The measurement
- Common window days
- 1061
- Schema
- canli.alphac-book-without-alphavintage.v1
Alignment. alphaforge.portfolio.book.combine_book, the production path: contiguous epoch-day index, an absent day treated as FLAT, pairwise correlation on days where both sleeves are genuinely active.
Deltas
- Book max drawdown
- -0.010554
- Book sharpe equal risk
- 0.006257
- Projected book sharpe at 14 sleeves
- -0.014046
- Rho bar
- 0.046336
- S bar
- 0.090507
What this does not settle. Removing a sleeve raises s_bar mechanically whenever the sleeve is below average, and that is not evidence the remaining sleeves are better. It also measures both allocations on the window used to compare them, which is in-sample by construction for the comparison itself. The drawdown and correlation effects are the parts that carry information; the s_bar arithmetic is bookkeeping.
Window note. Bounded by the BLESSED research curves, which are frozen by disclosure protocol and end 2026-06-01 by design. This is not the live record and cannot be extended by re-running anything.
With alphavintage
- Book max drawdown
- -0.027531
- Book sharpe equal risk
- 1.037440
- Book vol
- 0.033656
- Diversification ratio
- 1.942729
- N
- 4
- N days
- 1061
- Projected book sharpe at 14 sleeves
- 1.516505
- Rho bar
- 0.026040
- S bar
- 0.468913
Pairwise correlations
- AlphaForge|AlphaMax
- -0.015770
- AlphaForge|AlphaTrend
- 0.022860
- AlphaForge|AlphaVintage
- 0.045550
- AlphaMax|AlphaTrend
- 0.210036
- AlphaMax|AlphaVintage
- -0.062169
- AlphaTrend|AlphaVintage
- -0.044267
Per sleeve sharpe
- AlphaForge
- 1.118055
- AlphaMax
- 0.759470
- AlphaTrend
- -0.199264
- AlphaVintage
- 0.197390
Rho bar required at 14
- 2 / 25
- -0.030149
- 3 / 0
- -0.050613
S bar required at 14 at this rho
- 2 / 25
- 0.695714
- 3 / 0
- 0.927619
Sleeves
- AlphaForge
- AlphaMax
- AlphaTrend
- AlphaVintage
Without alphavintage
- Book max drawdown
- -0.038085
- Book sharpe equal risk
- 1.043698
- Book vol
- 0.040103
- Diversification ratio
- 1.642538
- N
- 3
- N days
- 1061
- Projected book sharpe at 14 sleeves
- 1.502459
- Rho bar
- 0.072375
- S bar
- 0.559420
Pairwise correlations
- AlphaForge|AlphaMax
- -0.015770
- AlphaForge|AlphaTrend
- 0.022860
- AlphaMax|AlphaTrend
- 0.210036
Per sleeve sharpe
- AlphaForge
- 1.118055
- AlphaMax
- 0.759470
- AlphaTrend
- -0.199264
Rho bar required at 14
- 2 / 25
- -0.010350
- 3 / 0
- -0.039476
S bar required at 14 at this rho
- 2 / 25
- 0.837757
- 3 / 0
- 1.117009
Sleeves
- AlphaForge
- AlphaMax
- AlphaTrend
Check it yourself
Every figure above is read from /glassbox/book_without_alphavintage.json, the
artifact the engine wrote.