The measurement
- Author
- Arhan Canli
- Capital kind
- RESEARCH_SIMULATION_OVER_PAPER_SPECIFICATION
- Content hash
- sha256:37531cf6c23c7496ad0c710621d3615465718ebd361a41a44d3092a4ea2efb17
- 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:dd8dfa131b07c89528ebb1aa985c972155da9a4255d198861b7c5e842beff41b
- Strategic tilt pct
- 0.100000
Aggregation
- Book level vol target ann
- Not reported
- Missing mark policy
- ZERO_CONTRIBUTION_ON_MISSING_DAILY_SLEEVE_MARK
- Scheme
- fixed
- Strategic overlay is book vol scaled
- no
Book level drawdown ladder
7 further fields. Read them in the artifact.
Sleeves
- alphavintage_live
- k30_dn_63
- managed_futures
Strategic tilt mix
- BTC
- 0.500000
- SPY
- 0.500000
Weights
- Alphavintage live
- 0.333333
- K30 dn 63
- 0.333333
- Managed futures
- 0.333333
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
- -0.051161
- Average pairwise correlation upper 95 gate
- 0.100000
- Average pairwise upper 95
- 0.075399
- Current sleeves
- 3
- Distance from average correlation objective
- 0.085628
- 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
- 11
- Objective in force from
- 2026-09-14
- Objective source
- config/owner_goals.json
- 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
Average pairwise correlation objective note. An objective, not a gate: the average pairwise correlation at which 14 sleeves of the quality the sealed contract measured reach 3 in-sample, which is forward 2 on the optimistic end of the measured haircut. Derived by inverting the published identity; the PSD floor at this sleeve count is -0.0769.
Checks
- Average pairwise upper 95
- yes
- Minimum correlation observations
- yes
- Ordinary pairwise point
- yes
- Ordinary pairwise upper 95
- yes
- Stressed pairwise design
- yes
Superseded admission contract objective
- Average pairwise correlation objective
- -0.030000
- Minimum new sleeves
- 10
- Superseded on
- 2026-09-14
- Target total sleeves
- 14
Observed
- Average pairwise correlation
- 0.034467
- Diversification ratio sleeves only
- 1.559565
- Effective independent sleeves participation ratio
- 2.903590
- Exact component reconstruction max abs error
- 1.735e-18
- Full book sharpe research simulation not forward evidence
- 1.174604
- 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.
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
- sha256:4b06976d0d3e3885a5f4722365411625b2c769c9ac62d800db35f507d1a26dc5
- Path
- artifacts/analysis/current_book_drawdown/result.json
- Sha256
- b9748f2dd7163db7a32236b4c173ea32c57172d67782cd307688c0a549ebaedc
Drawdown implementation
- Path
- scripts/analyze_current_book_drawdown.py
- Sha256
- 02beedeb7b3af736f24b677bbd466966680a3b574eb54c680d96239cca6bb9e6
Legacy v6 admission contract
- Path
- config/archive/sleeve_admission_contract_v6_superseded.json
- Sha256
- 5f628a44ae73ed9c412b225ac9dc56c4e59c1bc0645e2ebde251501e938b9932
Live contract
- Path
- config/live_change_contract.json
- Sha256
- 770ae254fd5abdfc95f68cbfac2e55eb2bc918f1655c05d8eaba49a0d5df374b
Market factor implementation
- Path
- src/alphaforge/portfolio/market_factor.py
- Sha256
- da817e6e953224b3602f20b4cb32339bf94f632453d883f8e3896a609685f6f0
Market factor source corpus
- Files
- 33
- Manifest sha256
- ef4ca675b2051e421bd53ef24b14a88b1943d53c1f9ad8c08370871ba6f4d86e
Paper state builder
- Path
- scripts/paper_trading_state.py
- Sha256
- 744e1b5dbcc2254a5d061402755c8407ad6027c6da16afbd1f4929491a5129a8
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
- b72999abcb2824591553f4d852f02360f937acaa17fed550f4543157e3cf7344
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.