proof-of-portfolio 0.0.108__py3-none-any.whl → 0.0.109__py3-none-any.whl

proof_of_portfolio/_version.py

@@ -1,2 +1,2 @@
 # This file is auto-generated during build
-__version__ = "0.0.108"
+__version__ = "0.0.109"

proof_of_portfolio/circuits/components/src/core/omega.nr

@@ -1,5 +1,6 @@
 use crate::utils::constants::{
-    ARRAY_SIZE, OMEGA_NOCONFIDENCE_VALUE, SCALE, STATISTICAL_CONFIDENCE_MINIMUM_N,
+    ARRAY_SIZE, OMEGA_NOCONFIDENCE_VALUE, RATIO_SCALE_FACTOR, SCALE,
+    STATISTICAL_CONFIDENCE_MINIMUM_N,
 };
 
 pub fn omega(
@@ -64,8 +65,12 @@ pub fn omega(
                 omega_loss_min_scaled
             };
 
-            if effective_denominator != 0 {
-                positive_cross / effective_denominator
+            let adjusted_ratio_scale = RATIO_SCALE_FACTOR * scale_factor;
+
+            if effective_denominator >= adjusted_ratio_scale {
+                positive_cross / (effective_denominator / adjusted_ratio_scale)
+            } else if effective_denominator != 0 {
+                (positive_cross / effective_denominator) * adjusted_ratio_scale
             } else {
                 0
             }
@@ -91,7 +96,7 @@ pub fn omega(
             } else {
                 omega_loss_min
             };
-            positive_sum / effective_denominator
+            (positive_sum * RATIO_SCALE_FACTOR) / effective_denominator
         }
     }
 }
@@ -154,7 +159,7 @@ fn test_omega_ptn_parity() {
     returns[3] = 15000000;
     let weights = [0; ARRAY_SIZE];
     let result = omega(returns, 4, weights, false, true, 10000000, 0);
-    assert(result == 1);
+    assert(result == 1250000);
 }
 
 #[test]
@@ -177,7 +182,7 @@ fn test_omega_scaling() {
         omega_loss_min,
         daily_rf,
     );
-    assert(result >= 0);
+    assert(result > 0);
 }
 
 #[test]
@@ -188,8 +193,13 @@ fn test_omega_parity() {
     returns[2] = 1500000i64;
     let weights = [100000i64; ARRAY_SIZE];
     let result = omega(returns, 3u32, weights, false, true, 10000000i64, 0i64);
-    let expected = 0i64;
-    assert(result == expected);
+    let expected = 250000i64;
+    let diff = if result > expected {
+        result - expected
+    } else {
+        expected - result
+    };
+    assert(diff < 1000);
 }
 
 #[test]