srfm::backtest::BacktestConfig Struct Reference

Configuration for a backtest run. More...

#include <backtest.hpp>

Public Attributes
double	risk_free_rate = constants::DEFAULT_RISK_FREE_RATE
double	annualisation = constants::ANNUALISATION_FACTOR
double	effective_mass = 1.0
	m_eff in p_rel = γ m_eff signal
double	max_gamma = 3.0
	Cap on γ position multiplier (≥ 1.0)
bool	verbose = false

Detailed Description

Configuration for a backtest run.

Definition at line 113 of file backtest.hpp.

Member Data Documentation

annualisation

double srfm::backtest::BacktestConfig::annualisation = constants::ANNUALISATION_FACTOR

Definition at line 115 of file backtest.hpp.

effective_mass

double srfm::backtest::BacktestConfig::effective_mass = 1.0

m_eff in p_rel = γ m_eff signal

Definition at line 116 of file backtest.hpp.

max_gamma

double srfm::backtest::BacktestConfig::max_gamma = 3.0

Cap on γ position multiplier (≥ 1.0)

Definition at line 117 of file backtest.hpp.

risk_free_rate

double srfm::backtest::BacktestConfig::risk_free_rate = constants::DEFAULT_RISK_FREE_RATE

Definition at line 114 of file backtest.hpp.

verbose

bool srfm::backtest::BacktestConfig::verbose = false

Definition at line 118 of file backtest.hpp.

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The documentation for this struct was generated from the following file:

• include/srfm/backtest.hpp