srfm::causal::CausalSignal Struct Reference

#include <causal_cone.hpp>

Public Attributes
double	causal_mean_return {0.0}
	Mean return, causal bars only.
double	causal_vol {0.0}
	Volatility of causal bar returns.
double	causal_momentum {0.0}
	Weighted momentum from causal bars.
double	causal_fraction {0.0}
	Fraction of bars that are causal.
double	all_bars_mean_return {0.0}
	Baseline: mean over ALL look-back bars.
std::size_t	n_causal {0}
	Number of causal predecessor bars used.
std::size_t	n_total {0}
	Total bars in the look-back window.

Detailed Description

A trading feature vector computed only from causally-connected bars.

Features:

• causal_mean_return: Mean return of causal predecessor bars.
• causal_vol: Volatility (std dev) of causal predecessor returns.
• causal_momentum: Weighted sum of returns, γ-weighted by causal strength.
• causal_fraction: Fraction of look-back bars that are causal.
• all_bars_mean_return: Same metric computed over ALL bars (for comparison).

Definition at line 88 of file causal_cone.hpp.

Member Data Documentation

all_bars_mean_return

double srfm::causal::CausalSignal::all_bars_mean_return {0.0}

Baseline: mean over ALL look-back bars.

Definition at line 93 of file causal_cone.hpp.

causal_fraction

double srfm::causal::CausalSignal::causal_fraction {0.0}

Fraction of bars that are causal.

Definition at line 92 of file causal_cone.hpp.

causal_mean_return

double srfm::causal::CausalSignal::causal_mean_return {0.0}

Mean return, causal bars only.

Definition at line 89 of file causal_cone.hpp.

causal_momentum

double srfm::causal::CausalSignal::causal_momentum {0.0}

Weighted momentum from causal bars.

Definition at line 91 of file causal_cone.hpp.

causal_vol

double srfm::causal::CausalSignal::causal_vol {0.0}

Volatility of causal bar returns.

Definition at line 90 of file causal_cone.hpp.

n_causal

std::size_t srfm::causal::CausalSignal::n_causal {0}

Number of causal predecessor bars used.

Definition at line 94 of file causal_cone.hpp.

n_total

std::size_t srfm::causal::CausalSignal::n_total {0}

Total bars in the look-back window.

Definition at line 95 of file causal_cone.hpp.

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

• include/srfm/causal_cone.hpp