Current book diversification
Current book diversification is one of 84 measurements this engine publishes in full. It is regenerated from a real run rather than transcribed, and it is shown here with its own claim boundary so the number and its limits arrive together.
The measurement
- Author
- Arhan Canli
- Capital kind
- RESEARCH_SIMULATION_OVER_PAPER_SPECIFICATION
- Content hash
- sha256:af7297d7ec13bf8b7e3812fd78d52faaff7c0de28dd9979dd11db045ed535f52
- Schema
- canli.alphac-current-book-diversification-study.v1
- Status
- CURRENT_COMPOSITION_DIVERSIFICATION_OBJECTIVE_GAP_RESEARCH_ONLY
Bootstrap
- Primary block days
- 63
- Samples
- 10000
- Seed
- 20260825
Results
21
5 further fields. Read them in the artifact.
63
5 further fields. Read them in the artifact.
126
5 further fields. Read them in the artifact.
Sensitivity block days
- 21
- 63
- 126
Configuration
- Live fingerprint
- sha256:fe82c4eeed742289bfcfee5d39856ee2bb8ca9cfe209bcc7e34abff98553706d
- Strategic tilt pct
- 0.100000
Aggregation
- Book level drawdown ladder
- —
- Book level vol target ann
- —
- Missing mark policy
- ZERO_CONTRIBUTION_ON_MISSING_DAILY_SLEEVE_MARK
- Scheme
- fixed
- Strategic overlay is book vol scaled
- no
Sleeves
- alphavintage_live
- crypto_carry_wk
- k30_dn_63
- managed_futures
Strategic tilt mix
- BTC
- 0.500000
- SPY
- 0.500000
Weights
- Alphavintage live
- 0.250000
- Crypto carry wk
- 0.250000
- K30 dn 63
- 0.250000
- Managed futures
- 0.250000
Failed establishment dimensions
- RESEARCH_CURVES_END_BEFORE_BROKER_RECONCILED_FORWARD_RECORD
- RETURN_DATA_WERE_KNOWN_BEFORE_PROTOCOL
- NO_HUMAN_INDEPENDENT_REPLICATION
- NO_CRISIS_COMPLETE_FORWARD_CORRELATION_WINDOW
Governing comparison
- Active v7 book average correlation delta gate exclusive
- 0
- Active v7 candidate average correlation gate
- 0
- Active v7 has no global average correlation point gate
- yes
- Average pairwise correlation objective
- -0.030000
- Average pairwise correlation upper 95 gate
- 0.100000
- Average pairwise upper 95
- 0.048708
- Current sleeves
- 4
- Distance from average correlation objective
- 0.054827
- Existing sleeves are not retroactively adjudicated
- yes
- Historical v6 global average correlation point check
- no
- Historical v6 global average correlation point gate
- 0
- Live forward diversification established
- no
- Maximum pairwise upper 95
- 0.302519
- Meets active correlation objective
- no
- Minimum new sleeves
- 10
- Ordinary pairwise correlation point gate
- 0.350000
- Ordinary pairwise correlation upper 95 gate
- 0.350000
- Passes all active v7 risk comparisons
- yes
- Stressed pairwise correlation gate
- 0.500000
- Stressed pairwise design value not observed
- 0.500000
- Target total sleeves
- 14
Checks
- Average pairwise upper 95
- yes
- Minimum correlation observations
- yes
- Ordinary pairwise point
- yes
- Ordinary pairwise upper 95
- yes
- Stressed pairwise design
- yes
Observed
- Average pairwise correlation
- 0.024827
- Diversification ratio sleeves only
- 1.815313
- Effective independent sleeves participation ratio
- 3.898801
- Exact component reconstruction max abs error
- 0
- Full book sharpe research simulation not forward evidence
- 1.784628
- Maximum pairwise correlation
- 0.209752
Correlation matrix
Nested beyond what this page renders. Read it in the artifact.
Marginal book sharpe research diagnostics
Alphavintage live
3 further fields. Read them in the artifact.
Crypto carry wk
3 further fields. Read them in the artifact.
K30 dn 63
3 further fields. Read them in the artifact.
Managed futures
3 further fields. Read them in the artifact.
Pairwise correlations
Nested beyond what this page renders. Read it in the artifact.
Source bindings
Admission contract
- Path
- config/sleeve_admission_contract.json
- Sha256
- 6bc72c1f47675b4e14897e1ba3aad6e56aba9b5f013a7b9bae57f930e8d3b8b6
Book implementation
- Path
- src/alphaforge/portfolio/book.py
- Sha256
- f63f2bc83ddf739f7e91c0ba8b2cd095984f26148461b56ddbb7a69c8ccd9c07
Current book drawdown
- Content hash
- sha256:bf0759012873386a4d049f35eaae0677a3fd7e98a62c3ea09f44b6a6215e7c23
- Path
- artifacts/analysis/current_book_drawdown/result.json
- Sha256
- 8c99fd77e1212ff9bdd7ddb66df7bb5b04b170673c8687b0de3ff4b6c6b70ce7
Drawdown implementation
- Path
- scripts/analyze_current_book_drawdown.py
- Sha256
- 24d93be7cb2a6d6c1a64a7e219b4c1bc5c7d00b6d48ec2123ef0068ee6cd526e
Legacy v6 admission contract
- Path
- config/archive/sleeve_admission_contract_v6_superseded.json
- Sha256
- 5f628a44ae73ed9c412b225ac9dc56c4e59c1bc0645e2ebde251501e938b9932
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_DIVERSIFICATION_STUDY_PROTOCOL.md
- Sha256
- be16f0091ad5d1ea210384cde26d8ae040ad3106b354acedb50213a1ed3f7fdf
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
Study implementation
- Path
- scripts/analyze_current_book_diversification.py
- Sha256
- 8309f592bfca5c1c011d60013bc0a65bdd4fb6bf83f26347c817151fb71aa6f2
Trial accounting
- Classification
- RETROSPECTIVE_EXISTING_RETURN_RISK_REMEASUREMENT
- Hypothesis identities spent
- 0
- Return data were known before protocol
- yes
Window
- Calendar rows
- 1061
- End
- 2026-06-01
- Start
- 2023-07-07
Check it yourself
Every figure above is read from /glassbox/current_book_diversification.json, the
artifact the engine wrote. Nothing on this page is typed by hand: the page is generated from that
file, so a figure that moves in the artifact moves here and a figure that is not in the artifact
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