{ "$schema": "https://json-schema.org/draft/2020-12/schema", "$id": "https://canlicapital.com/standards/paper-evidence/v0/schema.json", "title": "canli.paper-evidence.v0", "description": "A record of paper-traded or simulated strategy performance that states what it does not know. The schema exists because the failure mode of a performance claim is not a wrong number, it is a number whose basis, cost assumptions, search history and missing evidence are unstated. Every required field below is one of those.", "type": "object", "required": [ "schema", "generated_at", "capital", "identity", "period", "returns", "costs", "selection", "risk", "corrections", "provenance", "claim_maturity" ], "additionalProperties": false, "properties": { "schema": { "const": "canli.paper-evidence.v0" }, "generated_at": { "type": "string", "format": "date-time" }, "capital": { "type": "object", "description": "What kind of money produced this record. The single most misreadable fact about any track record, so it is required and enumerated rather than described in prose.", "required": ["kind", "execution"], "additionalProperties": false, "properties": { "kind": { "enum": ["PAPER", "FUNDED", "SIMULATED", "MIXED"], "description": "PAPER: orders placed at a broker against a paper account. SIMULATED: no broker involved. FUNDED: real capital at risk. MIXED: any combination, which must be decomposed in `notes`." }, "execution": { "enum": ["BROKER_PAPER_FILLS", "LOCAL_SIMULATED_FILLS", "BROKER_LIVE_FILLS", "MIXED"], "description": "Where the fills came from. A broker paper fill and a locally modelled fill are different evidence and may not be merged silently." }, "venue": { "type": "string" }, "notes": { "type": "string" } } }, "identity": { "type": "object", "description": "What this record is about, and whether that thing was frozen before the returns were seen.", "required": ["name", "kind", "preregistered"], "additionalProperties": false, "properties": { "name": { "type": "string", "minLength": 1 }, "kind": { "enum": ["SLEEVE", "BOOK", "CANDIDATE"] }, "preregistered": { "type": "boolean", "description": "Whether the strategy identity was frozen before its out-of-sample returns were opened. False is a legitimate answer and is far more useful than an absent field." }, "preregistration_ref": { "type": "string" }, "constituents": { "type": "array", "items": { "type": "string" } } } }, "period": { "type": "object", "required": ["first_observation", "last_observation", "observation_count", "frequency"], "additionalProperties": false, "properties": { "first_observation": { "type": "string", "format": "date" }, "last_observation": { "type": "string", "format": "date" }, "observation_count": { "type": "integer", "minimum": 0 }, "frequency": { "enum": ["DAILY", "WEEKLY", "MONTHLY", "HOURLY", "IRREGULAR"] }, "calendar": { "type": "string" } } }, "returns": { "type": "object", "description": "Return figures, always net-of-what stated. A return series whose cost treatment is unstated is not a measurement.", "required": ["basis", "cumulative", "series_available"], "additionalProperties": false, "properties": { "basis": { "enum": ["GROSS", "NET_OF_MODELLED_COSTS", "NET_OF_REALISED_COSTS"], "description": "NET_OF_REALISED_COSTS requires broker-observed costs, not a model." }, "cumulative": { "type": "number" }, "annualised": { "type": ["number", "null"] }, "sharpe_annualised": { "type": ["number", "null"] }, "sharpe_reportable": { "type": "boolean", "description": "Whether the sample supports reporting a Sharpe at all. A short record must set this false and leave sharpe_annualised null rather than publishing a figure the sample cannot carry." }, "series_available": { "type": "boolean" }, "series_url": { "type": "string" } } }, "costs": { "type": "object", "description": "What was charged and what was assumed. Absent cost modelling is itself a disclosure.", "required": ["modelled"], "additionalProperties": false, "properties": { "modelled": { "type": "boolean" }, "components": { "type": "array", "items": { "enum": ["SPREAD", "FEES", "IMPACT", "LATENCY", "FINANCING", "BORROW", "FUNDING"] } }, "turnover_annualised": { "type": ["number", "null"] }, "notes": { "type": "string" } } }, "selection": { "type": "object", "description": "How much searching produced this result. Without it a Sharpe ratio is uninterpretable, which is the single most common defect in published performance.", "required": ["trials_counted", "trial_count", "deflation_applied"], "additionalProperties": false, "properties": { "trials_counted": { "type": "boolean", "description": "Whether the publisher actually maintains a trial ledger. False is honest; an unstated trial count is not." }, "trial_count": { "type": ["integer", "null"], "minimum": 0 }, "trial_unit": { "type": "string" }, "deflation_applied": { "type": "boolean" }, "deflated_sharpe_ratio": { "type": ["number", "null"], "minimum": 0, "maximum": 1 }, "deflation_method": { "type": "string" } } }, "risk": { "type": "object", "required": ["max_drawdown_realised", "drawdown_basis"], "additionalProperties": false, "properties": { "max_drawdown_realised": { "type": ["number", "null"] }, "drawdown_basis": { "enum": ["OBSERVED", "MODEL_ESTIMATED", "NOT_ESTABLISHED"] }, "max_drawdown_model_expected": { "type": ["number", "null"] }, "exposure_notes": { "type": "string" } } }, "corrections": { "type": "object", "description": "Whether anything in this record has been withdrawn. A record with no correction history and no statement that it has none is silent, not clean.", "required": ["count", "withdrawn_figures"], "additionalProperties": false, "properties": { "count": { "type": "integer", "minimum": 0 }, "withdrawn_figures": { "type": "array", "items": { "type": "object", "required": ["figure", "withdrawn_on", "reason"], "additionalProperties": false, "properties": { "figure": { "type": "string" }, "withdrawn_on": { "type": "string", "format": "date" }, "reason": { "type": "string" }, "superseded_by": { "type": "string" } } } }, "log_url": { "type": "string" } } }, "provenance": { "type": "object", "description": "What a reader can check without trusting the publisher.", "required": ["source_bindings", "independently_verifiable"], "additionalProperties": false, "properties": { "source_bindings": { "type": "array", "minItems": 1, "items": { "type": "object", "required": ["path", "sha256"], "additionalProperties": false, "properties": { "path": { "type": "string" }, "sha256": { "type": "string", "pattern": "^(sha256:)?[0-9a-f]{64}$" }, "url": { "type": "string" } } } }, "independently_verifiable": { "type": "boolean" }, "verification_url": { "type": "string" }, "signed": { "type": "boolean" }, "signature_scheme": { "type": "string" } } }, "claim_maturity": { "type": "object", "description": "What this record does NOT establish. Required, because the omission of this section is what makes an otherwise accurate record misleading.", "required": ["establishes", "does_not_establish"], "additionalProperties": false, "properties": { "establishes": { "type": "array", "items": { "type": "string" } }, "does_not_establish": { "type": "array", "minItems": 1, "items": { "type": "string" }, "description": "At least one entry. Every record fails to establish something, and a publisher who cannot name one has not looked." }, "external_review_count": { "type": "integer", "minimum": 0 }, "independent_replication_count": { "type": "integer", "minimum": 0 } } }, "notes": { "type": "string" } } }