Forward drawdown evidence
Forward drawdown evidence 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
- PAPER_ONLY
- Content hash
- sha256:6886b4991b2dd78d1fb2e501f7c19b78f3011e901e19c11260550227e5cefddc
- 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:bf0759012873386a4d049f35eaae0677a3fd7e98a62c3ea09f44b6a6215e7c23
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
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
- 0.093182
- Current composition conservative p95 max drawdown
- 0.164514
- 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 drawdown ladder
- —
- Declared live book level volatility target
- —
- Declared live sleeves
- 4
- 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 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
Declared live strategy defaults
- Cov halflife days
- —
- 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
- 8c99fd77e1212ff9bdd7ddb66df7bb5b04b170673c8687b0de3ff4b6c6b70ce7
Drawdown model
- Path
- artifacts/analysis/drawdown_live_estimator/result.json
- Sha256
- 9671ed7551aab242dc3529510cf9105201835096f36bb971153c132081754324
Forward contract
- Path
- config/forward_evidence_contract.json
- Sha256
- d1b0c97921d9c8b96de7af275b18b9d0ffbfe1332a078061135e8d044ba3981a
Live change contract
- Path
- config/live_change_contract.json
- Sha256
- a28ea309bf15253229f9cfa11da4c786323076d1aef6c83ffda5d7615338793d
Strategy
- Path
- src/alphaforge/portfolio/strategy.py
- Sha256
- e2e247cf5d32fa707f813b11ff8afe32cd01b3d46a831d25f030810a4f3bc1f4
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. 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.