srfm::causal::CausalBacktestResult Struct Reference

Comparison of CausalSignal-based strategy vs all-bars baseline strategy. More...

#include <causal_cone.hpp>

Public Member Functions
double	sharpe_improvement () const noexcept
	Improvement in Sharpe ratio: causal − baseline.
double	sortino_improvement () const noexcept
	Improvement in Sortino ratio: causal − baseline.
std::string	to_string () const
	Format a one-line human-readable summary.

Public Attributes
backtest::PerformanceMetrics	causal_metrics
	Performance of the causal-only signal strategy.
backtest::PerformanceMetrics	baseline_metrics
	Performance of the all-bars baseline strategy.
double	mean_causal_fraction {0.0}
	Mean fraction of bars that were causal across the full dataset.

Detailed Description

Comparison of CausalSignal-based strategy vs all-bars baseline strategy.

Definition at line 175 of file causal_cone.hpp.

Member Function Documentation

sharpe_improvement()

double srfm::causal::CausalBacktestResult::sharpe_improvement ( ) const

inlinenoexcept

Improvement in Sharpe ratio: causal − baseline.

Definition at line 186 of file causal_cone.hpp.

sortino_improvement()

double srfm::causal::CausalBacktestResult::sortino_improvement ( ) const

inlinenoexcept

Improvement in Sortino ratio: causal − baseline.

Definition at line 191 of file causal_cone.hpp.

to_string()

std::string srfm::causal::CausalBacktestResult::to_string

(

)

const

Format a one-line human-readable summary.

Definition at line 153 of file causal_cone.cpp.

Member Data Documentation

baseline_metrics

backtest::PerformanceMetrics srfm::causal::CausalBacktestResult::baseline_metrics

Performance of the all-bars baseline strategy.

Definition at line 180 of file causal_cone.hpp.

causal_metrics

backtest::PerformanceMetrics srfm::causal::CausalBacktestResult::causal_metrics

Performance of the causal-only signal strategy.

Definition at line 177 of file causal_cone.hpp.

mean_causal_fraction

double srfm::causal::CausalBacktestResult::mean_causal_fraction {0.0}

Mean fraction of bars that were causal across the full dataset.

Definition at line 183 of file causal_cone.hpp.

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

• include/srfm/causal_cone.hpp
• src/causal_cone.cpp