proof-of-portfolio 0.0.93__tar.gz → 0.0.94__tar.gz

{proof_of_portfolio-0.0.93 → proof_of_portfolio-0.0.94}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: proof-of-portfolio
-Version: 0.0.93
+Version: 0.0.94
 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-0.0.93 → proof_of_portfolio-0.0.94}/proof_of_portfolio/_version.py

@@ -1,2 +1,2 @@
 # This file is auto-generated during build
-__version__ = "0.0.93"
+__version__ = "0.0.94"

{proof_of_portfolio-0.0.93 → proof_of_portfolio-0.0.94}/proof_of_portfolio/circuits/components/src/core/calmar.nr

@@ -18,6 +18,7 @@ pub fn calmar(
     avg_daily_return: i64,
     variance_val: i64,
     ann_excess_return_val: i64,
+    calmar_cap: i64,
 ) -> i64 {
     if !bypass_confidence & actual_len < STATISTICAL_CONFIDENCE_MINIMUM_N {
         CALMAR_NOCONFIDENCE_VALUE
@@ -29,13 +30,11 @@ pub fn calmar(
         if drawdown_normalization_factor == 0 {
             0
         } else {
-            let raw_calmar = ((base_return_percentage * drawdown_normalization_factor) / SCALE)
-                * RATIO_SCALE_FACTOR;
-            let calmar_cap = 10 * RATIO_SCALE_FACTOR;
+            let raw_calmar = (base_return_percentage * drawdown_normalization_factor) / SCALE;
             if raw_calmar > calmar_cap {
-                calmar_cap
+                calmar_cap * RATIO_SCALE_FACTOR
             } else {
-                raw_calmar
+                raw_calmar * RATIO_SCALE_FACTOR
             }
         }
     }
@@ -67,6 +66,7 @@ fn test_calmar_normal_case() {
         avg,
         variance_val,
         ann_excess,
+        1,
     );
     assert(result != 0);
 }
@@ -91,6 +91,7 @@ fn test_calmar_insufficient_data() {
         avg,
         variance_val,
         ann_excess,
+        1,
     );
     assert(result == 0);
 }
@@ -116,6 +117,7 @@ fn test_calmar_exactly_30_days() {
         avg,
         variance_val,
         ann_excess,
+        1,
     );
     assert(result != 0);
 }
@@ -141,6 +143,7 @@ fn test_calmar_negative_returns() {
         avg,
         variance_val,
         ann_excess,
+        1,
     );
     assert(result != 0);
 }

{proof_of_portfolio-0.0.93 → proof_of_portfolio-0.0.94}/proof_of_portfolio/circuits/components/src/core/omega.nr

@@ -33,46 +33,58 @@ pub fn omega(
                 }
             }
 
-            if sum_weights_positive == 0 {
-                sum_weights_positive = OMEGA_LOSS_MINIMUM;
-            }
-            if sum_weights_negative == 0 {
-                sum_weights_negative = OMEGA_LOSS_MINIMUM;
-            }
-
-            let positive_sum_u128 = (product_sum_positive as u128) * (sum_weights_negative as u128);
-            let negative_sum_u128 = ((-product_sum_negative) as u128) * (sum_weights_positive as u128);
-
-            let positive_sum = (positive_sum_u128 / 1000000) as i64;
-            let negative_sum = (negative_sum_u128 / 1000000) as i64;
+            let mean_pos = if sum_weights_positive != 0 {
+                product_sum_positive / sum_weights_positive
+            } else {
+                0
+            };
+            let mean_neg = if sum_weights_negative != 0 {
+                (-product_sum_negative) / sum_weights_negative
+            } else {
+                0
+            };
 
-            let effective_denominator = if negative_sum >= OMEGA_LOSS_MINIMUM {
-                negative_sum
+            let effective_denominator = if mean_neg >= OMEGA_LOSS_MINIMUM {
+                mean_neg
             } else {
                 OMEGA_LOSS_MINIMUM
             };
-            let final_calc = ((positive_sum as u128) * (RATIO_SCALE_FACTOR as u128)) / (effective_denominator as u128);
-            final_calc as i64
+            (mean_pos * RATIO_SCALE_FACTOR) / effective_denominator
         } else {
-            let mut positive_sum: u64 = 0;
-            let mut negative_sum: u64 = 0;
+            let mut positive_sum: i64 = 0;
+            let mut negative_sum: i64 = 0;
+            let mut count_pos: u32 = 0;
+            let mut count_neg: u32 = 0;
 
             for i in 0..ARRAY_SIZE {
                 if (i as u32) < actual_len {
                     if log_returns[i] > 0 {
-                        positive_sum = positive_sum + (log_returns[i] as u64);
+                        positive_sum += log_returns[i];
+                        count_pos += 1;
                     } else if log_returns[i] < 0 {
-                        negative_sum = negative_sum + ((-log_returns[i]) as u64);
+                        negative_sum += (-log_returns[i]);
+                        count_neg += 1;
                     }
                 }
             }
 
-            let effective_denominator = if negative_sum >= OMEGA_LOSS_MINIMUM as u64 {
-                negative_sum
+            let mean_pos = if count_pos > 0 {
+                positive_sum / (count_pos as i64)
+            } else {
+                0
+            };
+            let mean_neg = if count_neg > 0 {
+                negative_sum / (count_neg as i64)
             } else {
-                OMEGA_LOSS_MINIMUM as u64
+                0
+            };
+
+            let effective_denominator = if mean_neg >= OMEGA_LOSS_MINIMUM {
+                mean_neg
+            } else {
+                OMEGA_LOSS_MINIMUM
             };
-            ((positive_sum * RATIO_SCALE_FACTOR as u64) / effective_denominator) as i64
+            (mean_pos * RATIO_SCALE_FACTOR) / effective_denominator
         }
     }
 }

{proof_of_portfolio-0.0.93 → proof_of_portfolio-0.0.94}/proof_of_portfolio/circuits/src/main.nr

@@ -26,6 +26,7 @@ fn main(
     bypass_confidence: pub bool,
     account_size: i64,
     weights: [i64; ARRAY_SIZE],
+    calmar_cap: i64,
 ) -> pub [Field; 9] {
     // Verify all trading signals are included in the merkle tree
     let mut all_verified = true;
@@ -141,6 +142,7 @@ fn main(
         avg_daily_return,
         variance_val,
         ann_excess_return_val,
+        calmar_cap,
     );
     let omega_ratio = omega(
         returns_array,