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Add versioned zero-target downside deviation without changing legacy runs - #24

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PureSaber merged 1 commit into
mainfrom
codex/closeout-correctness-20261013
Oct 13, 2026
Merged

PureSaber merged 1 commit into
mainfrom
codex/closeout-correctness-20261013

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@PureSaber PureSaber commented Oct 13, 2026 •

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The historical downside_vol_20d is a standard deviation of clipped returns, which can be zero for constant losses. Preserve and label that historical formula, and add opt-in downside_deviation_20d_v2 using sqrt(252 * mean(min(return, 0)^2)) over all 20 returns. Keep gaps missing, register its volatility family, and leave default experiments unchanged.

Validation: Windows Python 3.12.14, isolated environment installed from this repository's committed requirements.lock, pip check, repository Ruff check/format and complete test suite: 233 passed in 38.26s. Relevant repository coverage gates passed.

Hosted CI is tracked separately from these local results. No workflow, billing setting, protection rule or dependency pin was changed.

@PureSaber
PureSaber merged commit b3c01f5 into main Oct 13, 2026
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