{ "schema": "canli.alphac-public-prospective-trial-record.v1", "title": "A hash-bound prospective test of cross-sectional perpetual-futures carry", "author": "Arhan Canli", "identity": { "config_hash": "50d9e8b059fee773", "family_trial_account": "crypto_carry", "hypotheses_spent": 1, "hypothesis_key": "da5f5f47f99f9bd2", "primary_return_trials_executed": 1, "reservation_ordinal": 229, "return_identity_id": "crypto_carry_portable_v1", "unregistered_variants_executed": 0 }, "classification": { "evidence_type": "HISTORICAL_WALK_FORWARD_SIMULATION", "external_submission_completed": false, "forward_live_result": false, "independent_replication": false, "live_broker_result": false, "peer_reviewed": false }, "metrics": { "annualized_daily_sharpe": 0.9688980432905521, "cagr": 0.1084306032402318, "annualized_volatility": 0.11010267815426131, "candidate_simulation_max_drawdown": 0.12303511718661964, "total_return": 0.5588081982357993, "daily_observations": 1574, "probabilistic_sharpe_ratio": 0.9776259474665245, "deflated_sharpe_ratio": 0.09141260613462271, "union_hypothesis_identities": 229 }, "stability_diagnostics": { "walkforward_legs": 25, "positive_sharpe_legs": 16, "nonpositive_sharpe_legs": 9, "median_leg_sharpe": 0.4755982022610931, "minimum_leave_one_calendar_year_out_sharpe": 0.6231691644266796, "calendar_year_results": [ { "annualized_sharpe": -0.5857395276234225, "calendar_year_utc": 2022, "compounded_return": -0.06791054181334855, "daily_observations": 326, "partial_year": true }, { "annualized_sharpe": 0.29886528490312586, "calendar_year_utc": 2023, "compounded_return": 0.02177539695601549, "daily_observations": 365, "partial_year": false }, { "annualized_sharpe": 1.7474898092325235, "calendar_year_utc": 2024, "compounded_return": 0.19630603974721095, "daily_observations": 366, "partial_year": false }, { "annualized_sharpe": 0.978050273638493, "calendar_year_utc": 2025, "compounded_return": 0.11567492054275608, "daily_observations": 365, "partial_year": false }, { "annualized_sharpe": 3.7872298021284503, "calendar_year_utc": 2026, "compounded_return": 0.2140290075708251, "daily_observations": 152, "partial_year": true } ] }, "gate_assessment": { "admission_status": "INCOMPLETE_NOT_ADMITTED", "evaluated": [ { "gate": "net_sharpe_min", "observed": 0.9688980432905521, "operator": ">=", "status": "PASS", "threshold": 0.15 }, { "gate": "minimum_oos_observations", "observed": 1574, "operator": ">=", "status": "PASS", "threshold": 756 }, { "admission_role": "MANDATORY_MEASUREMENT_NOT_PER_SLEEVE_GATE", "generic_runner_dsr_at_least_0_95_indicator": false, "generic_runner_indicator_is_governing_v7_gate": false, "observed": 0.09141260613462271, "requirement": "deflated_sharpe_must_be_measured", "status": "PASS_MEASUREMENT_PRESENT" } ], "governing_contract_schema": "canli.alphac-sleeve-admission-contract.v7", "not_evaluated": [ "newey_west_t_min", "newey_west_t_ratio_min", "stressed_sharpe_min", "capacity_curve_min_points", "capacity_minimum_stressed_fill_ratio", "capacity_usd_min", "ordinary_pairwise_correlation_max", "pairwise_correlation_upper_95_max", "stressed_pairwise_correlation_max", "stressed_pairwise_correlation_upper_95_max", "candidate_average_correlation_to_existing_book_max", "book_average_pairwise_correlation_delta_max_exclusive", "book_sharpe_delta_min_exclusive", "book_sharpe_delta_lower_95_min_exclusive", "minimum_leave_one_period_out_book_sharpe_delta_exclusive", "book_expected_shortfall_delta_max", "book_max_drawdown_delta_max", "book_expected_max_drawdown_max", "book_deflated_sharpe_must_be_measured", "execution_scenario_bundle", "overlay_replay" ], "pbo": { "status": "NOT_DEFINED_SINGLE_REGISTERED_IDENTITY_NO_PATH_MATRIX", "value": null, "zero_imputation_forbidden": true }, "reason": "Required v7 evidence remains unmeasured; a positive point estimate cannot substitute for it.", "technically_eligible": false }, "decision": { "additional_return_paths_executed_after_primary": 0, "admitted": false, "disposition": "INCOMPLETE", "final_for_admission": true, "gate_changes_after_result": 0, "identity_may_be_regraded_later": false, "killed": false, "technically_eligible": false }, "evidence_accounting": { "packet_completion_meaning": "Every required section has either measured evidence or a hash-bound final blocker. It does not mean every admission gate was evaluated or passed.", "pbo": "NOT_DEFINED_SINGLE_REGISTERED_IDENTITY_NO_PATH_MATRIX", "primary_result_and_same_path_diagnostics": "SEALED", "unmeasured_gate_evidence": [ "newey_west_t_min", "newey_west_t_ratio_min", "stressed_sharpe_min", "capacity_curve_min_points", "capacity_minimum_stressed_fill_ratio", "capacity_usd_min", "ordinary_pairwise_correlation_max", "pairwise_correlation_upper_95_max", "stressed_pairwise_correlation_max", "stressed_pairwise_correlation_upper_95_max", "candidate_average_correlation_to_existing_book_max", "book_average_pairwise_correlation_delta_max_exclusive", "book_sharpe_delta_min_exclusive", "book_sharpe_delta_lower_95_min_exclusive", "minimum_leave_one_period_out_book_sharpe_delta_exclusive", "book_expected_shortfall_delta_max", "book_max_drawdown_delta_max", "book_expected_max_drawdown_max", "book_deflated_sharpe_must_be_measured", "execution_scenario_bundle", "overlay_replay" ], "unmeasured_values_are_null_or_absent": true, "unmeasured_values_treated_as_pass": false }, "supporting_facts": { "fresh_input_comparison": { "overlap_ohlcv_field_revisions": 1256, "content_hash": "sha256:7b74d9d32354b41c148428682ff2109a3a3b0d7bdb2a56e143d173fd5dc32fcc" }, "portable_lake_production_readback": { "ohlcv_rows": 2137040, "funding_rows": 272846, "universe_intervals": 108, "content_hash": "sha256:d6ead5a3dd1b0db3f5db840ef3a4b00519d63b4af0ed354741cd33d0389f7d62" }, "private_input_snapshot_aggregate_only": { "signal_rows": 2454144, "file_count": 781, "raw_execution_partition_files": 603, "source_and_environment_files": 174, "snapshot_bytes": 102831710, "root_sha256": "c8b573712103907130a301f22d578feb07e31de0939339450f766b2d037df822", "public_release_allowed": false }, "bibliographic_identifiers": { "perpetual_futures_pricing": "10.3386/w32936", "crypto_carry": "10.2139/ssrn.4268371" }, "aggregate_walkforward_risk_counters": { "bars_half_gross": 16591, "bars_halted_flat": 0, "rebalances": 225, "fallback_uses": 225 } }, "packet": { "complete": true, "packet_status": "COMPLETE_EVIDENCED_FINAL_INCOMPLETE_NOT_ADMITTED", "completion_assessment": { "blockers": [], "candidate_evidence_complete_for_admission": false, "disposition": "INCOMPLETE_NOT_ADMITTED", "next_forward_identity_blocked_by_this_packet": false, "packet_evidence_accounting_complete": true, "status": "COMPLETE_EVIDENCE_ACCOUNTING_FINAL_INCOMPLETE" }, "content_hash": "sha256:9ba408cb3c1d9accd91eddd25a079995a8d42aa6b7456dd6afd22539917ce40a" }, "future_protocol": { "status": "TEMPLATE_NOT_IN_FORCE_NO_RETURN_AUTHORIZATION", "scope": { "applies_to_known_results": false, "earliest_possible_reservation_ordinal": 230, "requires_separate_policy_promotion": true }, "audit_status": "PASS_TEMPLATE_FAIL_CLOSED_NOT_ACTIVE_ZERO_RETURN", "remaining_before_promotion": [ "SATISFIABILITY_AUDIT_PASSES", "TRIAL_ACCOUNTING_BATCH_AND_DIAGNOSTIC_CLASSIFICATION_PROMOTED", "SERIALITY_GUARD_SUPPORTS_PREDECLARED_BATCH", "PUBLIC_PROJECTION_TESTS_PASS", "OWNER_PROMOTION_RECORDED" ], "claim_boundary": "This is a fail-closed design template, not an active policy, reservation, candidate, result, or return authorization. Null and empty fields must be filled and hash-bound before validation. It cannot be applied to a known result." }, "public_paths": { "paper": "/research/crypto-carry-portable-v1", "result": "/glassbox/crypto_carry_portable_v1_result.json", "admission_closure": "/glassbox/crypto_carry_portable_v1_admission_closure.json", "identity_packet": "/glassbox/trial-packets/da5f5f47f99f9bd2.json", "identity_packet_alias": "/glassbox/trial-packets/crypto_carry_portable_v1.json", "future_template": "/glassbox/forward_full_evidence_reservation_v2_template.json", "future_template_audit": "/glassbox/forward_full_evidence_reservation_v2_template_audit.json" }, "source_bindings": { "result_sha256": "bca34612b3f683666e5738fbbe352be7953a233b4fd6689ba1111d56385e916c", "closure_sha256": "83c330782c7178315ad55648b18db31a3798e767ffdbdd8c0fe2af7c76beeef1", "packet_sha256": "c46b821057d5991b713f673db74e92c416167513481c433fadae6c7ead7657f9", "paper_sha256": "141bbf970993a5ee594d27ddd8c55dc8aeb2944dc7cd0bd24712e53e307188c5", "future_template_sha256": "f7f55bd4237cc19fdc69ae7aba19e05d14263a710725948cc04753e981b236f5", "future_template_audit_sha256": "e1a15b846502e5d28b318b59af9328ded14be5972d00a63ab3c9766536b96521", "portable_lake_readiness_sha256": "e6c829153b60ac5fef16d35abe052e9efa720f96a61e4106ccb35c2c4f8ae441", "portable_prerun_readiness_sha256": "15de6929185213098ec2c3864b6ac16ae0c1a328003feda547dd90624502f702", "private_input_snapshot_manifest_sha256": "a1ac28f065bffcc761f9a3b8f7058deb55f8d7672f72770d27b02fd07ade1156" }, "claim_boundary": "This receipt seals one preregistered historical walk-forward simulation and its same-path diagnostics. It does not establish admission, live or future returns, capacity, diversification, book drawdown, independent replication, peer review, or external publication. Missing evidence is null or explicitly NOT_EVALUATED." }