Sharpe/Sortino were annualized with √252 (daily trading assumption).
For intraday strategies with hundreds of trades per eval window, this
inflated magnitudes ~10x, causing Sharpe=-1.4 while Omega=10.9 on
the same return series — mathematically contradictory.
Fix: scale by √N where N = actual number of returns in the series.
This gives the Sharpe of the evaluation window, not a synthetic annual.
- evaluation/metrics.rs: Sharpe, Sortino, Calmar all fixed
- trainer/metrics.rs: val_loss Sharpe (compute_validation_loss)
- ppo.rs: epoch Sharpe proxy
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
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