Previous formula was: max(absolute_drawdown) / initial_capital, which
exceeds 100% when the portfolio grows then drops (e.g. from 600k to 300k
on a 100k initial = 300% drawdown, which is nonsensical).
Fixed to use drawdown_pct (drawdown / peak) which is always in [0, 1].
This correctly measures the maximum percentage drop from the highest
equity peak, matching the standard financial definition.
Also added regression test: test_max_drawdown_never_exceeds_100_pct.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
- Implement PerformanceAnalyzer class with compute() method
- Calculate 19 performance metrics: total_return, annual_return, max_drawdown,
max_dd_duration, sharpe, sortino, calmar, trade statistics, and volatility
- Handle edge cases: empty data, no negative returns (sortino=999), no drawdown (calmar=999)
- Add 20 comprehensive unit tests covering all metrics
- Type annotations use NDArray pattern for mypy strict compliance
- All tests pass, mypy and ruff checks clean
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
