Performance summary for all three regime strategies. More...

#include <backtest.hpp>

Public Member Functions
double	timelike_sharpe_lift () const noexcept
	Sharpe lift of TIMELIKE-only vs always-in.

std::string	to_string () const
	Formatted side-by-side comparison table.

Public Attributes
PerformanceMetrics	always_in
	Unfiltered always-in strategy.

PerformanceMetrics	timelike_only
	TIMELIKE-gated strategy (flat on others)

PerformanceMetrics	timelike_relativistic
	γ-scaled TIMELIKE-gated strategy

double	timelike_fraction {0.0}
	Fraction of bars classified TIMELIKE in this run.

double	spacelike_fraction {0.0}
	Fraction of bars classified SPACELIKE in this run.

double	lightlike_fraction {0.0}
	Fraction of bars classified LIGHTLIKE in this run.

double	timelike_variance {0.0}
	Mean next-bar return variance in TIMELIKE bars.

double	spacelike_variance {0.0}
	Mean next-bar return variance in SPACELIKE bars.

Detailed Description

Performance summary for all three regime strategies.

Definition at line 309 of file backtest.hpp.

Member Function Documentation

◆ timelike_sharpe_lift()

double srfm::backtest::RegimeBacktestResult::timelike_sharpe_lift ( ) const

inlinenoexcept

Sharpe lift of TIMELIKE-only vs always-in.

Definition at line 327 of file backtest.hpp.

◆ to_string()

std::string srfm::backtest::RegimeBacktestResult::to_string ( ) const

Formatted side-by-side comparison table.

Definition at line 26 of file regime_filtered_backtester.cpp.

Member Data Documentation

◆ always_in

PerformanceMetrics srfm::backtest::RegimeBacktestResult::always_in

Unfiltered always-in strategy.

Definition at line 310 of file backtest.hpp.

◆ lightlike_fraction

double srfm::backtest::RegimeBacktestResult::lightlike_fraction {0.0}

Fraction of bars classified LIGHTLIKE in this run.

Definition at line 319 of file backtest.hpp.

◆ spacelike_fraction

double srfm::backtest::RegimeBacktestResult::spacelike_fraction {0.0}

Fraction of bars classified SPACELIKE in this run.

Definition at line 317 of file backtest.hpp.

◆ spacelike_variance

double srfm::backtest::RegimeBacktestResult::spacelike_variance {0.0}

Mean next-bar return variance in SPACELIKE bars.

Definition at line 324 of file backtest.hpp.

◆ timelike_fraction

double srfm::backtest::RegimeBacktestResult::timelike_fraction {0.0}

Fraction of bars classified TIMELIKE in this run.

Definition at line 315 of file backtest.hpp.

◆ timelike_only

PerformanceMetrics srfm::backtest::RegimeBacktestResult::timelike_only

TIMELIKE-gated strategy (flat on others)

Definition at line 311 of file backtest.hpp.

◆ timelike_relativistic

PerformanceMetrics srfm::backtest::RegimeBacktestResult::timelike_relativistic

γ-scaled TIMELIKE-gated strategy

Definition at line 312 of file backtest.hpp.

◆ timelike_variance

double srfm::backtest::RegimeBacktestResult::timelike_variance {0.0}

Mean next-bar return variance in TIMELIKE bars.

Definition at line 322 of file backtest.hpp.

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

include/srfm/backtest.hpp
src/backtest/regime_filtered_backtester.cpp

Public Member Functions

Public Attributes