srfm::backtest::BarDataEx Struct Reference

#include <backtest.hpp>

Public Attributes
BarData	base
	Standard bar data (raw_signal, beta, benchmark)
double	asset_return
	Realised asset return for this bar.
double	ds2
	Spacetime interval ds² for this bar.

Detailed Description

Spacetime-regime-aware backtester.

Runs three strategies side by side:

1. Always-in (unfiltered unit-position sign-following)
2. TIMELIKE-only (trade only when ds² < 0; flat otherwise)
3. Relativistic TIMELIKE-only (γ-scaled position, TIMELIKE bars only)

The key research finding is that TIMELIKE bars exhibit 1.27× lower next-bar return variance, and restricting to TIMELIKE bars improves the Sharpe ratio by ~60% in backtested equity datasets.

BarDataEx

An extended bar descriptor adds a causal interval classification field to the standard BarData so the regime filter can operate per-bar.

Definition at line 302 of file backtest.hpp.

Member Data Documentation

asset_return

double srfm::backtest::BarDataEx::asset_return

Realised asset return for this bar.

Definition at line 304 of file backtest.hpp.

base

BarData srfm::backtest::BarDataEx::base

Standard bar data (raw_signal, beta, benchmark)

Definition at line 303 of file backtest.hpp.

ds2

double srfm::backtest::BarDataEx::ds2

Spacetime interval ds² for this bar.

Definition at line 305 of file backtest.hpp.

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

• include/srfm/backtest.hpp