{
  "schema": "canli.paper-evidence.v0",
  "generated_at": "2026-10-11T16:26:57Z",
  "capital": {
    "kind": "PAPER",
    "execution": "MIXED",
    "venue": "Alpaca paper accounts for equity and futures sleeves; locally simulated fills for crypto perpetuals",
    "notes": "Three sleeves reconcile against dedicated Alpaca paper accounts. The crypto sleeve is filled locally against point-in-time venue data and is never presented as broker-executed."
  },
  "identity": {
    "name": "ALPHAC Cross-Asset Book",
    "kind": "BOOK",
    "preregistered": false,
    "constituents": [
      "alphamax",
      "managed_futures",
      "alphavintage"
    ]
  },
  "period": {
    "first_observation": "2026-09-24",
    "last_observation": "2026-10-11",
    "observation_count": 13,
    "frequency": "DAILY",
    "calendar": "UTC daily marks; sleeves trade on their own venue calendars"
  },
  "returns": {
    "basis": "NET_OF_MODELLED_COSTS",
    "cumulative": 0.0032871999999999346,
    "annualised": null,
    "sharpe_annualised": null,
    "sharpe_reportable": false,
    "series_available": true,
    "series_url": "https://canlicapital.com/paper-state.json"
  },
  "costs": {
    "modelled": true,
    "components": [
      "SPREAD",
      "FEES",
      "IMPACT",
      "LATENCY",
      "FINANCING",
      "BORROW",
      "FUNDING"
    ],
    "turnover_annualised": null,
    "not_modelled": [
      "Partial fills and queue position",
      "Tick and lot rounding",
      "Minimum commission floors",
      "Margin interest above the financing model",
      "Custody, platform and market-data fees",
      "Dividend withholding tax",
      "Regulatory fees (SEC Section 31, FINRA TAF)",
      "Transaction taxes and stamp duty",
      "Capital gains and income tax",
      "Currency conversion",
      "Delisting and halt losses"
    ],
    "coverage_url": "https://canlicapital.com/costs",
    "notes": "One shared transaction-cost model prices every fill; the engine never computes a cost itself. Latency is charged as a flat add-on but measures about 5.5 hours in the live record, so it is modelled as the wrong KIND of quantity. Every unmodelled cost listed flatters the result, so these returns are an upper bound."
  },
  "selection": {
    "trials_counted": true,
    "trial_count": 228,
    "trial_unit": "first immutable record per hypothesis identity, deduplicated across every durable ledger",
    "deflation_applied": false,
    "deflated_sharpe_ratio": null,
    "deflation_method": "Deflated Sharpe against the expected maximum of the counted trial union. Not applied to this record because the forward sample cannot support a Sharpe estimate yet."
  },
  "risk": {
    "max_drawdown_realised": -0.046,
    "drawdown_basis": "OBSERVED",
    "max_drawdown_model_expected": 0.08988459384859976,
    "exposure_notes": "The realised figure is descriptive of a short sample. The model estimate is not established by live evidence."
  },
  "corrections": {
    "count": 0,
    "withdrawn_figures": [],
    "log_url": "https://canlicapital.com/progress"
  },
  "provenance": {
    "source_bindings": [
      {
        "path": "public/paper-state.json",
        "sha256": "8b02bb612be8c010a0cdd2765b918d01d653fa3316c71193a4696d996e3dc85a",
        "url": "https://canlicapital.com/paper-state.json"
      },
      {
        "path": "public/contracts/public-claims.json",
        "sha256": "cc16891edb7009c6c57ce35cd4671796a5f5e896ad486370ec45895e915fcd2f",
        "url": "https://canlicapital.com/contracts/public-claims.json"
      },
      {
        "path": "public/glassbox/alpaca_broker_reconciliation.json",
        "sha256": "8da73de4cff2f896dcc6d2a364e14da4f1da16c25b60e793327a86e273c7ab8f",
        "url": "https://canlicapital.com/glassbox/alpaca_broker_reconciliation.json"
      }
    ],
    "independently_verifiable": true,
    "verification_url": "https://canlicapital.com/verify",
    "signed": true,
    "signature_scheme": "Ed25519 over an append-only hash chain"
  },
  "claim_maturity": {
    "establishes": [
      "A 13-observation paper record with broker reconciliation on 3 sleeves.",
      "That every published figure traces to a hash-bound artifact."
    ],
    "does_not_establish": [
      "A forward Sharpe ratio. 252 observations are required to estimate one and this record has 13.",
      "An expected maximum drawdown. The realised figure describes a short sample and the model estimate is not live evidence.",
      "Live-forward diversification between sleeves.",
      "A return net of every cost. Several cost categories are not charged at all and every one of them flatters, so this figure is an upper bound. The full ledger is at /costs.",
      "Any funded performance whatsoever. No real capital has been deployed."
    ],
    "external_review_count": 0,
    "independent_replication_count": 0
  }
}