fastmm::bt::WalkForwardReport Struct Reference

#include <fastmm/backtest/sweep.hpp>

Public Member Functions
std::string	label (const ParamMap &params) const
	"k1=v1 k2=v2" of one grid point, in grid order.
std::string	table () const
	One line per fold plus the summary.

Public Attributes
std::string	metric
std::vector< std::string >	param_names
	grid order
std::vector< WalkForwardFold >	folds
double	mean_in_sample = std::numeric_limits<double>::quiet_NaN()
	Means over folds 1..K-1 (NaN with one fold).
double	mean_out_of_sample = std::numeric_limits<double>::quiet_NaN()
double	mean_hindsight = std::numeric_limits<double>::quiet_NaN()
std::size_t	choice_changes = 0
	folds i >= 2 whose chosen point differs from fold i-1's

Member Function Documentation

label()

std::string fastmm::bt::WalkForwardReport::label

(

const ParamMap &

params

)

const

"k1=v1 k2=v2" of one grid point, in grid order.

table()

std::string fastmm::bt::WalkForwardReport::table

(

)

const

One line per fold plus the summary.

Member Data Documentation

metric

std::string fastmm::bt::WalkForwardReport::metric

param_names

std::vector<std::string> fastmm::bt::WalkForwardReport::param_names

grid order

folds

std::vector<WalkForwardFold> fastmm::bt::WalkForwardReport::folds

mean_in_sample

double fastmm::bt::WalkForwardReport::mean_in_sample = std::numeric_limits<double>::quiet_NaN()

Means over folds 1..K-1 (NaN with one fold).

mean_out_of_sample

double fastmm::bt::WalkForwardReport::mean_out_of_sample = std::numeric_limits<double>::quiet_NaN()

mean_hindsight

double fastmm::bt::WalkForwardReport::mean_hindsight = std::numeric_limits<double>::quiet_NaN()

choice_changes

std::size_t fastmm::bt::WalkForwardReport::choice_changes = 0

folds i >= 2 whose chosen point differs from fold i-1's