The measurement
- Author
- Arhan Canli
- Capital kind
- PAPER_ONLY
- Content hash
- sha256:728222f3fbeac7e7fc205f1cce2ed7557bea4fb3efb561b850bb298f39aa3bab
- Integrity passes
- yes
- Schema
- canli.alphac-forward-drawdown-evidence.v1
- Status
- CURRENT_COMPOSITION_EXPECTED_WITHIN_OBJECTIVE_LIVE_NOT_ESTABLISHED
Current book study
- Content hash
- sha256:4b06976d0d3e3885a5f4722365411625b2c769c9ac62d800db35f507d1a26dc5
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
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
Status. CURRENT_COMPOSITION_EXPECTED_WITHIN_OBJECTIVE_HISTORICAL_TAIL_COVERAGE_INCOMPLETE
Objective
- Current composition conservative expected max drawdown
- 0.089885
- Current composition conservative p95 max drawdown
- 0.158555
- Current composition expected within objective
- yes
- Current composition p95 within objective
- no
- Expected max drawdown target
- 0.110000
- Live expected max drawdown established
- no
- Live p95 max drawdown established
- no
- Study expected within objective
- yes
- Study p95 within objective
- no
- Study production labelled expected max drawdown
- 0.102512
- Study production labelled p95 max drawdown
- 0.187632
Production equivalence
- Declared constituent blend strategy volatility target
- 0.150000
- Declared live book level volatility target
- Not reported
- Declared live sleeves
- 3
- Passes
- no
Checks
- Book level risk overlay matches live composite
- no
- Book level volatility target matches live composite
- no
- Covariance halflife has one duration across live sleeves
- no
- Production shrinkage is inside simulation
- no
- Single daily timebase matches mixed live timebases
- no
- Sleeve count matches live book
- no
Declared live book 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.
Declared live book level drawdown ladder
- Activated on
- 2026-09-15
- Applied by
- every sleeve multiplies its target gross by the published book multiplier
- Dd flat frac
- 0.100000
- Dd half frac
- 0.050000
- Flat state
- ABSORBING_UNTIL_OWNER_REARM
- Release frac of half
- 0.750000
- Source
- config/drawdown_control_contract.json
Declared live strategy defaults
- Cov halflife days
- Not reported
- Cov min periods
- 240
- Cov window bars
- 720
- Realized vol halflife bars
- 240
Failed checks
- sleeve_count_matches_live_book
- book_level_volatility_target_matches_live_composite
- book_level_risk_overlay_matches_live_composite
- single_daily_timebase_matches_mixed_live_timebases
- covariance_halflife_has_one_duration_across_live_sleeves
- production_shrinkage_is_inside_simulation
Source bindings
Admission contract
- Path
- config/sleeve_admission_contract.json
- Sha256
- 6bc72c1f47675b4e14897e1ba3aad6e56aba9b5f013a7b9bae57f930e8d3b8b6
Analyzer
- Path
- scripts/analyze_drawdown_live_estimator.py
- Sha256
- 01c6152f2baf65f093abd8227f342162679bedea468ad1691940af09a8916c6e
Covariance estimator
- Path
- src/alphaforge/portfolio/covariance.py
- Sha256
- bdc3655b8dbe65ab3a4cd28f4c03f13afadca7927fd393aa5364baebf908f391
Current book drawdown model
- Path
- artifacts/analysis/current_book_drawdown/result.json
- Sha256
- b9748f2dd7163db7a32236b4c173ea32c57172d67782cd307688c0a549ebaedc
Drawdown model
- Path
- artifacts/analysis/drawdown_live_estimator/result.json
- Sha256
- 9671ed7551aab242dc3529510cf9105201835096f36bb971153c132081754324
Forward contract
- Path
- config/forward_evidence_contract.json
- Sha256
- 6b1df988f78bd09567a3b384ed52e5de74805a659f5444b11d0acacab0d5a8d3
Live change contract
- Path
- config/live_change_contract.json
- Sha256
- 770ae254fd5abdfc95f68cbfac2e55eb2bc918f1655c05d8eaba49a0d5df374b
Strategy
- Path
- src/alphaforge/portfolio/strategy.py
- Sha256
- f8b0776ccfa8af8f0a5588d33b6a58410e76d4dddf92fb18fa4dcafbcebf3805
Study best cell not live authorized
- Expected max drawdown
- 0.079617
- Halflife bars
- 7
- Max drawdown stderr
- 0.002652
- Median max drawdown
- 0.072968
- Overlay gross turnover per year
- 3.572810
- P95 max drawdown
- 0.135367
- Realized book sharpe
- 1.869414
- Realized book vol
- 0.099869
- Seed rows
- 240
- Window bars
- 720
Study design
- Mean run days
- 40
- Min periods fraction
- 0.333333
- Paths
- 96
- Rho calm
- -0.020000
- Rho stress
- 0.500000
- S bar
- 0.469000
- Seed
- 20260822
- Sleeves
- 14
- Stress share
- 0.120000
- Vol target
- 0.100000
- Years
- 2
Study production labelled cell
- Expected max drawdown
- 0.102512
- Halflife bars
- 720
- Max drawdown stderr
- 0.004874
- Median max drawdown
- 0.094953
- Overlay gross turnover per year
- 0.509765
- P95 max drawdown
- 0.187632
- Realized book sharpe
- 1.346748
- Realized book vol
- 0.104125
- Seed rows
- 240
- Window bars
- 720
Check it yourself
Every figure above is read from /glassbox/forward_drawdown_evidence.json, the
artifact the engine wrote.