srfm::event_bt::BacktestResult Struct Reference

Aggregate performance statistics from a completed backtest. More...

#include <event_backtester.hpp>

Public Attributes
double	total_return = 0.0
	(final_equity - initial_equity) / initial
double	sharpe_ratio = 0.0
	Annualised Sharpe (assuming 252 days)
double	max_drawdown = 0.0
	Peak-to-trough equity drawdown fraction.
int	num_trades = 0
	Total fills executed.
double	win_rate = 0.0
	Fraction of profitable trades.
double	profit_factor = 0.0
	Gross gains / gross losses.

Detailed Description

Aggregate performance statistics from a completed backtest.

Definition at line 127 of file event_backtester.hpp.

Member Data Documentation

max_drawdown

double srfm::event_bt::BacktestResult::max_drawdown = 0.0

Peak-to-trough equity drawdown fraction.

Definition at line 130 of file event_backtester.hpp.

num_trades

int srfm::event_bt::BacktestResult::num_trades = 0

Total fills executed.

Definition at line 131 of file event_backtester.hpp.

profit_factor

double srfm::event_bt::BacktestResult::profit_factor = 0.0

Gross gains / gross losses.

Definition at line 133 of file event_backtester.hpp.

sharpe_ratio

double srfm::event_bt::BacktestResult::sharpe_ratio = 0.0

Annualised Sharpe (assuming 252 days)

Definition at line 129 of file event_backtester.hpp.

total_return

double srfm::event_bt::BacktestResult::total_return = 0.0

(final_equity - initial_equity) / initial

Definition at line 128 of file event_backtester.hpp.

win_rate

double srfm::event_bt::BacktestResult::win_rate = 0.0

Fraction of profitable trades.

Definition at line 132 of file event_backtester.hpp.

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

• include/srfm/event_backtester.hpp