Sleeve admission contract / Contract

Objective

Target total sleeves

14

Minimum new sleeves

10

Portfolio max drawdown target

0.110000

Targets are admission evidence

no

Portfolio max drawdown statistic

expected_maximum_drawdown

Portfolio p95 max drawdown is gated

no

Portfolio p95 max drawdown must be published

yes

Average pairwise correlation objective

-0.030000

Honest forward sharpe target

1.500000

Portfolio sharpe target

• 2.250000
• 3

Average pairwise correlation objective note. An objective, not a gate. -0.03 is the average pairwise correlation at which fourteen sleeves of measured quality reach 2.5. Thresholds are gates and live in 'thresholds'; anything that is not enforced must not sit there wearing a gate's costume.

Superseded in sample sharpe target

• 2
• 2.500000

Superseded reason. Stated in-sample with no haircut named, and unreachable as a forward result: a verified forward 2.0 at measured per-sleeve quality needs an average pairwise correlation of -0.062 against a PSD floor of -0.077. Withdrawn 2026-08-21 and replaced with an honest FORWARD target of 1.5, which is inside the floor at every plausible quality.

What reaching it requires. Both halves, not either: an average pairwise correlation meaningfully BELOW zero, and per-sleeve quality above roughly 0.60. At today's measured 0.469 the forward target is reachable only at a correlation near -0.030 and only on the optimistic haircut.

Why this is not a retreat. The rarer thing was never the number. A forward Sharpe near 1.5 that is genuinely verifiable -- signed forward record, every killed candidate published in full, gates that provably bite, and the arithmetic showing where the gate falls short of the target printed on the same page as the target -- is harder to find than a 2.5 nobody can check.

Portfolio sharpe target unit. IN-SAMPLE, being the band that an honest forward 1.5 implies at the 1.5x and 2.0x ends of this book's own measured haircut. The headline target is honest_forward_sharpe_target.

Thresholds

Minimum oos observations

756

Minimum stressed oos observations

63

Net sharpe min

0.150000

Stressed sharpe min

0.150000

Newey west t min

0.250000

Pbo max

0.200000

Absolute beta max

0.100000

Average pairwise correlation max

0

Ordinary pairwise correlation max

0.350000

Stressed pairwise correlation max

0.500000

Pairwise correlation upper 95 max

0.350000

Stressed pairwise correlation upper 95 max

0.500000

Book sharpe delta min exclusive

0

Minimum leave one period out book sharpe delta exclusive

0

Book max drawdown delta max

0.010000

Book expected shortfall delta max

0

Capacity usd min

500000

Capacity curve min points

3

Capacity minimum stressed fill ratio

0.950000

Minimum execution scenarios per dimension

3

Book sharpe delta lower 95 min exclusive

0

Book deflated sharpe min

0.950000

Covariance halflife days max

21

Realized vol halflife days max

240

Book expected max drawdown max

0.110000

Realized vol leg must be unlevered

yes

Newey west t ratio min

0.600000

Average pairwise correlation upper 95 max

0.100000

Minimum correlation observations

504

Deflated sharpe must be measured

yes

Lineage types

Code commit field

code_commit

Sha256 fields

• preregistration_sha256
• data_manifest_sha256
• diversification_report_sha256

Identifier fields

• family_trial_account
• return_identity_id

Boolean fields

• point_in_time_data
• survivorship_control
• corporate_action_control
• direction_locked
• parameters_locked

Execution evidence policy

Tested statuses require sha256

yes

Tested statuses require scenarios

yes

Tested statuses require scenario manifest

yes

Scenario hashes are canonical payload hashes

yes

Dimension hash is canonical manifest hash

yes

Not applicable requires sha256

yes

Scenario manifest required fields

• scenario_id
• status
• assumptions
• assumptions_sha256
• result
• result_sha256

Scenario statuses

• PASS
• FAIL

Diversification evidence policy

Implementation

alphaforge.validation.diversification.diversification_report

Return type

aligned OOS simple returns with no dropped rows

Stress mask

predeclared upstream and supplied explicitly

Candidate weight

predeclared upstream and supplied explicitly

Confidence method

deterministic circular moving-block bootstrap

Confidence level one sided

0.950000

Default bootstrap samples

2000

Default block size

21

Default seed

20260816

Pbo policy

Measured status

MEASURED

Single identity status

NOT_DEFINED_SINGLE_IDENTITY

Single identity value must be null

yes

Never report not defined as zero

yes

Deflation policy

Per sleeve selection unit

family_trial_account

Per sleeve threshold key

deflated_sharpe_min

Book selection unit

complete_union_hypothesis_identities

Book threshold key

book_deflated_sharpe_min

Book deflation is strictly additional

yes

Per sleeve is measured not gated

yes

Per sleeve measurement key

deflated_sharpe_must_be_measured

Reason. DSR deflates for the trials the selection was drawn from. A pre-registered, direction-locked candidate in a new family was not selected from other families' trials. The published claim is the book's, so the book carries the full union.

Per sleeve gate removed reason. deflated_sharpe_min of 0.95 over this contract's 756-observation minimum requires an annualized Sharpe of 1.184 even at n_trials=2, the least deflation the formula permits: about eight times the declared net_sharpe_min of 0.15, which made the Sharpe floor decoration exactly as the Newey-West t floor did. It is also a bar this book cannot clear -- 0 of 33 restated variants reach it, including the live sleeves' own configurations, so the gate demanded of new candidates something no existing sleeve achieves. Re-scoped rather than lowered: a sleeve admitted for its correlation contribution is not claiming standalone edge, so deflating its standalone Sharpe measures the wrong object. The object actually published is the book's, and it is gated harder -- book_deflated_sharpe_min 0.95 against the COMPLETE union of hypothesis identities, plus a bootstrap lower bound on the book-Sharpe improvement. The per-sleeve deflated Sharpe remains mandatory to measure and publish; evidence that omits it fails closed.

Overlay policy

Mandatory vol target overlay

yes

Implementation

alphaforge.portfolio.overlay.vol_target

Sigma hat rule

max(ex_ante, realized)

Annualized vol target

0.100000

Covariance halflife days max

21

Realized vol halflife days max

240

Halflife pending execution costing

yes

Realized vol leg must be unlevered

yes

Production cov halflife today

720

Production realized vol halflife today

240

Both halves shipped

no

Reason. Permitted stressed pairwise correlation of 0.50 implies an expected maximum drawdown near 20% with no overlay and 16.4% with the overlay as shipped today. Correcting the realized-leg scale and shortening the covariance halflife to 21 holds it at 10.2%. The overlay, not a tighter correlation ceiling, is what holds the drawdown objective.

Realized vol halflife note. 240 is production's value and the value every sweep cell used. No shorter realized-leg halflife was tested, so none is required; this threshold bounds regression, not design.

Covariance halflife note. 21 is the only tested covariance halflife that holds expected max drawdown at or under the objective at the permitted stressed correlation. Provisional pending execution costing.

Production cov halflife unit. BARS, and therefore a different duration per sleeve: 720 bars is 30 days on the crypto H1 sleeve and 720 sessions, about 2.86 years, on equity D1. Incoherent by construction and unchanged, because changing it changes the live book.

Production realized vol halflife unit. BARS, not days, and NOT converted per calendar. On the crypto H1 sleeve 240 bars is 10 days, not the 240 days the realized_vol_halflife_days_max threshold names. Only the covariance leg gained a calendar conversion; the realized leg still has none. Stated here rather than left implied, because the earlier wording of this block asserted a per-calendar conversion for both legs and that was false for this one.

Remaining gap to the drawdown objective. OPEN, and wider than a previous revision of this contract claimed. The measured study holds expected maximum drawdown at 10.2% only with BOTH the realized-leg scale correction (shipped) and the covariance halflife at 21 days (NOT shipped). The halflife change was briefly made the default and has been reverted, for three reasons recorded in full below: it silently re-sizes every live sleeve on the next daily tick; the sweep cell used to price it does not correspond to what the crypto sleeve actually ran; and the live estimator is windowed and seeded, so it does not reproduce the untruncated recursion the sweep simulated. The objective is also an EXPECTED maximum drawdown -- no tested configuration held the 95th percentile at or under 11%, the best being 13.8%.

Frontier arithmetic

Identity

S_book = s_bar * sqrt(N / (1 + (N - 1) * rho_bar))

Target sleeve count

14

Psd floor at target n

-0.076923

Correlation gate in force

0

Gate permits objective floor

no

Gate permits objective ceiling

no

Psd floor note. Average pairwise correlation cannot fall below -1/(N-1) for any real correlation matrix. At fourteen sleeves that floor is far from binding, which is why a negative average is arithmetically available here and is not at 250 sleeves.

Honest reading. Tightening the correlation ceiling from 0.15 to 0.00 removes a ceiling that sat BELOW the objective at every plausible quality, which is why the v4 gate could not have produced the objective at any sleeve count. It does not on its own deliver the objective. At the gate exactly, fourteen sleeves of today's measured quality reach the figure recorded above, and the remaining distance has to be bought with per-sleeve quality, genuinely negative correlation, or both. Publishing this is the point: a target sitting beside a gate that forbids it is not a stretch goal.

Capacity policy

Capacity usd min previous

5000000

Capacity usd min

500000

Reason. A 5,000,000 USD floor per sleeve implies a 70,000,000 USD book at fourteen sleeves. It was written for a fund that does not exist yet, and it did not reject candidates uniformly: the return sources most likely to be genuinely anti-correlated with a momentum-and-carry book -- catastrophe bonds, municipal basis, freight, power, sovereign dislocation -- are structurally thin. The floor therefore selected AGAINST the diversification the objective depends on, which is the opposite of what a capacity gate is for.

What this does not relax. The capacity CURVE, its monotonicity reconciliation, and the stressed fill-ratio floor are unchanged. A candidate must still show Sharpe decaying and cost rising with capital, and must still reconcile its reported capacity to that curve.

Review trigger. Re-raise per sleeve when deployed capital per sleeve exceeds one fifth of this floor. Capacity is a property of the strategy, but the FLOOR is a property of the book, and a floor that outruns the book is a constraint that costs edge for nothing.

Significance policy

Newey west t min

0.250000

Newey west t min role

sign gate

Newey west t ratio min

0.600000

Newey west t ratio role

autocorrelation-inflation gate

Primary significance gate

book_sharpe_delta_lower_95_min_exclusive

Minimum oos observations raised from

252

Reason. v4 declared net_sharpe_min 0.40, newey_west_t_min 2.0 and minimum_oos_observations 252 together. Because t is approximately Sharpe * sqrt(years), a candidate at the declared Sharpe floor needed 25 years of out-of-sample data to clear the t floor, and at the declared 252-observation minimum the pair demanded a standalone Sharpe of 2.0 -- five times the floor a reader of the config would see. v5 lowered the Sharpe floor to 0.15 and left the t floor at 2.0, raising the hidden requirement to 178 years. The t floor, not the Sharpe floor, had been doing the rejecting all along. It is now set where it does what it is for -- excluding wrong-signed and indistinguishable-from-zero results -- and load_admission_contract refuses any contract whose three significance floors cannot all be met at once, so this class of error cannot recur.

Why a standalone bar is the wrong instrument. When correlation binds, standalone Sharpe does not rank a candidate's portfolio value: a Sharpe 0.25 sleeve at correlation -0.05 beats a Sharpe 0.60 sleeve at +0.30. The gate that decides admission is therefore the bootstrap LOWER bound on the book-Sharpe improvement, which prices edge and correlation together, and it is strictly harder to game than either input alone.

Self consistency is enforced at load. load_admission_contract refuses any contract whose significance floors cannot all be satisfied at once. It checks two pairs: net_sharpe_min against newey_west_t_min at minimum_oos_observations, and net_sharpe_min against deflated_sharpe_min solved at n_trials=2. Both pairs were violated before v6, in the same way and undetected, which is why the check is structural rather than a corrected number.

Correlation observations decoupled. minimum_correlation_observations is separate from minimum_oos_observations because they measure different things: a candidate's own sample is the candidate's to supply, while the correlation window is its intersection with the BOOK. Tying them together made admission impossible for a reason that had nothing to do with any candidate -- v6 briefly required 756 correlation observations against a book that can supply 728 on its blessed basis and 177 on its live-forward one.

Minimum oos observations reason. Raised to three years because the binding constraint of this whole programme is an average pairwise correlation, and a correlation measured over 252 observations carries a sampling error near 0.063 -- twice the size of the -0.03 effect the objective turns on. Gating a number the sample cannot resolve is not a strict gate. Paired with average_pairwise_correlation_upper_95_max, which gates the bound rather than the point estimate.