proof-of-portfolio 0.0.98__py3-none-any.whl → 0.0.100__py3-none-any.whl

proof_of_portfolio/_version.py

@@ -1,2 +1,2 @@
 # This file is auto-generated during build
-__version__ = "0.0.98"
+__version__ = "0.0.100"

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

@@ -31,7 +31,7 @@ fn exp_scaled(x_scaled: i64) -> i64 {
 }
 
 pub fn daily_max_drawdown(log_returns: [i64; ARRAY_SIZE], actual_len: u32) -> i64 {
-    let mut max_drawdown_factor = SCALE;
+    let mut max_drawdown_decimal: i64 = 0;
 
     if actual_len > 0 {
         let mut cumulative_sum: i64 = 0;
@@ -45,21 +45,19 @@ pub fn daily_max_drawdown(log_returns: [i64; ARRAY_SIZE], actual_len: u32) -> i6
                     running_max = cumulative_sum;
                 }
 
-                if running_max > 0 {
-                    let cumulative_value = exp_scaled(cumulative_sum);
-                    let max_value = exp_scaled(running_max);
-
-                    let drawdown_factor = (cumulative_value * SCALE) / max_value;
-
-                    if drawdown_factor < max_drawdown_factor {
-                        max_drawdown_factor = drawdown_factor;
+                let delta_scaled = cumulative_sum - running_max;
+                if delta_scaled < 0 {
+                    let exp_delta = exp_scaled(delta_scaled);
+                    let dd_decimal_i = SCALE - exp_delta;
+                    if dd_decimal_i > max_drawdown_decimal {
+                        max_drawdown_decimal = dd_decimal_i;
                     }
                 }
             }
         }
     }
 
-    SCALE - max_drawdown_factor
+    max_drawdown_decimal
 }
 
 #[test]

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

@@ -9,6 +9,7 @@ pub fn omega(
     use_weighting: bool,
     bypass_confidence: bool,
     omega_loss_min: i64,
+    daily_rf: i64,
 ) -> i64 {
     if !bypass_confidence & actual_len < STATISTICAL_CONFIDENCE_MINIMUM_N {
         OMEGA_NOCONFIDENCE_VALUE
@@ -23,10 +24,10 @@ pub fn omega(
                 if (i as u32) < actual_len {
                     let weight = weights[i];
                     let log_return = log_returns[i];
-                    if log_return > 0 {
+                    if log_return > daily_rf {
                         product_sum_positive += log_return * weight;
                         sum_weights_positive += weight;
-                    } else if log_return < 0 {
+                    } else if log_return < daily_rf {
                         product_sum_negative += log_return * weight;
                         sum_weights_negative += weight;
                     }
@@ -58,10 +59,10 @@ pub fn omega(
 
             for i in 0..ARRAY_SIZE {
                 if (i as u32) < actual_len {
-                    if log_returns[i] > 0 {
+                    if log_returns[i] > daily_rf {
                         positive_sum += log_returns[i];
                         count_pos += 1;
-                    } else if log_returns[i] < 0 {
+                    } else if log_returns[i] < daily_rf {
                         negative_sum += (-log_returns[i]);
                         count_neg += 1;
                     }
@@ -97,7 +98,7 @@ fn test_omega_all_positive() {
     }
 
     let weights = [100000; ARRAY_SIZE];
-    let result = omega(returns, 5, weights, false, false, 10000000);
+    let result = omega(returns, 5, weights, false, false, 10000000, 0);
     assert(result == 10000000);
 }
 
@@ -109,7 +110,7 @@ fn test_omega_all_negative() {
     }
 
     let weights = [100000; ARRAY_SIZE];
-    let result = omega(returns, 5, weights, false, false, 10000000);
+    let result = omega(returns, 5, weights, false, false, 10000000, 0);
     assert(result == 0);
 }
 
@@ -122,7 +123,7 @@ fn test_omega_mixed_returns() {
     returns[3] = -300;
 
     let weights = [100000; ARRAY_SIZE];
-    let result = omega(returns, 4, weights, false, false, 10000000);
+    let result = omega(returns, 4, weights, false, false, 10000000, 0);
     assert(result == 22500000);
 }
 
@@ -134,6 +135,6 @@ fn test_omega_zero_returns() {
     }
 
     let weights = [100000; ARRAY_SIZE];
-    let result = omega(returns, 5, weights, false, false, 10000000);
+    let result = omega(returns, 5, weights, false, false, 10000000, 0);
     assert(result == 10000000);
 }

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

@@ -18,6 +18,7 @@ pub fn sortino(
     avg_daily_return: i64,
     variance_val: i64,
     ann_excess_return_val: i64,
+    daily_rf: i64,
 ) -> i64 {
     if !bypass_confidence & actual_len < STATISTICAL_CONFIDENCE_MINIMUM_N {
         SORTINO_NOCONFIDENCE_VALUE
@@ -31,7 +32,7 @@ pub fn sortino(
 
         for i in 0..ARRAY_SIZE {
             if (i as u32) < actual_len {
-                if log_returns[i] < DAILY_LOG_RISK_FREE_RATE {
+                if log_returns[i] < daily_rf {
                     downside_returns_sum += log_returns[i];
                     negative_count += 1;
                     if use_weighting {
@@ -57,7 +58,7 @@ pub fn sortino(
                 let mut weighted_sum_sq_diff: i64 = 0;
                 for i in 0..ARRAY_SIZE {
                     if (i as u32) < actual_len {
-                        if log_returns[i] < DAILY_LOG_RISK_FREE_RATE {
+                        if log_returns[i] < daily_rf {
                             let diff = log_returns[i] - downside_mean;
                             let sq_diff = (diff * diff) / 1000000;
                             weighted_sum_sq_diff += sq_diff * weights[i];
@@ -73,7 +74,7 @@ pub fn sortino(
                 let mut sum_sq_diff: i64 = 0;
                 for i in 0..ARRAY_SIZE {
                     if (i as u32) < actual_len {
-                        if log_returns[i] < DAILY_LOG_RISK_FREE_RATE {
+                        if log_returns[i] < daily_rf {
                             let diff = log_returns[i] - downside_mean;
                             let sq_diff = (diff * diff) / 1000000;
                             sum_sq_diff += sq_diff;
@@ -126,6 +127,7 @@ fn test_sortino_normal_case() {
         avg,
         variance_val,
         ann_excess,
+        0,
     );
     assert(result != 0);
 }
@@ -151,6 +153,7 @@ fn test_sortino_no_negative_returns() {
         avg,
         variance_val,
         ann_excess,
+        0,
     );
     assert(result == 0);
 }
@@ -176,6 +179,7 @@ fn test_sortino_all_negative_returns() {
         avg,
         variance_val,
         ann_excess,
+        0,
     );
     assert(result != 0);
 }
@@ -203,6 +207,7 @@ fn test_sortino_high_downside_volatility() {
         avg,
         variance_val,
         ann_excess,
+        0,
     );
     assert(result != 0);
 }

proof_of_portfolio/circuits/src/main.nr

@@ -29,6 +29,7 @@ fn main(
     days_in_year: i64,
     omega_loss_min: i64,
     annual_risk_free: i64,
+    daily_rf: i64,
     drawdown_max_percent: i64,
 ) -> pub [Field; 9] {
     // Verify all trading signals are included in the merkle tree
@@ -137,6 +138,7 @@ fn main(
         use_weighting,
         bypass_confidence,
         omega_loss_min,
+        daily_rf,
     );
     let sortino_ratio = sortino(
         returns_array,
@@ -148,6 +150,7 @@ fn main(
         avg_daily_return,
         variance_val,
         ann_excess_return_val,
+        daily_rf,
     );
     let stat_confidence = statistical_confidence(
         returns_array,