proof-of-portfolio 0.0.84__tar.gz → 0.0.86__tar.gz

{proof_of_portfolio-0.0.84 → proof_of_portfolio-0.0.86}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: proof-of-portfolio
-Version: 0.0.84
+Version: 0.0.86
 Summary: Zero-Knowledge Proof framework for verifiable, private portfolio performance metrics
 Author-email: "Inference Labs, Inc." <info@inferencelabs.com>
 Requires-Python: >=3.10

{proof_of_portfolio-0.0.84 → proof_of_portfolio-0.0.86}/proof_of_portfolio/_version.py

@@ -1,2 +1,2 @@
 # This file is auto-generated during build
-__version__ = "0.0.84"
+__version__ = "0.0.86"

{proof_of_portfolio-0.0.84 → proof_of_portfolio-0.0.86}/proof_of_portfolio/circuits/components/src/utils/constants.nr

@@ -12,8 +12,7 @@ pub global MERKLE_DEPTH: u32 = 8;
 pub global DAILY_CHECKPOINTS: u32 = 2;
 pub global SECONDS_PER_DAY: u64 = 86400;
 
-// Base scaling factor (10^7)
-pub global SCALE: i64 = 10_000_000;
+pub global SCALE: i64 = 1_000_000_000;
 
 // Date and time constants
 pub global DAYS_IN_YEAR: i64 = 365;
@@ -21,25 +20,24 @@ pub global STATISTICAL_CONFIDENCE_MINIMUM_N: u32 = 60;
 
 // Risk-free rate (as basis points, 419 = 4.19%)
 pub global ANNUAL_RISK_FREE_RATE_BP: i64 = 419;
-pub global DAILY_LOG_RISK_FREE_RATE: i64 = 2351; // (0.0419 / 365) * SCALE
+pub global DAILY_LOG_RISK_FREE_RATE: i64 = 114794;
 
 // Minimum values for ratio calculations (scaled for integer math)
-pub global SHARPE_STDDEV_MINIMUM: i64 = 100000; // 0.01 * 10^7
-pub global OMEGA_LOSS_MINIMUM: i64 = 100000; // 0.01 * 10^7
-pub global SORTINO_DOWNSIDE_MINIMUM: i64 = 100000; // 0.01 * 10^7
+pub global SHARPE_STDDEV_MINIMUM: i64 = 10_000_000;
+pub global OMEGA_LOSS_MINIMUM: i64 = 10_000_000;
+pub global SORTINO_DOWNSIDE_MINIMUM: i64 = 10_000_000;
 
 // Scaling factors for precision in integer calculations
-pub global OMEGA_SCALE_FACTOR: i64 = 1000000000; // 1B for Omega precision
-pub global SHARPE_SCALE_FACTOR: i64 = 1000000; // 1M for Sharpe precision
-pub global LARGE_POSITIVE_VALUE: i64 = 1000000000; // Used for ratios when denominator is zero/minimal
-pub global RATIO_SCALE_FACTOR: i64 = 1000000; // Standard 1M scaling for ratios
-
-// Default return values for insufficient confidence (will be divided by RATIO_SCALE_FACTOR)
-pub global CALMAR_NOCONFIDENCE_VALUE: i64 = -100000000; // -100 * 10^6 -> -100 after scaling
-pub global SHARPE_NOCONFIDENCE_VALUE: i64 = -100000000; // -100 * 10^6 -> -100 after scaling
-pub global OMEGA_NOCONFIDENCE_VALUE: i64 = 0; // Omega uses 0.0 in subnet
-pub global SORTINO_NOCONFIDENCE_VALUE: i64 = -100000000; // -100 * 10^6 -> -100 after scaling
-pub global STATISTICAL_CONFIDENCE_NOCONFIDENCE_VALUE: i64 = -100000000; // -100 * 10^6 -> -100 after scaling
+pub global OMEGA_SCALE_FACTOR: i64 = 1000000000;
+pub global SHARPE_SCALE_FACTOR: i64 = 1000000;
+pub global LARGE_POSITIVE_VALUE: i64 = 1000000000;
+pub global RATIO_SCALE_FACTOR: i64 = 1000000;
+
+pub global CALMAR_NOCONFIDENCE_VALUE: i64 = -100000000;
+pub global SHARPE_NOCONFIDENCE_VALUE: i64 = -100000000;
+pub global OMEGA_NOCONFIDENCE_VALUE: i64 = 0;
+pub global SORTINO_NOCONFIDENCE_VALUE: i64 = -100000000;
+pub global STATISTICAL_CONFIDENCE_NOCONFIDENCE_VALUE: i64 = -100000000;
 
 // Position and trading constants
 pub global PRICE_SCALE: u64 = 1_000_000_000_000;

{proof_of_portfolio-0.0.84 → proof_of_portfolio-0.0.86}/proof_of_portfolio/circuits/src/main.nr

@@ -96,7 +96,24 @@ fn main(
         use_weighting,
     );
 
-    let avg_daily_pnl = avg_daily_return;
+    let mut daily_pnl_array = [0; ARRAY_SIZE];
+    for i in 0..MAX_DAYS {
+        if (i as u32) < n_returns {
+            let log_return = returns_array[i];
+            let x_squared = (log_return * log_return) / SCALE;
+            let x_cubed = (x_squared * log_return) / SCALE;
+            let exp_minus_one = log_return + (x_squared / 2) + (x_cubed / 6);
+            daily_pnl_array[i] = (exp_minus_one * account_size) / SCALE;
+        }
+    }
+
+    let avg_daily_pnl = average(
+        daily_pnl_array,
+        n_returns,
+        weights,
+        use_weighting,
+        sum_of_weights,
+    );
 
     let sharpe_ratio = sharpe(
         returns_array,
@@ -150,16 +167,7 @@ fn main(
         ann_excess_return_val,
     );
 
-    // Calculate PnL from cumulative log returns
-    let mut cumulative_log_return: i64 = 0;
-    for i in 0..MAX_DAYS {
-        if (i as u32) < n_returns {
-            cumulative_log_return += log_returns[i];
-        }
-    }
-
-    // Convert log return to linear return and calculate PnL
-    let pnl_score_result = (account_size * cumulative_log_return) / SCALE;
+    let pnl_score_result = avg_daily_pnl;
 
     // Build merkle root from returns
     let mut leaves = [0; MAX_RETURNS];