#include <fastmm/research/signal_eval.hpp>

Public Member Functions
std::string	label () const

Public Attributes
std::int64_t	horizon_ns = 0

std::uint64_t	n = 0
	rows that had a forward mid at this horizon

std::uint64_t	excluded_past_end = 0

std::uint64_t	excluded_no_mid = 0

double	ic = 0.0
	Spearman, signal against forward mid move; NaN when n < 2.

std::vector< double >	block_ic
	The same coefficient per contiguous equal-sized block of the measured rows.

double	block_ic_mean = 0.0

double	block_ic_stdev = 0.0
	population standard deviation over the blocks

double	block_ic_min = 0.0

double	block_ic_max = 0.0

double	block_sign_agreement = 0.0
	share of blocks whose IC has the sign of `ic`

std::vector< SignalBucket >	buckets
	in ascending signal order

Member Function Documentation

◆ label()

std::string fastmm::research::HorizonEval::label ( ) const

inline

Member Data Documentation

◆ horizon_ns

std::int64_t fastmm::research::HorizonEval::horizon_ns = 0

◆ n

std::uint64_t fastmm::research::HorizonEval::n = 0

rows that had a forward mid at this horizon

◆ excluded_past_end

std::uint64_t fastmm::research::HorizonEval::excluded_past_end = 0

◆ excluded_no_mid

std::uint64_t fastmm::research::HorizonEval::excluded_no_mid = 0

◆ ic

double fastmm::research::HorizonEval::ic = 0.0

Spearman, signal against forward mid move; NaN when n < 2.

◆ block_ic

std::vector<double> fastmm::research::HorizonEval::block_ic

The same coefficient per contiguous equal-sized block of the measured rows.

◆ block_ic_mean

double fastmm::research::HorizonEval::block_ic_mean = 0.0

◆ block_ic_stdev

double fastmm::research::HorizonEval::block_ic_stdev = 0.0

population standard deviation over the blocks

◆ block_ic_min

double fastmm::research::HorizonEval::block_ic_min = 0.0

◆ block_ic_max

double fastmm::research::HorizonEval::block_ic_max = 0.0

◆ block_sign_agreement

double fastmm::research::HorizonEval::block_sign_agreement = 0.0

share of blocks whose IC has the sign of ic

◆ buckets

std::vector<SignalBucket> fastmm::research::HorizonEval::buckets

in ascending signal order

Public Member Functions

Public Attributes