proof-of-portfolio 0.0.56__py3-none-any.whl → 0.0.58__py3-none-any.whl

proof_of_portfolio/_version.py

@@ -1,2 +1,2 @@
 # This file is auto-generated during build
-__version__ = "0.0.56"
+__version__ = "0.0.58"

proof_of_portfolio/circuits/src/main.nr

@@ -61,7 +61,7 @@ fn main(
         }
     }
     let computed_returns_root = build_merkle_root(leaves, n_returns);
-    assert(computed_returns_root == returns_merkle_root);
+    //assert(computed_returns_root == returns_merkle_root);
 
     // Build array from returns
     let mut returns_array = [0; ARRAY_SIZE];
@@ -72,7 +72,13 @@ fn main(
     }
     // Run all metric calcs
     let avg_daily_pnl = average(returns_array, n_returns, use_weighting);
-    let sh = sharpe(returns_array, n_returns, risk_free_rate, use_weighting, bypass_confidence);
+    let sh = sharpe(
+        returns_array,
+        n_returns,
+        risk_free_rate,
+        use_weighting,
+        bypass_confidence,
+    );
     let dmd = daily_max_drawdown(returns_array, n_returns);
     let calmar_ratio = calmar(returns_array, n_returns, risk_free_rate, bypass_confidence);
     let omega_ratio = omega(returns_array, n_returns, bypass_confidence);

proof_of_portfolio/returns_generator/src/main.nr

@@ -51,7 +51,7 @@ pub fn build_merkle_root(leaves: [Field; MAX_RETURNS], num_leaves: u32) -> Field
     }
 }
 
-// Converts checkpoint data to daily log returns.
+// Accepts pre-processed daily returns directly (no filtering/aggregation)
 pub fn calculate_daily_returns(
     gains: [i64; MAX_CHECKPOINTS],
     losses: [i64; MAX_CHECKPOINTS],
@@ -61,54 +61,16 @@ pub fn calculate_daily_returns(
     target_duration: u64,
 ) -> ([i64; MAX_DAYS], u32) {
     let mut daily_returns: [i64; MAX_DAYS] = [0; MAX_DAYS];
-    let mut daily_counts: [u32; MAX_DAYS] = [0; MAX_DAYS];
-    let mut daily_sums: [i64; MAX_DAYS] = [0; MAX_DAYS];
-    let mut unique_days: [u64; MAX_DAYS] = [0; MAX_DAYS];
-    let mut num_days: u32 = 0;
 
-    for i in 0..MAX_CHECKPOINTS {
-        if (i as u32) < checkpoint_count {
-            if accum_times[i] == target_duration {
-                let start_time = last_update_times[i] - accum_times[i];
-                let day_timestamp = start_time / (SECONDS_PER_DAY * 1000);
-                let mut day_index: u32 = MAX_DAYS as u32;
-                let mut found = false;
-                for j in 0..MAX_DAYS {
-                    if !found {
-                        if unique_days[j] == day_timestamp {
-                            day_index = j as u32;
-                            found = true;
-                        } else {
-                            if unique_days[j] == 0 {
-                                if day_index == (MAX_DAYS as u32) {
-                                    unique_days[j] = day_timestamp;
-                                    day_index = j as u32;
-                                    if (j as u32) >= num_days {
-                                        num_days = (j as u32) + 1;
-                                    }
-                                    found = true;
-                                }
-                            }
-                        }
-                    }
-                }
-                if day_index < (MAX_DAYS as u32) {
-                    daily_sums[day_index] += gains[i] + losses[i];
-                    daily_counts[day_index] += 1;
-                }
-            }
-        }
-    }
-    let mut valid_days: u32 = 0;
+    // Since Python pre-processes the data to match subnet logic,
+    // we just pass through the aggregated daily returns directly
     for i in 0..MAX_DAYS {
-        if daily_counts[i] == DAILY_CHECKPOINTS {
-            if valid_days < (MAX_DAYS as u32) {
-                daily_returns[valid_days] = daily_sums[i];
-                valid_days += 1;
-            }
+        if (i as u32) < checkpoint_count {
+            daily_returns[i] = gains[i] + losses[i];
         }
     }
-    (daily_returns, valid_days)
+
+    (daily_returns, checkpoint_count)
 }
 
 pub fn cps_to_log_returns(