@zigrivers/scaffold 3.13.0 → 3.15.0

package/content/knowledge/research/research-quant-market-data.md

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+---
+name: research-quant-market-data
+description: Market data sourcing including OHLCV providers, tick data, corporate actions handling, data quality checks, gap handling, and timezone normalization
+topics: [research, quant-finance, market-data, ohlcv, tick-data, corporate-actions, data-quality, alternative-data]
+---
+
+Market data is the foundation of every quantitative strategy. Bad data produces bad backtests, and bad backtests produce strategies that fail in production. The data pipeline must handle multiple source providers with different conventions, normalize timestamps across timezones, adjust prices for corporate actions (splits, dividends, mergers), detect and fill gaps, and validate quality before any data reaches the strategy. Data quality issues are the most common source of phantom alpha -- apparent returns that disappear when data errors are fixed.
+
+## Summary
+
+Build a data pipeline that sources OHLCV data from multiple providers (Yahoo Finance for screening, Polygon/Alpha Vantage for research-grade data), handles corporate actions correctly (use fully adjusted prices or apply point-in-time adjustment factors), validates quality (gap detection, outlier filtering, volume anomalies), normalizes timezones to a single reference (UTC or exchange local time), and stores data in a local cache to avoid repeated API calls. For tick data, use dedicated providers (Polygon, TickData) and downsample to desired frequency with proper bar construction.
+
+## Deep Guidance
+
+### Data Source Hierarchy
+
+Use different data sources for different stages of research. Free sources are fine for initial screening; paid sources are necessary for final validation:
+
+| Provider | Cost | Quality | Frequency | Best For |
+|----------|------|---------|-----------|----------|
+| Yahoo Finance (yfinance) | Free | Medium | Daily | Initial screening, idea generation |
+| Alpha Vantage | Free tier + paid | Medium-High | 1min - Daily | Intraday research, small universes |
+| Polygon.io | $29-199/mo | High | Tick - Daily | Production research, large universes |
+| Tiingo | $10-30/mo | High | Daily + IEX tick | EOD research, news data |
+| Quandl/Nasdaq Data Link | Varies | High | Daily | Fundamentals, alternative data |
+| Interactive Brokers | Trading account | High | Tick - Daily | Live data, historical backfill |
+
+```python
+# data/providers/base.py
+from abc import ABC, abstractmethod
+from datetime import date
+import pandas as pd
+
+class DataProvider(ABC):
+    """Base interface for market data providers."""
+
+    @abstractmethod
+    def fetch_ohlcv(
+        self,
+        symbol: str,
+        start: date,
+        end: date,
+        frequency: str = "1D",
+    ) -> pd.DataFrame:
+        """
+        Fetch OHLCV data for a single symbol.
+
+        Returns DataFrame with columns: open, high, low, close, volume
+        Index: DatetimeIndex (timezone-aware UTC)
+        """
+        ...
+
+    @abstractmethod
+    def fetch_splits(self, symbol: str, start: date, end: date) -> list[dict]:
+        """Fetch stock split history."""
+        ...
+
+    @abstractmethod
+    def fetch_dividends(self, symbol: str, start: date, end: date) -> list[dict]:
+        """Fetch dividend history."""
+        ...
+```
+
+### Corporate Actions Handling
+
+Corporate actions (splits, dividends, mergers, spinoffs) change the price series in ways that must be accounted for to avoid phantom signals:
+
+```python
+# data/adjustments.py
+import pandas as pd
+import numpy as np
+
+def adjust_for_splits(
+    prices: pd.DataFrame,
+    splits: list[dict],
+) -> pd.DataFrame:
+    """
+    Apply split adjustments to historical prices.
+
+    Adjusts prices backward from most recent split to preserve
+    current price levels. This is the standard convention.
+    """
+    adjusted = prices.copy()
+
+    # Sort splits in reverse chronological order
+    for split in sorted(splits, key=lambda s: s["date"], reverse=True):
+        split_date = pd.Timestamp(split["date"])
+        ratio = split["ratio"]  # e.g., 4.0 for a 4:1 split
+
+        mask = adjusted.index < split_date
+        for col in ["open", "high", "low", "close"]:
+            adjusted.loc[mask, col] /= ratio
+        adjusted.loc[mask, "volume"] *= ratio
+
+    return adjusted
+
+
+def adjust_for_dividends(
+    prices: pd.DataFrame,
+    dividends: list[dict],
+    method: str = "proportional",
+) -> pd.DataFrame:
+    """
+    Apply dividend adjustments to historical prices.
+
+    Args:
+        method: "proportional" (standard) or "subtractive" (simple).
+    """
+    adjusted = prices.copy()
+
+    for div in sorted(dividends, key=lambda d: d["ex_date"], reverse=True):
+        ex_date = pd.Timestamp(div["ex_date"])
+        amount = div["amount"]
+
+        mask = adjusted.index < ex_date
+        if method == "proportional":
+            # Standard: adjust by the ratio (close - dividend) / close
+            close_before = adjusted.loc[mask, "close"].iloc[-1] if mask.any() else 0
+            if close_before > 0:
+                factor = (close_before - amount) / close_before
+                for col in ["open", "high", "low", "close"]:
+                    adjusted.loc[mask, col] *= factor
+        elif method == "subtractive":
+            for col in ["open", "high", "low", "close"]:
+                adjusted.loc[mask, col] -= amount
+
+    return adjusted
+```
+
+### Data Quality Checks
+
+Run quality checks on every dataset before it enters the backtest. Catch problems early rather than debugging phantom strategy behavior:
+
+```python
+# data/quality.py
+import pandas as pd
+import numpy as np
+from dataclasses import dataclass, field
+
+@dataclass
+class QualityReport:
+    """Results of data quality validation."""
+    symbol: str
+    total_bars: int
+    issues: list[str] = field(default_factory=list)
+    warnings: list[str] = field(default_factory=list)
+
+    @property
+    def passed(self) -> bool:
+        return len(self.issues) == 0
+
+def validate_ohlcv(df: pd.DataFrame, symbol: str) -> QualityReport:
+    """Comprehensive OHLCV data quality validation."""
+    report = QualityReport(symbol=symbol, total_bars=len(df))
+
+    # Check required columns
+    required = ["open", "high", "low", "close", "volume"]
+    for col in required:
+        if col not in df.columns:
+            report.issues.append(f"Missing column: {col}")
+    if report.issues:
+        return report
+
+    # OHLC consistency: high >= open, close, low; low <= open, close, high
+    bad_high = df[df["high"] < df[["open", "close"]].max(axis=1)]
+    if len(bad_high) > 0:
+        report.issues.append(f"{len(bad_high)} bars where high < max(open, close)")
+
+    bad_low = df[df["low"] > df[["open", "close"]].min(axis=1)]
+    if len(bad_low) > 0:
+        report.issues.append(f"{len(bad_low)} bars where low > min(open, close)")
+
+    # Zero or negative prices
+    for col in ["open", "high", "low", "close"]:
+        zeros = (df[col] <= 0).sum()
+        if zeros > 0:
+            report.issues.append(f"{zeros} bars with {col} <= 0")
+
+    # Null values
+    null_pct = df[required].isnull().sum().sum() / (len(df) * len(required)) * 100
+    if null_pct > 0:
+        report.warnings.append(f"Null values: {null_pct:.2f}%")
+    if null_pct > 1:
+        report.issues.append(f"Null values exceed 1%: {null_pct:.2f}%")
+
+    # Extreme returns (potential data errors)
+    returns = df["close"].pct_change().dropna()
+    extreme = returns[returns.abs() > 0.5]  # >50% daily move
+    if len(extreme) > 0:
+        report.warnings.append(
+            f"{len(extreme)} extreme daily returns (>50%): check for split errors"
+        )
+
+    # Volume anomalies
+    zero_vol = (df["volume"] == 0).sum()
+    if zero_vol > len(df) * 0.05:
+        report.warnings.append(f"{zero_vol} zero-volume bars ({zero_vol/len(df)*100:.1f}%)")
+
+    # Duplicate timestamps
+    dupes = df.index.duplicated().sum()
+    if dupes > 0:
+        report.issues.append(f"{dupes} duplicate timestamps")
+
+    return report
+```
+
+### Gap Handling
+
+Missing data bars occur due to holidays, trading halts, data provider issues, or illiquid instruments. Handle gaps explicitly:
+
+```python
+# data/gap_handling.py
+import pandas as pd
+
+def detect_gaps(
+    df: pd.DataFrame,
+    frequency: str = "1D",
+    max_gap_periods: int = 5,
+) -> list[dict]:
+    """Detect data gaps exceeding the maximum allowed threshold."""
+    expected_freq = pd.tseries.frequencies.to_offset(frequency)
+    gaps = []
+
+    for i in range(1, len(df)):
+        delta = df.index[i] - df.index[i - 1]
+        expected_delta = expected_freq * 1
+
+        # For daily data, skip weekends (2-day gaps are normal)
+        if frequency == "1D" and delta.days <= 3:
+            continue
+
+        gap_periods = delta / expected_delta
+        if gap_periods > max_gap_periods:
+            gaps.append({
+                "start": df.index[i - 1],
+                "end": df.index[i],
+                "gap_periods": int(gap_periods),
+            })
+
+    return gaps
+
+
+def fill_gaps(
+    df: pd.DataFrame,
+    method: str = "ffill",
+    max_fill: int = 5,
+) -> pd.DataFrame:
+    """
+    Fill data gaps using specified method.
+
+    Args:
+        method: "ffill" (forward fill), "interpolate", or "drop".
+        max_fill: Maximum consecutive bars to fill.
+    """
+    if method == "ffill":
+        return df.ffill(limit=max_fill)
+    elif method == "interpolate":
+        return df.interpolate(method="time", limit=max_fill)
+    elif method == "drop":
+        return df.dropna()
+    else:
+        raise ValueError(f"Unknown fill method: {method}")
+```
+
+### Timezone Normalization
+
+All timestamps must be normalized to a single reference timezone before any analysis. Mixed timezones cause subtle alignment bugs:
+
+```python
+# data/timezone.py
+import pandas as pd
+
+# Exchange timezone mapping
+EXCHANGE_TIMEZONES = {
+    "NYSE": "America/New_York",
+    "NASDAQ": "America/New_York",
+    "LSE": "Europe/London",
+    "TSE": "Asia/Tokyo",
+    "HKEX": "Asia/Hong_Kong",
+    "ASX": "Australia/Sydney",
+}
+
+def normalize_to_utc(
+    df: pd.DataFrame,
+    source_tz: str,
+) -> pd.DataFrame:
+    """
+    Normalize timestamps to UTC.
+
+    If timestamps are timezone-naive, localize to source_tz first.
+    """
+    if df.index.tz is None:
+        df.index = df.index.tz_localize(source_tz)
+    return df.tz_convert("UTC")
+
+
+def align_multi_exchange(
+    datasets: dict[str, pd.DataFrame],
+    reference_tz: str = "UTC",
+) -> dict[str, pd.DataFrame]:
+    """Align datasets from multiple exchanges to a common timezone."""
+    aligned = {}
+    for symbol, df in datasets.items():
+        if df.index.tz is None:
+            raise ValueError(f"{symbol}: timestamps must be timezone-aware")
+        aligned[symbol] = df.tz_convert(reference_tz)
+    return aligned
+```
+
+### Local Data Cache
+
+Cache data locally to avoid repeated API calls and ensure reproducibility:
+
+```python
+# data/cache.py
+import hashlib
+import json
+from pathlib import Path
+from datetime import date
+import pandas as pd
+
+class DataCache:
+    """File-based cache for market data with invalidation."""
+
+    def __init__(self, cache_dir: str = "data/cache"):
+        self.cache_dir = Path(cache_dir)
+        self.cache_dir.mkdir(parents=True, exist_ok=True)
+
+    def _cache_key(self, symbol: str, start: date, end: date, freq: str) -> str:
+        raw = f"{symbol}_{start}_{end}_{freq}"
+        return hashlib.md5(raw.encode()).hexdigest()
+
+    def get(self, symbol: str, start: date, end: date, freq: str) -> pd.DataFrame | None:
+        key = self._cache_key(symbol, start, end, freq)
+        path = self.cache_dir / f"{key}.parquet"
+        if path.exists():
+            return pd.read_parquet(path)
+        return None
+
+    def put(self, symbol: str, start: date, end: date, freq: str,
+            data: pd.DataFrame) -> None:
+        key = self._cache_key(symbol, start, end, freq)
+        path = self.cache_dir / f"{key}.parquet"
+        data.to_parquet(path)
+
+    def invalidate(self, symbol: str, start: date, end: date, freq: str) -> None:
+        key = self._cache_key(symbol, start, end, freq)
+        path = self.cache_dir / f"{key}.parquet"
+        if path.exists():
+            path.unlink()
+```
+
+### Alternative Data Sources
+
+Beyond price and volume, alternative data can provide unique signals:
+
+| Data Type | Sources | Use Case |
+|-----------|---------|----------|
+| Sentiment | News APIs, social media | Contrarian/momentum signals |
+| Fundamentals | SEC EDGAR, Quandl | Value-based strategies |
+| Options flow | CBOE, OCC | Implied volatility signals |
+| Insider trading | SEC Form 4 | Informed trading signals |
+| Short interest | FINRA, exchanges | Crowding/squeeze signals |
+| Macro indicators | FRED, World Bank | Regime detection |
+
+Always validate alternative data for coverage, timeliness, and look-ahead bias before incorporating it into a strategy.

package/content/knowledge/research/research-quant-metrics.md

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+---
+name: research-quant-metrics
+description: Quantitative performance metrics including Sharpe ratio, Sortino ratio, Calmar ratio, maximum drawdown, profit factor, win rate, expectancy, and alpha/beta decomposition
+topics: [research, quant-finance, metrics, sharpe, sortino, calmar, drawdown, profit-factor, information-ratio, alpha, beta]
+---
+
+Performance metrics are the lens through which every trading strategy is evaluated. A single metric is never sufficient -- strategies must be assessed across multiple dimensions including risk-adjusted return, tail risk, consistency, and independence from market direction. The choice of which metric to optimize (primary target) versus which to constrain (guardrails) is a fundamental research design decision. Optimizing the wrong metric or ignoring important dimensions leads to strategies that look good on paper but blow up in practice.
+
+## Summary
+
+Implement a comprehensive metrics library covering risk-adjusted returns (Sharpe, Sortino, Calmar, information ratio), drawdown analysis (maximum drawdown, drawdown duration, recovery time), trade-level statistics (win rate, profit factor, expectancy, payoff ratio), and factor decomposition (alpha, beta, R-squared). Use annualized metrics with consistent conventions (252 trading days, risk-free rate from T-bills). Always compute confidence intervals via bootstrap resampling rather than relying on point estimates.
+
+## Deep Guidance
+
+### Risk-Adjusted Return Metrics
+
+```python
+# metrics/risk_adjusted.py
+import numpy as np
+import pandas as pd
+
+def sharpe_ratio(
+    returns: pd.Series,
+    risk_free_rate: float = 0.04,
+    periods_per_year: int = 252,
+) -> float:
+    """
+    Annualized Sharpe ratio.
+
+    Sharpe = (mean_return - risk_free_rate) / std_return
+    Annualized by multiplying by sqrt(periods_per_year).
+    """
+    excess = returns - risk_free_rate / periods_per_year
+    if excess.std() == 0:
+        return 0.0
+    return float(excess.mean() / excess.std() * np.sqrt(periods_per_year))
+
+
+def sortino_ratio(
+    returns: pd.Series,
+    risk_free_rate: float = 0.04,
+    periods_per_year: int = 252,
+) -> float:
+    """
+    Sortino ratio — like Sharpe but uses downside deviation only.
+
+    Penalises downside volatility more heavily, which is often more
+    relevant since upside volatility is desirable.
+    """
+    excess = returns - risk_free_rate / periods_per_year
+    downside = excess[excess < 0]
+    downside_std = np.sqrt((downside**2).mean()) if len(downside) > 0 else 0.0
+    if downside_std == 0:
+        return 0.0
+    return float(excess.mean() / downside_std * np.sqrt(periods_per_year))
+
+
+def calmar_ratio(
+    returns: pd.Series,
+    periods_per_year: int = 252,
+) -> float:
+    """
+    Calmar ratio — annualized return divided by maximum drawdown.
+
+    Measures return per unit of worst-case risk.
+    """
+    ann_return = returns.mean() * periods_per_year
+    max_dd = maximum_drawdown(returns)
+    if max_dd == 0:
+        return 0.0
+    return float(ann_return / abs(max_dd))
+
+
+def information_ratio(
+    returns: pd.Series,
+    benchmark_returns: pd.Series,
+    periods_per_year: int = 252,
+) -> float:
+    """
+    Information ratio — excess return over benchmark per unit of tracking error.
+
+    Measures the consistency of active returns relative to a benchmark.
+    """
+    active_returns = returns - benchmark_returns
+    tracking_error = active_returns.std()
+    if tracking_error == 0:
+        return 0.0
+    return float(
+        active_returns.mean() / tracking_error * np.sqrt(periods_per_year)
+    )
+```
+
+### Drawdown Analysis
+
+```python
+# metrics/drawdown.py
+import numpy as np
+import pandas as pd
+from dataclasses import dataclass
+
+@dataclass
+class DrawdownAnalysis:
+    """Complete drawdown analysis results."""
+    max_drawdown: float  # Worst peak-to-trough decline (negative)
+    max_drawdown_duration: int  # Days in worst drawdown
+    max_recovery_time: int  # Days to recover from worst drawdown
+    avg_drawdown: float  # Average drawdown across all drawdown periods
+    drawdown_series: pd.Series  # Full drawdown time series
+
+def maximum_drawdown(returns: pd.Series) -> float:
+    """Maximum peak-to-trough decline as a negative fraction."""
+    equity = (1 + returns).cumprod()
+    running_max = equity.cummax()
+    drawdown = (equity - running_max) / running_max
+    return float(drawdown.min())
+
+def analyze_drawdowns(returns: pd.Series) -> DrawdownAnalysis:
+    """Comprehensive drawdown analysis."""
+    equity = (1 + returns).cumprod()
+    running_max = equity.cummax()
+    drawdown = (equity - running_max) / running_max
+
+    # Find drawdown periods (contiguous sequences where drawdown < 0)
+    in_drawdown = drawdown < 0
+    dd_starts = in_drawdown & ~in_drawdown.shift(1, fill_value=False)
+    dd_ends = ~in_drawdown & in_drawdown.shift(1, fill_value=False)
+
+    # Calculate duration of worst drawdown
+    max_dd = drawdown.min()
+    max_dd_idx = drawdown.idxmin()
+
+    # Find the peak before the max drawdown
+    peak_idx = equity[:max_dd_idx].idxmax()
+    dd_duration = len(equity[peak_idx:max_dd_idx])
+
+    # Find recovery point after max drawdown
+    post_dd = equity[max_dd_idx:]
+    peak_val = equity[peak_idx]
+    recovered = post_dd[post_dd >= peak_val]
+    recovery_time = len(post_dd[:recovered.index[0]]) if len(recovered) > 0 else -1
+
+    return DrawdownAnalysis(
+        max_drawdown=max_dd,
+        max_drawdown_duration=dd_duration,
+        max_recovery_time=recovery_time,
+        avg_drawdown=float(drawdown[drawdown < 0].mean()) if (drawdown < 0).any() else 0.0,
+        drawdown_series=drawdown,
+    )
+```
+
+### Trade-Level Statistics
+
+```python
+# metrics/trade_stats.py
+import numpy as np
+from dataclasses import dataclass
+
+@dataclass
+class TradeStatistics:
+    """Statistics computed from individual trade P&L records."""
+    total_trades: int
+    winning_trades: int
+    losing_trades: int
+    win_rate: float  # Fraction of winning trades
+    avg_win: float  # Average winning trade P&L
+    avg_loss: float  # Average losing trade P&L (negative)
+    profit_factor: float  # Gross profit / gross loss
+    expectancy: float  # Expected P&L per trade
+    payoff_ratio: float  # avg_win / abs(avg_loss)
+    max_consecutive_wins: int
+    max_consecutive_losses: int
+
+def compute_trade_statistics(trade_pnls: list[float]) -> TradeStatistics:
+    """Compute comprehensive trade-level statistics from P&L list."""
+    pnls = np.array(trade_pnls)
+    wins = pnls[pnls > 0]
+    losses = pnls[pnls < 0]
+
+    total = len(pnls)
+    win_count = len(wins)
+    loss_count = len(losses)
+    win_rate = win_count / total if total > 0 else 0.0
+
+    avg_win = float(wins.mean()) if len(wins) > 0 else 0.0
+    avg_loss = float(losses.mean()) if len(losses) > 0 else 0.0
+
+    gross_profit = float(wins.sum()) if len(wins) > 0 else 0.0
+    gross_loss = float(abs(losses.sum())) if len(losses) > 0 else 0.0
+    profit_factor = gross_profit / gross_loss if gross_loss > 0 else float("inf")
+
+    expectancy = float(pnls.mean()) if total > 0 else 0.0
+    payoff_ratio = avg_win / abs(avg_loss) if avg_loss != 0 else float("inf")
+
+    # Consecutive wins/losses
+    max_consec_wins = _max_consecutive(pnls > 0)
+    max_consec_losses = _max_consecutive(pnls < 0)
+
+    return TradeStatistics(
+        total_trades=total,
+        winning_trades=win_count,
+        losing_trades=loss_count,
+        win_rate=win_rate,
+        avg_win=avg_win,
+        avg_loss=avg_loss,
+        profit_factor=profit_factor,
+        expectancy=expectancy,
+        payoff_ratio=payoff_ratio,
+        max_consecutive_wins=max_consec_wins,
+        max_consecutive_losses=max_consec_losses,
+    )
+
+def _max_consecutive(mask: np.ndarray) -> int:
+    """Count the longest consecutive True run in a boolean array."""
+    if len(mask) == 0:
+        return 0
+    max_run = 0
+    current_run = 0
+    for val in mask:
+        if val:
+            current_run += 1
+            max_run = max(max_run, current_run)
+        else:
+            current_run = 0
+    return max_run
+```
+
+### Alpha/Beta Decomposition
+
+```python
+# metrics/factor.py
+import numpy as np
+import pandas as pd
+from dataclasses import dataclass
+
+@dataclass
+class FactorDecomposition:
+    """Alpha/beta decomposition against a benchmark."""
+    alpha: float  # Annualized excess return not explained by benchmark
+    beta: float  # Sensitivity to benchmark returns
+    r_squared: float  # Fraction of variance explained by benchmark
+    residual_vol: float  # Annualized volatility of unexplained returns
+
+def decompose_returns(
+    strategy_returns: pd.Series,
+    benchmark_returns: pd.Series,
+    risk_free_rate: float = 0.04,
+    periods_per_year: int = 252,
+) -> FactorDecomposition:
+    """
+    Decompose strategy returns into alpha and beta components.
+
+    Uses OLS regression: R_strategy = alpha + beta * R_benchmark + epsilon
+    """
+    aligned = pd.concat(
+        [strategy_returns, benchmark_returns], axis=1, keys=["strat", "bench"]
+    ).dropna()
+
+    rf_daily = risk_free_rate / periods_per_year
+    excess_strat = aligned["strat"] - rf_daily
+    excess_bench = aligned["bench"] - rf_daily
+
+    beta = float(
+        np.cov(excess_strat, excess_bench)[0, 1]
+        / np.var(excess_bench)
+    )
+
+    alpha_daily = float(excess_strat.mean() - beta * excess_bench.mean())
+    alpha_annual = alpha_daily * periods_per_year
+
+    residuals = excess_strat - beta * excess_bench
+    ss_res = float((residuals**2).sum())
+    ss_tot = float(((excess_strat - excess_strat.mean()) ** 2).sum())
+    r_squared = 1 - ss_res / ss_tot if ss_tot > 0 else 0.0
+
+    residual_vol = float(residuals.std() * np.sqrt(periods_per_year))
+
+    return FactorDecomposition(
+        alpha=alpha_annual,
+        beta=beta,
+        r_squared=r_squared,
+        residual_vol=residual_vol,
+    )
+```
+
+### Bootstrap Confidence Intervals
+
+Point estimates are unreliable. Always compute confidence intervals:
+
+```python
+# metrics/bootstrap.py
+import numpy as np
+
+def bootstrap_sharpe_ci(
+    returns: np.ndarray,
+    n_bootstrap: int = 10_000,
+    confidence: float = 0.95,
+    periods_per_year: int = 252,
+) -> tuple[float, float, float]:
+    """
+    Bootstrap confidence interval for the Sharpe ratio.
+
+    Returns:
+        Tuple of (point_estimate, ci_lower, ci_upper).
+    """
+    n = len(returns)
+    sharpes = np.empty(n_bootstrap)
+
+    for i in range(n_bootstrap):
+        sample = np.random.choice(returns, size=n, replace=True)
+        if sample.std() > 0:
+            sharpes[i] = sample.mean() / sample.std() * np.sqrt(periods_per_year)
+        else:
+            sharpes[i] = 0.0
+
+    alpha = (1 - confidence) / 2
+    ci_lower = float(np.percentile(sharpes, alpha * 100))
+    ci_upper = float(np.percentile(sharpes, (1 - alpha) * 100))
+    point = float(np.mean(sharpes))
+
+    return point, ci_lower, ci_upper
+```
+
+### Metrics Interpretation Guide
+
+| Metric | Excellent | Good | Marginal | Poor |
+|--------|-----------|------|----------|------|
+| Sharpe ratio | > 2.0 | 1.0 - 2.0 | 0.5 - 1.0 | < 0.5 |
+| Sortino ratio | > 3.0 | 1.5 - 3.0 | 0.7 - 1.5 | < 0.7 |
+| Calmar ratio | > 3.0 | 1.0 - 3.0 | 0.5 - 1.0 | < 0.5 |
+| Max drawdown | < 10% | 10 - 20% | 20 - 30% | > 30% |
+| Profit factor | > 2.0 | 1.5 - 2.0 | 1.0 - 1.5 | < 1.0 |
+| Win rate | > 55% | 45 - 55% | 35 - 45% | < 35% |
+| Information ratio | > 1.0 | 0.5 - 1.0 | 0.2 - 0.5 | < 0.2 |
+
+Caution: These thresholds are for daily-frequency strategies. Higher-frequency strategies typically have higher Sharpe ratios but lower capacity, and lower-frequency strategies have lower Sharpe ratios but higher capacity.