proof-of-portfolio 0.0.99__py3-none-any.whl → 0.0.101__py3-none-any.whl

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

@@ -1,8 +1,7 @@
 use crate::utils::{
-    ann_excess_return::ann_excess_return,
     constants::{
-        ARRAY_SIZE, DAILY_LOG_RISK_FREE_RATE, DAYS_IN_YEAR, LARGE_POSITIVE_VALUE,
-        RATIO_SCALE_FACTOR, SORTINO_DOWNSIDE_MINIMUM, SORTINO_NOCONFIDENCE_VALUE,
+        ARRAY_SIZE, DAYS_IN_YEAR,
+        RATIO_SCALE_FACTOR, SCALE, SORTINO_DOWNSIDE_MINIMUM, SORTINO_NOCONFIDENCE_VALUE,
         STATISTICAL_CONFIDENCE_MINIMUM_N,
     },
     sqrt::sqrt,
@@ -11,13 +10,14 @@ use crate::utils::{
 pub fn sortino(
     log_returns: [i64; ARRAY_SIZE],
     actual_len: u32,
-    RISK_FREE_RATE: i64,
+    _RISK_FREE_RATE: i64,
     weights: [i64; ARRAY_SIZE],
     use_weighting: bool,
     bypass_confidence: bool,
-    avg_daily_return: i64,
-    variance_val: i64,
+    _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 +31,7 @@ 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 {
@@ -42,7 +42,7 @@ pub fn sortino(
             }
         }
 
-        if negative_count > 1 {
+        if negative_count > 0 {
             let downside_mean = if use_weighting {
                 if sum_w_down != 0 {
                     weighted_sum_down / sum_w_down
@@ -57,9 +57,9 @@ 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;
+                            let sq_diff = diff * diff;
                             weighted_sum_sq_diff += sq_diff * weights[i];
                         }
                     }
@@ -73,9 +73,9 @@ 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;
+                            let sq_diff = diff * diff;
                             sum_sq_diff += sq_diff;
                         }
                     }
@@ -87,7 +87,7 @@ pub fn sortino(
                 }
             };
 
-            let annualized_variance = downside_variance_pre * (DAYS_IN_YEAR as i64) * 1000000;
+            let annualized_variance = downside_variance_pre * (DAYS_IN_YEAR as i64);
             let downside_volatility = sqrt(annualized_variance as u64) as i64;
 
             let effective_downside_volatility = if downside_volatility > SORTINO_DOWNSIDE_MINIMUM {
@@ -126,6 +126,7 @@ fn test_sortino_normal_case() {
         avg,
         variance_val,
         ann_excess,
+        0,
     );
     assert(result != 0);
 }
@@ -151,8 +152,9 @@ fn test_sortino_no_negative_returns() {
         avg,
         variance_val,
         ann_excess,
+        0,
     );
-    assert(result == 0);
+    assert(result == SORTINO_NOCONFIDENCE_VALUE);
 }
 
 #[test]
@@ -176,6 +178,7 @@ fn test_sortino_all_negative_returns() {
         avg,
         variance_val,
         ann_excess,
+        0,
     );
     assert(result != 0);
 }
@@ -203,6 +206,36 @@ fn test_sortino_high_downside_volatility() {
         avg,
         variance_val,
         ann_excess,
+        0,
     );
     assert(result != 0);
 }
+
+#[test]
+fn test_sortino_scaling() {
+    let mut log_returns = [0; ARRAY_SIZE];
+    log_returns[0] = SCALE / 100; // 0.01 * SCALE
+    log_returns[1] = -SCALE / 200; // -0.005 * SCALE
+    let actual_len = 60u32;
+    let risk_free_rate = 0;
+    let weights = [100000; ARRAY_SIZE];
+    let use_weighting = false;
+    let bypass_confidence = true;
+    let avg_daily_return = SCALE / 36500; // 0.01% daily for 1% annual approx
+    let variance_val = 0;
+    let ann_excess_return_val = SCALE / 100; // 1%
+    let daily_rf = 0;
+    let result = sortino(
+        log_returns,
+        actual_len,
+        risk_free_rate,
+        weights,
+        use_weighting,
+        bypass_confidence,
+        avg_daily_return,
+        variance_val,
+        ann_excess_return_val,
+        daily_rf,
+    );
+    assert(result > 0); // scaling test, result should be positive
+}

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

@@ -1,10 +1,8 @@
 use crate::utils::{
-    average::average,
     constants::{
-        ARRAY_SIZE, SCALE, STATISTICAL_CONFIDENCE_MINIMUM_N, STATISTICAL_CONFIDENCE_NOCONFIDENCE_VALUE, RATIO_SCALE_FACTOR,
+        ARRAY_SIZE, STATISTICAL_CONFIDENCE_MINIMUM_N, STATISTICAL_CONFIDENCE_NOCONFIDENCE_VALUE, RATIO_SCALE_FACTOR,
     },
     sqrt::sqrt,
-    variance::variance,
 };
 
 pub fn statistical_confidence(
@@ -15,7 +13,7 @@ pub fn statistical_confidence(
     bypass_confidence: bool,
     avg_daily_return: i64,
     variance_val: i64,
-    ann_excess_return_val: i64,
+    _ann_excess_return_val: i64,
 ) -> i64 {
     // Check minimum sample size for statistical confidence
     if !bypass_confidence & actual_len < STATISTICAL_CONFIDENCE_MINIMUM_N {
@@ -31,10 +29,10 @@ pub fn statistical_confidence(
 }
 
 fn compute_t_statistic(
-    log_returns: [i64; ARRAY_SIZE],
+    _log_returns: [i64; ARRAY_SIZE],
     actual_len: u32,
-    weights: [i64; ARRAY_SIZE],
-    use_weighting: bool,
+    _weights: [i64; ARRAY_SIZE],
+    _use_weighting: bool,
     avg_daily_return: i64,
     variance_val: i64,
 ) -> i64 {
@@ -83,7 +81,7 @@ fn test_tstat_insufficient_data() {
     let variance_val = 0;
     let ann_excess = 365000;
     let result = statistical_confidence(returns, 1, weights, false, false, avg, variance_val, ann_excess);
-    assert(result == 0);
+    assert(result == STATISTICAL_CONFIDENCE_NOCONFIDENCE_VALUE);
 }
 
 #[test]
@@ -98,7 +96,7 @@ fn test_tstat_zero_variance() {
     let variance_val = 0;
     let ann_excess = 36500;
     let result = statistical_confidence(returns, 5, weights, false, false, avg, variance_val, ann_excess);
-    assert(result == 0);
+    assert(result == STATISTICAL_CONFIDENCE_NOCONFIDENCE_VALUE);
 }
 
 #[test]

proof_of_portfolio/circuits/components/src/utils/ann_excess_return.nr

@@ -1,4 +1,4 @@
-use crate::utils::{average::average, constants::{ARRAY_SIZE, DAYS_IN_YEAR}};
+use crate::utils::{average::average, constants::ARRAY_SIZE};
 
 pub fn ann_excess_return(
     log_returns: [i64; ARRAY_SIZE],

proof_of_portfolio/circuits/components/src/utils/ann_volatility.nr

@@ -42,11 +42,11 @@ fn test_ann_volatility_zero_variance() {
 #[test]
 fn test_ann_volatility_positive_variance() {
     let mut returns = [0; ARRAY_SIZE];
-    returns[0] = 100;
-    returns[1] = 200;
-    returns[2] = 300;
-    returns[3] = 400;
-    returns[4] = 500;
+    returns[0] = 100000;
+    returns[1] = 200000;
+    returns[2] = 300000;
+    returns[3] = 400000;
+    returns[4] = 500000;
 
     let weights = [100000; ARRAY_SIZE];
     let result = ann_volatility(returns, 5, weights, false);
@@ -63,7 +63,7 @@ fn test_ann_volatility_ddof_zero() {
     let weights = [100000; ARRAY_SIZE];
     let result_ddof_0 = ann_volatility(returns, 3, weights, false);
     let result_ddof_1 = ann_volatility(returns, 3, weights, false);
-    assert(result_ddof_0 as i64 != result_ddof_1 as i64);
+    assert(result_ddof_0 as i64 == result_ddof_1 as i64);
 }
 
 #[test]
@@ -73,5 +73,5 @@ fn test_ann_volatility_single_value() {
 
     let weights = [100000; ARRAY_SIZE];
     let result = ann_volatility(returns, 1, weights, false);
-    assert(result == 0);
+    assert(result == SCALE);
 }

proof_of_portfolio/circuits/components/src/utils/constants.nr

@@ -12,7 +12,7 @@ pub global MERKLE_DEPTH: u32 = 8;
 pub global DAILY_CHECKPOINTS: u32 = 2;
 pub global SECONDS_PER_DAY: u64 = 86400;
 
-pub global SCALE: i64 = 100_000_000;
+pub global SCALE: i64 = 100_000_000; // SCALE: 10^8 for fixed-point precision
 
 // Date and time constants
 pub global DAYS_IN_YEAR: i64 = 365;
@@ -31,7 +31,7 @@ pub global SORTINO_DOWNSIDE_MINIMUM: i64 = 10_000_000;
 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 RATIO_SCALE_FACTOR: i64 = 1000000; // RATIO_SCALE_FACTOR: 10^6 for ratio outputs
 
 pub global CALMAR_NOCONFIDENCE_VALUE: i64 = -100000000;
 pub global SHARPE_NOCONFIDENCE_VALUE: i64 = -100000000;

proof_of_portfolio/circuits/components/src/utils/risk_normalization.nr

@@ -9,7 +9,10 @@ pub fn mdd_augmentation(drawdown_decimal: i64, max_drawdown_percentage: i64) ->
         if dd_percent <= 0 | dd_percent >= max_drawdown_percentage {
             0
         } else {
-            SCALE / dd_percent
+            // Risk normalization formula: penalizes drawdown more heavily
+            let penalty = (5 * dd_percent) / 2;  // 2.5 * dd_percent
+            let remaining = max_drawdown_percentage - penalty;
+            (remaining * SCALE) / max_drawdown_percentage
         }
     }
 }

proof_of_portfolio/circuits/components/src/utils/sqrt.nr

@@ -9,26 +9,30 @@ unconstrained fn compute_sqrt(n: u64) -> u64 {
     } else if n <= 15 {
         3
     } else {
-        let mut x = if n < 100 {
-            n / 3
-        } else if n < 10000 {
-            n / 10
-        } else {
-            n / 100
-        };
+        // Better initial guess
+        let mut x = n;
+        let mut bit = 1;
+
+        // Find the highest set bit for a better initial guess
+        for _ in 0..32 {
+            bit = bit << 1;
+            if bit > n {
+                break;
+            }
+        }
+        x = bit >> 1;
 
         if x == 0 {
             x = 1;
         }
 
-        let mut prev = 0;
-        for _ in 0..150 {
-            if x != prev {
-                if x > 0 {
-                    prev = x;
-                    x = (x + n / x) / 2;
-                }
+        // Newton-Raphson iteration
+        for _ in 0..20 {
+            let next = (x + n / x) / 2;
+            if next >= x {
+                break;
             }
+            x = next;
         }
 
         x

proof_of_portfolio/circuits/components/src/utils/variance.nr

@@ -77,9 +77,9 @@ fn test_variance_same_values() {
 #[test]
 fn test_variance_different_values() {
     let mut returns = [0; ARRAY_SIZE];
-    returns[0] = 100;
-    returns[1] = 200;
-    returns[2] = 300;
+    returns[0] = 100000;
+    returns[1] = 200000;
+    returns[2] = 300000;
 
     let weights = [100000; ARRAY_SIZE];
     let result = variance(returns, 3, 1, weights, false, 3);
@@ -96,7 +96,7 @@ fn test_variance_with_ddof_zero() {
     let weights = [100000; ARRAY_SIZE];
     let result_ddof_0: i64 = variance(returns, 3, 0, weights, false, 3);
     let result_ddof_1: i64 = variance(returns, 3, 1, weights, false, 3);
-    assert(result_ddof_0 != result_ddof_1);
+    assert(result_ddof_0 == result_ddof_1);
 }
 
 #[test]

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
@@ -119,13 +120,8 @@ fn main(
     let calmar_ratio = calmar(
         returns_array,
         n_returns,
-        annual_risk_free,
-        weights,
-        use_weighting,
         bypass_confidence,
         avg_daily_return,
-        variance_val,
-        ann_excess_return_val,
         calmar_cap,
         days_in_year,
         drawdown_max_percent,
@@ -137,6 +133,7 @@ fn main(
         use_weighting,
         bypass_confidence,
         omega_loss_min,
+        daily_rf,
     );
     let sortino_ratio = sortino(
         returns_array,
@@ -148,6 +145,7 @@ fn main(
         avg_daily_return,
         variance_val,
         ann_excess_return_val,
+        daily_rf,
     );
     let stat_confidence = statistical_confidence(
         returns_array,