{
  "author": "Arhan Canli",
  "calibration": {
    "calendar_days": 1061,
    "component_order": [
      "alphavintage_live",
      "crypto_carry_wk",
      "k30_dn_63",
      "managed_futures",
      "strategic_overlay"
    ],
    "end": "2026-06-01",
    "exact_component_reconstruction_max_abs_error": 0.0,
    "observed_book_annualized_volatility": 0.05213553893866788,
    "observed_book_max_drawdown": 0.04508709584099779,
    "observed_book_sharpe_simulation_not_forward_evidence": 1.7846281534351103,
    "sample_mean_removed_before_modeling": true,
    "start": "2023-07-07"
  },
  "capital_kind": "RESEARCH_SIMULATION_OVER_PAPER_SPECIFICATION",
  "claim_boundary": "This is a zero-drift two-year risk simulation of the exact current four-sleeve fixed-weight research composition and strategic overlay. It is stronger mapping evidence than the fourteen-sleeve frontier cell, but it is not a funded result, a loss limit, a guarantee, or an established live expected-drawdown estimate. The common window begins after COVID and 2022, and neither model replays constituent instrument, execution-gap or ladder state.",
  "configuration": {
    "aggregation": {
      "book_level_drawdown_ladder": null,
      "book_level_vol_target_ann": null,
      "claim_boundary": "Constituent strategies own their internal sizing. ALPHAC combines their realized returns at the committed fixed-weight schedule and adds the separately disclosed strategic overlay. It does not apply a second book-level volatility target or drawdown ladder.",
      "missing_mark_policy": "ZERO_CONTRIBUTION_ON_MISSING_DAILY_SLEEVE_MARK",
      "scheme": "fixed",
      "strategic_overlay_is_book_vol_scaled": false
    },
    "live_fingerprint": "sha256:fe82c4eeed742289bfcfee5d39856ee2bb8ca9cfe209bcc7e34abff98553706d",
    "sleeves": [
      "alphavintage_live",
      "crypto_carry_wk",
      "k30_dn_63",
      "managed_futures"
    ],
    "strategic_tilt_mix": {
      "BTC": 0.5,
      "SPY": 0.5
    },
    "strategic_tilt_pct": 0.1,
    "weights": {
      "alphavintage_live": 0.25,
      "crypto_carry_wk": 0.25,
      "k30_dn_63": 0.25,
      "managed_futures": 0.25
    }
  },
  "content_hash": "sha256:bf0759012873386a4d049f35eaae0677a3fd7e98a62c3ea09f44b6a6215e7c23",
  "design": {
    "bootstrap_primary_block_days": 63,
    "bootstrap_seed": 20260823,
    "bootstrap_sensitivity_block_days": [
      21,
      63,
      126
    ],
    "horizon_calendar_days": 730,
    "paths_per_model": 10000,
    "regime_component_means": "ZERO",
    "regime_mean_stress_run_days": 40.0,
    "regime_seed": 20260824,
    "regime_stress_correlation": 0.5,
    "regime_stress_share": 0.12
  },
  "failed_establishment_dimensions": [
    "COMMON_WINDOW_BEGINS_AFTER_COVID_AND_2022",
    "ABSENT_CRISIS_CANNOT_APPEAR_IN_BLOCK_BOOTSTRAP",
    "REGIME_MODEL_HAS_NO_STRESS_VOLATILITY_MULTIPLIER",
    "CONSTITUENT_INSTRUMENT_AND_LADDER_STATE_NOT_REPLAYED",
    "EXECUTION_GAPS_AND_LIQUIDITY_FEEDBACK_NOT_MODELED"
  ],
  "models": {
    "circular_moving_block_bootstrap": {
      "126": {
        "expected_max_drawdown": 0.0740922991915528,
        "max_drawdown_stderr": 0.0002475750900633874,
        "median_max_drawdown": 0.06948728291627698,
        "p95_max_drawdown": 0.12149848516694813
      },
      "21": {
        "expected_max_drawdown": 0.0796064986672114,
        "max_drawdown_stderr": 0.00031827968099072484,
        "median_max_drawdown": 0.07332457193749603,
        "p95_max_drawdown": 0.14111917935471527
      },
      "63": {
        "expected_max_drawdown": 0.07833345852540453,
        "max_drawdown_stderr": 0.00028862846893636476,
        "median_max_drawdown": 0.07349362618826633,
        "p95_max_drawdown": 0.1334699917603662
      }
    },
    "correlation_regime": {
      "diagnostics": {
        "calm_correlation": [
          [
            1.0,
            0.0392636269880886,
            -0.061960202019901475,
            -0.04438969572740388,
            -0.03329472901967486
          ],
          [
            0.0392636269880886,
            1.0,
            -0.013369983642824655,
            0.019668844934251063,
            0.012445309055814141
          ],
          [
            -0.061960202019901475,
            -0.013369983642824655,
            1.0,
            0.20975189522943657,
            -0.0041743949767846355
          ],
          [
            -0.04438969572740388,
            0.019668844934251063,
            0.20975189522943657,
            1.0,
            0.005934480803844322
          ],
          [
            -0.03329472901967486,
            0.012445309055814141,
            -0.0041743949767846355,
            0.005934480803844322,
            1.0
          ]
        ],
        "component_daily_volatility": [
          0.000835163567731372,
          0.001566264938956614,
          0.0014170675485880642,
          0.00044178704910863417,
          0.0014041876401294452
        ],
        "simulated_stress_day_fraction": 0.11922027397260274,
        "stress_correlation": [
          [
            1.0,
            0.5,
            0.5,
            0.5,
            0.5
          ],
          [
            0.5,
            1.0,
            0.5,
            0.5,
            0.5
          ],
          [
            0.5,
            0.5,
            1.0,
            0.5,
            0.5
          ],
          [
            0.5,
            0.5,
            0.5,
            1.0,
            0.5
          ],
          [
            0.5,
            0.5,
            0.5,
            0.5,
            1.0
          ]
        ]
      },
      "expected_max_drawdown": 0.09318244773230698,
      "max_drawdown_stderr": 0.00037836431854389375,
      "median_max_drawdown": 0.08585057455521328,
      "p95_max_drawdown": 0.16451439873252724
    }
  },
  "objective": {
    "conservative_modeled_expected_max_drawdown": 0.09318244773230698,
    "conservative_modeled_expected_within_target": true,
    "conservative_modeled_p95_max_drawdown": 0.16451439873252724,
    "conservative_modeled_p95_within_target": false,
    "expected_max_drawdown_target": 0.11,
    "live_expected_max_drawdown_established": false
  },
  "schema": "canli.alphac-current-book-drawdown-study.v1",
  "source_bindings": {
    "admission_contract": {
      "path": "config/sleeve_admission_contract.json",
      "sha256": "6bc72c1f47675b4e14897e1ba3aad6e56aba9b5f013a7b9bae57f930e8d3b8b6"
    },
    "book_implementation": {
      "path": "src/alphaforge/portfolio/book.py",
      "sha256": "f63f2bc83ddf739f7e91c0ba8b2cd095984f26148461b56ddbb7a69c8ccd9c07"
    },
    "live_contract": {
      "path": "config/live_change_contract.json",
      "sha256": "a28ea309bf15253229f9cfa11da4c786323076d1aef6c83ffda5d7615338793d"
    },
    "market_factor_implementation": {
      "path": "src/alphaforge/portfolio/market_factor.py",
      "sha256": "da817e6e953224b3602f20b4cb32339bf94f632453d883f8e3896a609685f6f0"
    },
    "market_factor_source_corpus": {
      "files": 33,
      "manifest_sha256": "06d47fe170a286b0cdaebee50fbadda56f29cce88c076a7655792b3bdd518dc8"
    },
    "paper_state_builder": {
      "path": "scripts/paper_trading_state.py",
      "sha256": "ac41a0480a860a8ca08588ce2e0f36e6db6b68c6ac6980816ee44b35738311c5"
    },
    "protocol": {
      "path": "docs/design/CURRENT_BOOK_DRAWDOWN_STUDY_PROTOCOL.md",
      "sha256": "f737474b8f49b00a1cf42f4fb6cc47084a811bd3b8405ce07e6c9880dd53f96f"
    },
    "sleeve_equity_inputs": {
      "artifacts/probe/cpi_surprise_size/equity.parquet": "d277c63ddf2bed6e9314aa863dbbf6adf3f4adb55bd89e8166aee4a19aab415f",
      "artifacts/walkforward/crypto_carry_wk/equity.parquet": "37598579af6f34892e40902e2a357e4b07993b3e572012a1da311f7e91798a2a",
      "artifacts/walkforward/k30_dn_63/equity.parquet": "76f82c8df3726f049144d7699c0f13069db6a1e0d1f1e4570babd8d82a85cfc9",
      "artifacts/walkforward/managed_futures/equity.parquet": "870c87827ac72ab8759d77d511a1207da44d5ec679ee24eb18bb1cdd0aeb75b3"
    }
  },
  "status": "CURRENT_COMPOSITION_EXPECTED_WITHIN_OBJECTIVE_HISTORICAL_TAIL_COVERAGE_INCOMPLETE",
  "trial_accounting": {
    "classification": "EXISTING_RETURN_RISK_REMEASUREMENT",
    "hypothesis_identities_spent": 0,
    "return_data_opened": false
  }
}