The measurement
- Author
- Arhan Canli
- Capital kind
- RESEARCH_SIMULATION_OVER_PAPER_SPECIFICATION
- Content hash
- sha256:4b06976d0d3e3885a5f4722365411625b2c769c9ac62d800db35f507d1a26dc5
- Schema
- canli.alphac-current-book-drawdown-study.v1
Calibration
- Calendar days
- 1061
- End
- 2026-06-01
- Exact component reconstruction max abs error
- 1.735e-18
- Observed book annualized volatility
- 0.051122
- Observed book max drawdown
- 0.046333
- Observed book sharpe simulation not forward evidence
- 1.174604
- Sample mean removed before modeling
- yes
- Start
- 2023-07-07
Component order
- alphavintage_live
- k30_dn_63
- managed_futures
- strategic_overlay
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
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
- 21
- 63
- 126
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
21
4 further fields. Read them in the artifact.
63
4 further fields. Read them in the artifact.
126
4 further fields. Read them in the artifact.
Correlation regime
- Expected max drawdown
- 0.089885
- Max drawdown stderr
- 3.591e-4
- Median max drawdown
- 0.083498
- P95 max drawdown
- 0.158555
Diagnostics
4 further fields. Read them in the artifact.
Objective
- Conservative modeled expected max drawdown
- 0.089885
- Conservative modeled expected within target
- yes
- Conservative modeled p95 max drawdown
- 0.158555
- 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
- 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_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.