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fix(backtest): preserve negative Calmar in Crypto adapters #228

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Merged
Pigbibi merged 1 commit into from
Sep 7, 2026
Merged

fix(backtest): preserve negative Calmar in Crypto adapters #228

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2 changes: 1 addition & 1 deletion src/crypto_strategies/backtest/orchestrator_runner.py
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Original file line number Diff line number Diff line change
Expand Up @@ -125,7 +125,7 @@ def _metrics_to_result(
raise ImportError("quant_platform_kit is required to build BacktestResult")
cagr = float(metrics.get("CAGR") or 0.0)
max_drawdown = float(metrics.get("Max Drawdown") or 0.0)
calmar = abs(cagr / max_drawdown) if max_drawdown else None
calmar = cagr / abs(max_drawdown) if max_drawdown else None
return BacktestResult(
strategy_profile=strategy_profile,
domain="crypto",
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17 changes: 17 additions & 0 deletions tests/test_orchestrator_runner.py
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Original file line number Diff line number Diff line change
Expand Up @@ -16,6 +16,7 @@
SUPPORTED_PROFILES,
CryptoEquityComboBacktestRunner,
CryptoLivePoolBacktestRunner,
_metrics_to_result,
build_backtest_runner,
)
from crypto_strategies.strategies.crypto_equity_combo import PROFILE_NAME as CRYPTO_EQUITY_COMBO_PROFILE
Expand Down Expand Up @@ -127,6 +128,22 @@ def test_walk_forward_combo_profile(self) -> None:
class AccountingMetricsRegressionTests(unittest.TestCase):
"""QSL-20260906-006 / 007: initial NAV drawdown + fee-constrained share ledger."""

def test_calmar_keeps_cagr_sign_for_live_pool_and_combo(self) -> None:
cases = ((-0.1, -0.2, -0.5), (0.1, -0.2, 0.5), (0.0, -0.2, 0.0), (0.1, 0.0, None))
for profile in (PROFILE_NAME, CRYPTO_EQUITY_COMBO_PROFILE):
for cagr, max_drawdown, expected in cases:
with self.subTest(profile=profile, cagr=cagr, max_drawdown=max_drawdown):
result = _metrics_to_result(
strategy_profile=profile,
params={},
metrics={"CAGR": cagr, "Max Drawdown": max_drawdown},
start_date=date(2024, 1, 1),
end_date=date(2024, 12, 31),
run_duration_seconds=0.0,
)
self.assertEqual(result.calmar_ratio, expected)
self.assertIsNone(result.validation_identity)

def test_max_drawdown_includes_initial_nav(self) -> None:
from crypto_strategies.backtest.live_pool_simulator import _performance_metrics

Expand Down