v2.1 — Risk Metrics Done Right
New: get_risk_metrics tool (37th)
- Sharpe Ratio — properly annualized using trading frequency, risk-free rate subtracted
- Sortino Ratio — downside-only volatility, penalizes negative returns
- Calmar Ratio — annualized return / max drawdown
Validation Checks
Every metric comes with sanity checks:
- Sharpe > 10? → WARNING: suspiciously high
- Sortino >> Sharpe? → CHECK: positive skew verified
- Profit Factor > 100? → WARNING: likely look-ahead bias
- Win Rate > 95%? → WARNING: survivorship bias
- Output: GOOD / SUSPICIOUS / UNRELIABLE
Pipeline Integration
- Monte Carlo phase now computes all risk metrics
- Report shows Sharpe/Sortino/Calmar with colored indicators
- Validation warnings displayed in report