test: define versioned research artifact contract

tests/test_metrics.py

@@ -14,6 +14,7 @@ from quant_engine.metrics import (
     calmar_ratio,
     max_drawdown,
     sharpe_ratio,
+    sortino_ratio,
     summary,
     win_rate,
 )
@@ -51,6 +52,18 @@ def test_zero_volatility_metrics_return_zero() -> None:
     assert calmar_ratio(returns) == 0.0
 
 
+def test_sortino_ratio_uses_all_sessions_for_downside_deviation() -> None:
+    returns = pd.Series([0.02, -0.01, 0.0, -0.03])
+    downside = np.minimum(returns.to_numpy(), 0.0)
+    downside_deviation = np.sqrt(np.mean(np.square(downside))) * np.sqrt(
+        TRADING_DAYS_PER_YEAR
+    )
+
+    assert sortino_ratio(returns) == pytest.approx(
+        annualized_return(returns) / downside_deviation
+    )
+
+
 def test_max_drawdown_includes_loss_from_initial_capital() -> None:
     returns = pd.Series([-0.20, 0.0])