Current book drawdown

Name: Current book drawdown
Creator: Arhan Canli

By Arhan Canli, Canli Capital

Current book drawdown 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:bf0759012873386a4d049f35eaae0677a3fd7e98a62c3ea09f44b6a6215e7c23
Schema: canli.alphac-current-book-drawdown-study.v1

Calibration

Calendar days: 1061
End: 2026-06-01
Exact component reconstruction max abs error: 0
Observed book annualized volatility: 0.052136
Observed book max drawdown: 0.045087
Observed book sharpe simulation not forward evidence: 1.784628
Sample mean removed before modeling: yes
Start: 2023-07-07

Component order

alphavintage_live
crypto_carry_wk
k30_dn_63
managed_futures
strategic_overlay

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

Design

Bootstrap primary block days: 63
Bootstrap seed: 20260823
Horizon calendar days: 730
Paths per model: 10000
Regime component means: ZERO
Regime mean stress run days: 40
Regime seed: 20260824
Regime stress correlation: 0.500000
Regime stress share: 0.120000

Bootstrap sensitivity block days

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

4 further fields. Read them in the artifact.

126

4 further fields. Read them in the artifact.

Correlation regime

Expected max drawdown: 0.093182
Max drawdown stderr: 3.784e-4
Median max drawdown: 0.085851
P95 max drawdown: 0.164514

Diagnostics

4 further fields. Read them in the artifact.

Objective

Conservative modeled expected max drawdown: 0.093182
Conservative modeled expected within target: yes
Conservative modeled p95 max drawdown: 0.164514
Conservative modeled p95 within target: no
Expected max drawdown target: 0.110000
Live expected max drawdown established: no

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: no

Check it yourself

Every figure above is read from /glassbox/current_book_drawdown.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 cannot appear here at all.

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