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feat(backtest): add Sortino, Gain-to-Pain and dollar profit factor

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Three portfolio metrics computed where their inputs already live in
_simulate_portfolio: Sortino off the existing daily return series, Gain-to-Pain
off a monthly aggregation of the equity curve, profit factor off closed-trade
dollar P&L.

Gain-to-Pain follows Schwager — sum of ALL monthly returns over the absolute
sum of the negative ones. The profit-factor-shaped variant,
sum(positive)/|sum(negative)|, sits exactly 1.0 higher for every input since
sum(all) = sum(pos) - |sum(neg)|; the test asserts against both so the wrong one
cannot pass. Sortino divides by len(rets), the full-sample lower partial moment,
not by the count of down days, which would shrink the denominator and inflate
the ratio.

No MAR field: calmar is already CAGR / max drawdown, the same number under the
other name (docs/research/effective-risk-floor-ab.md).

All three keys are emitted unconditionally even when None — the UI reads an
absent key as "report predates these metrics", so presence is a contract.

Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
This commit is contained in:
dennisthiessen
2026-08-11 22:09:10 +02:00
co-authored by Claude Opus 5
parent 247a7889b9
commit 442dc3f04b
3 changed files with 173 additions and 0 deletions
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