00 / Performance
We would rather show you the method than a number we cannot defend.
Most platforms lead with a curve. We lead with how the curve is judged, because a curve is only as honest as the test behind it. This page shows exactly how we decide whether an edge is real, and reports the result in full: the crypto-only edge did not clear the bar, and we say so.
Paper only, no real capital, no claimed return.
02 / What we measure
Six ways to catch ourselves out.
Search enough ideas and one will look brilliant by luck. These six tests separate that from a real edge. Each asks the same question a different way: would this survive if the world had not been so kind?
02 / The gauntlet
One question, asked six ways.
The same field of signals, run through every test in turn, until one verdict remains or the edge fails.
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01 / Purged walk-forward
Always out-of-sample.
The backbone. Train on the past, test on an unseen future, with a purge and embargo around every boundary. If an edge exists only in-sample, this is exactly where it disappears.
Gate / positive and stable out-of-sample
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02 / Deflated Sharpe Ratio
Discounted for how hard we looked.
A Sharpe ratio discounted for the number of trials behind it and for the non-normal shape of real returns. Given how hard we searched, how impressed should we actually be.
Gate / above zero after deflation
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03 / Probabilistic Sharpe Ratio
A confidence, not a point estimate.
The probability that the true Sharpe sits above a chosen threshold, given the sample we have. A statement of confidence rather than a single flattering number.
Gate / high confidence above threshold
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04 / Probability of Backtest Overfitting
The signature of a curve-fit.
Estimated by combinatorially symmetric cross-validation: the chance the configuration that looked best in-sample is no better than the median out-of-sample. Lower is better. A high reading is the classic tell of a curve-fit.
Gate / low, well below 0.5
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05 / Combinatorially-purged cross-validation
Not one lucky path through history.
Performance estimated across many purged train and test combinations, so the headline figure is the behaviour of the method across histories, not the single kindest route through the past.
Gate / consistent across folds
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06 / Must-beat-baseline gate
Beating zero is not the bar.
Every configuration we tried is counted and fed into the deflation, and the strategy must beat a simple honest baseline by a meaningful margin. A result that only beats doing nothing has not earned a dollar of risk.
Gate / beats a simple honest baseline by a meaningful margin
03 / The facts
What is true today.
These are the only numbers on this page. Every one is a property of the engine and its data, not a performance claim. Hold us to them.
- 0 No look-ahead
- 1 Cost authority, research and paper
- 2020 Crypto history starts
// Performance is absent from this ledger on purpose. Canli Capital has not traded real capital. There is no live return to report, and a backtest is not one.
04 / Results
Here is the curve, and what it did not clear.
This is the validated out-of-sample result for AlphaForge: the equity curve, the Deflated and Probabilistic Sharpe ratios, the Probability of Backtest Overfitting, the trial count behind them, and the baseline it had to beat. It did not clear the bar, and we publish it in full.
This is a real, validated result. It did not clear purged walk-forward and the deflation, and we publish it in full. The path forward is breadth.
05 / Capacity
Size has a price.
An edge that exists at one notional may not exist at ten. The capacity curve traces expected return net of cost against deployed capital, so the point where size starts to erode the edge through impact and funding is visible, not assumed. It draws from a validated artifact or it stays blank.
The capacity curve is drawn from a validated artifact. It is dormant until one exists.
06 / Standing
The crypto-only edge has not cleared the bar. We are telling you on purpose.
AlphaForge, tested on crypto perpetual futures alone, does not clear our validation gauntlet. After deflation and cost, the signal is not strong enough to stake capital on. So we report it instead of dressing a backtest as a promise. Canli Capital does not claim to always win. It runs the test in the open and reports what passes and what does not.
We would rather post a null than a number we cannot defend.
The deployed book pairs the crypto sleeve with a US equity momentum sleeve that does clear the bar; the two are near-uncorrelated, and that is the edge. Breadth beyond the pair is the road forward, and it is on the progress page.
07 / The current book
What the algorithms are holding, right now.
The house runs four algorithms: three standalone sleeves, AlphaForge (crypto funding carry), AlphaMax (US-equity 12-1 momentum), and AlphaTrend (managed-futures trend, the newest, DSR 0.83), and ALPHAC, the equal-risk combination of the first two and flagship (AlphaTrend joins once it earns a live forward record). In-sample validation reads 1.46. Corrected for every strategy we tried, it deflates to a forward of 0.3 to 0.9. That is the number to lead with. Below are the live positions the book carries today: the real names, top per side, with counts, gross, and net.
Honest forward Sharpe 0.3 to 0.9 in-sample 1.46
Holding cash, no open positions
The funding-carry loop stands aside when carry does not clear costs; when it does, it trades a market-neutral book. The state above is read live from the record, in whichever state the sleeve is in.
The book combines . The three sleeves are near-uncorrelated in calm markets, and that decorrelation is the edge; the disclosed overlay is commoditized beta, held as a separate labelled line, never blended into the neutral core.
// These are the live paper positions, refreshed daily, drawn from the same ledger the engine acts on. No real money is in play. No name is shown that the book does not hold.