktester::run ( std::span< const BarDataEx > bars ) const

noexcept

Run the three-way regime-filtered backtest.

Arguments

bars — Extended bar data with ds² per bar and realised asset returns.

Returns

RegimeBacktestResult, or nullopt if insufficient data.

Strategy logic

always_in: return_t = sign(raw_signal_t) × asset_return_t timelike_only: return_t = sign(raw_signal_t) × asset_return_t if ds²_t < 0 = 0 otherwise timelike_relativistic: return_t = sign(raw_signal_t) × clamp(γ_t, 1, max_γ) × asset_return_t if ds²_t < 0 = 0 otherwise

Definition at line 69 of file regime_filtered_backtester.cpp.

Member Data Documentation

◆ LIGHTLIKE_EPSILON

constexpr double srfm::backtest::RegimeFilteredBacktester::LIGHTLIKE_EPSILON = 1e-6

staticconstexpr

Threshold below which ds² is considered LIGHTLIKE (|ds²| < epsilon).

Definition at line 338 of file backtest.hpp.

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

include/srfm/backtest.hpp
src/backtest/regime_filtered_backtester.cpp

Public Member Functions

Static Public Attributes