geodesic_strategy.cpp File Reference

Implementation of ExtendedBacktester with GEODESIC_DEVIATION strategy. More...

#include "srfm/geodesic_strategy.hpp"
#include "srfm/constants.hpp"
#include <algorithm>
#include <cmath>
#include <numeric>
#include <sstream>
#include <string>
#include <vector>

Go to the source code of this file.

Namespaces
namespace	srfm
namespace	srfm::backtest

Detailed Description

Implementation of ExtendedBacktester with GEODESIC_DEVIATION strategy.

Extends the Backtester to support three strategy modes: RAW — classical baseline (unit position) RELATIVISTIC — Lorentz-corrected γ-scaled position (original Backtester) GEODESIC_DEVIATION — long when deviation > rolling p75 (mean-reversion)

The geodesic deviation strategy encodes the hypothesis: "When the market has been pulled far from its natural geodesic path, expect mean reversion back toward the geodesic." Concretely: position = 1 when deviation_i > p75 of the last W bars; otherwise position = 0 (flat, no short).

Definition in file geodesic_strategy.cpp.