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fix: align crypto lifecycle baseline annualization #235

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Merged
Pigbibi merged 2 commits into from
Sep 19, 2026
Merged

fix: align crypto lifecycle baseline annualization #235

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38997a4
fix(crypto): align lifecycle baselines with natural-day metrics
Pigbibi Sep 19, 2026
de3715a
chore(deps): merge main QPK pin into crypto lifecycle fix
Pigbibi Sep 19, 2026
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11 changes: 10 additions & 1 deletion scripts/run_walk_forward_backtest.py
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Original file line number Diff line number Diff line change
Expand Up @@ -31,6 +31,8 @@
)
DEFAULT_STORE_ROOT = Path("/tmp/crypto_wf_store")
DRIFT_BASELINE_HORIZON_DAYS = 126
CRYPTO_PERIODS_PER_YEAR = 365.25
CRYPTO_CALENDAR_ID = "CRYPTO_NATURAL_DAY"

PROFILE_DEFAULTS: dict[str, dict[str, Any]] = {
PROFILE_NAME: {"min_history_days": DEFAULT_MIN_HISTORY_DAYS, "top_n": 2, "rebalance_every": 7},
Expand Down Expand Up @@ -191,7 +193,12 @@ def _write_return_matrix(

def _baseline_from_return_tail(full_result: Any, returns: pd.Series) -> Any:
tail = returns.tail(DRIFT_BASELINE_HORIZON_DAYS)
metrics = compute_window_metrics(tail, window_days=DRIFT_BASELINE_HORIZON_DAYS)
metrics = compute_window_metrics(
tail,
window_days=DRIFT_BASELINE_HORIZON_DAYS,
periods_per_year=CRYPTO_PERIODS_PER_YEAR,
calendar_id=CRYPTO_CALENDAR_ID,
)
max_drawdown = float(metrics.max_drawdown)
cagr = float(metrics.cagr)
return replace(
Expand All @@ -206,6 +213,8 @@ def _baseline_from_return_tail(full_result: Any, returns: pd.Series) -> Any:
start_date=metrics.start_date,
end_date=metrics.end_date,
observation_count=metrics.observation_count,
periods_per_year=metrics.periods_per_year,
calendar_id=metrics.calendar_id,
)


Expand Down
4 changes: 4 additions & 0 deletions src/crypto_strategies/backtest/orchestrator_runner.py
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Original file line number Diff line number Diff line change
Expand Up @@ -24,6 +24,8 @@
COMBO_DEFAULT_MIN_HISTORY_DAYS = 260
SUPPORTED_PROFILES = frozenset({PROFILE_NAME, CRYPTO_EQUITY_COMBO_PROFILE})
SYNTHETIC_PANEL_GENERATOR_VERSION = "crypto_live_pool_panel.v2"
CRYPTO_PERIODS_PER_YEAR = 365.25
CRYPTO_CALENDAR_ID = "CRYPTO_NATURAL_DAY"


def _synthetic_digest_int(*parts: str) -> int:
Expand Down Expand Up @@ -144,6 +146,8 @@ def _metrics_to_result(
source_script="crypto_strategies.backtest.orchestrator_runner",
computed_at=datetime.now(timezone.utc).isoformat(),
run_duration_seconds=run_duration_seconds,
periods_per_year=CRYPTO_PERIODS_PER_YEAR,
calendar_id=CRYPTO_CALENDAR_ID,
)


Expand Down
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