fastmm::bt::WalkForwardFold Struct Reference

#include <fastmm/backtest/sweep.hpp>

Public Attributes
std::int64_t	start_ts = 0
	[start_ts, end_ts) of event time, ns
std::int64_t	end_ts = 0
std::vector< SweepPoint >	points
	every grid point run on this fold alone, grid order
std::vector< double >	scores
	the metric of each point (NaN ranks last)
std::size_t	best = 0
	in-sample best of this fold (lowest grid index on ties)
std::size_t	chosen = 0
	Folds >= 1: the point chosen on the previous fold, its score there (in-sample), its score here (out-of-sample) and the best score here (hindsight).
double	in_sample = std::numeric_limits<double>::quiet_NaN()
double	out_of_sample = std::numeric_limits<double>::quiet_NaN()
double	hindsight = std::numeric_limits<double>::quiet_NaN()

Member Data Documentation

start_ts

std::int64_t fastmm::bt::WalkForwardFold::start_ts = 0

[start_ts, end_ts) of event time, ns

end_ts

std::int64_t fastmm::bt::WalkForwardFold::end_ts = 0

points

std::vector<SweepPoint> fastmm::bt::WalkForwardFold::points

every grid point run on this fold alone, grid order

scores

std::vector<double> fastmm::bt::WalkForwardFold::scores

the metric of each point (NaN ranks last)

best

std::size_t fastmm::bt::WalkForwardFold::best = 0

in-sample best of this fold (lowest grid index on ties)

chosen

std::size_t fastmm::bt::WalkForwardFold::chosen = 0

Folds >= 1: the point chosen on the previous fold, its score there (in-sample), its score here (out-of-sample) and the best score here (hindsight).

NaN on fold 0.

in_sample

double fastmm::bt::WalkForwardFold::in_sample = std::numeric_limits<double>::quiet_NaN()

out_of_sample

double fastmm::bt::WalkForwardFold::out_of_sample = std::numeric_limits<double>::quiet_NaN()

hindsight

double fastmm::bt::WalkForwardFold::hindsight = std::numeric_limits<double>::quiet_NaN()