srfm::backtest::PerformanceMetrics Struct Reference

Performance metrics for a single strategy evaluation. More...

#include <backtest.hpp>

Public Member Functions
std::string	to_string () const
	Human-readable summary line.

Public Attributes
double	sharpe_ratio
	(mean_ret − r_f) / σ, annualised
double	sortino_ratio
	(mean_ret − r_f) / σ_down, annualised
double	max_drawdown
	Peak-to-trough fractional loss (≥ 0)
double	gamma_weighted_ir
	γ-weighted information ratio vs benchmark

Detailed Description

Performance metrics for a single strategy evaluation.

Definition at line 76 of file backtest.hpp.

Member Function Documentation

to_string()

std::string srfm::backtest::PerformanceMetrics::to_string

(

)

const

Human-readable summary line.

Definition at line 220 of file performance_metrics.cpp.

Member Data Documentation

gamma_weighted_ir

double srfm::backtest::PerformanceMetrics::gamma_weighted_ir

γ-weighted information ratio vs benchmark

Definition at line 80 of file backtest.hpp.

max_drawdown

double srfm::backtest::PerformanceMetrics::max_drawdown

Peak-to-trough fractional loss (≥ 0)

Definition at line 79 of file backtest.hpp.

sharpe_ratio

double srfm::backtest::PerformanceMetrics::sharpe_ratio

(mean_ret − r_f) / σ, annualised

Definition at line 77 of file backtest.hpp.

sortino_ratio

double srfm::backtest::PerformanceMetrics::sortino_ratio

(mean_ret − r_f) / σ_down, annualised

Definition at line 78 of file backtest.hpp.

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

• include/srfm/backtest.hpp
• src/backtest/performance_metrics.cpp