regime_filtered_backtester.cpp File Reference

Implementation of RegimeFilteredBacktester. More...

#include "srfm/backtest.hpp"
#include "srfm/constants.hpp"
#include "srfm/lorentz/lorentz_transform.hpp"
#include <cmath>
#include <numeric>
#include <sstream>
#include <span>
#include <vector>

Go to the source code of this file.

Namespaces
namespace	srfm
namespace	srfm::backtest

Detailed Description

Implementation of RegimeFilteredBacktester.

Runs three strategies side by side:

1. Always-in (unfiltered)
2. TIMELIKE-only (flat during SPACELIKE/LIGHTLIKE bars)
3. Relativistic TIMELIKE-only (gamma-scaled position, TIMELIKE only)

Key research finding reproduced here: TIMELIKE bars exhibit 1.27x lower next-bar return variance than SPACELIKE.

Definition in file regime_filtered_backtester.cpp.