report.hpp File Reference

The backtest report: performance figures, costs, and every assumption and limitation of the run as a field (ReportCaveats). More...

#include "./engine.hpp"
#include <algotradelib/analytics>
#include <algotradelib/core>
#include <cstddef>
#include <chrono>
#include <optional>
#include <string>
#include <utility>
#include <vector>

Include dependency graph for report.hpp:

Go to the source code of this file.

Classes
struct	algotradelib::backtest::ReportCaveats
	What a replay's figures assumed and did not account for. More...
struct	algotradelib::backtest::Report
	The summary of a replay; read halted_ and caveats_ before the figures. More...

Namespaces
namespace	algotradelib
	The library: broker-neutral types (core), and the modules below.
namespace	algotradelib::backtest
	Replays a strategy over stored bars: fill and cost models, the replay ledger, and the report.

Functions
Report	algotradelib::backtest::summarize (const ReplayResult &result, const NextBarFillModel &fills, std::optional< math::Scalar > periods_per_year=std::nullopt, math::Scalar risk_free=math::Scalar{0})
	Summarizes a replay into a Report.

Detailed Description

The backtest report: performance figures, costs, and every assumption and limitation of the run as a field (ReportCaveats).

Needs a linear algebra backend (ATL_USE_EIGEN=ON); the engine itself does not.

Definition in file report.hpp.