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>
dennisthiessenandClaude Opus 5
442dc3f04b