jgrusewski 7bfceda441 fix(metrics): unify return basis — total_return from same series as Omega ...

total_return_pct used simple pnl/initial_capital (arithmetic).
Omega/Sharpe/Sortino used pnl/current_equity (compounding per-trade).
These diverge after drawdown: Omega>1 but negative total_return was
mathematically impossible yet appeared in every run.

Fix: total_return_pct = ∏(1+r_i)-1 using the same per-trade returns
that feed Omega. Now Omega>1 ⟺ positive total_return. Always.

Single-pass equity curve + returns computation. No separate loops.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>

2026-03-29 20:03:48 +02:00

..

engine.rs

fix(clippy): resolve all clippy warnings across entire workspace (--all-targets)

2026-03-13 10:18:35 +01:00

metrics.rs

fix(metrics): unify return basis — total_return from same series as Omega

2026-03-29 20:03:48 +02:00

mod.rs

refactor(ml): split monolith into 9 sub-crates + delete dead code

2026-03-08 15:17:22 +01:00

report.rs

fix(clippy): resolve misc warnings across ML crates

2026-03-10 12:12:14 +01:00