{
  "kind": "btc-liquidity-research",
  "publishable": false,
  "protocol": {
    "status": "exploratory retrospective research, not production",
    "cutoff": "2026-09-30",
    "sampleStart": "2014-01-31",
    "originalCalibration": [
      "2018-01-31",
      "2026-04-30"
    ],
    "recoveredCommit": "e1c1d45c594bcbdbb0eb8b215ec2e0801411d321",
    "commitDate": "2026-05-02",
    "recoveredVariants": [
      "Log BTC returns on contemporaneous log SPY return, 3-month G3 change and SPY/liquidity interaction, with intercept; later mean/volatility matching. Notes report R-squared about 0.17.",
      "No-intercept monthly return model with SPY and G3 changes; original diagnostic reports 27.9% proxy volatility versus 67.6% actual BTC.",
      "May 28 notes specify no-intercept SPY monthly return plus 3-month G3 log change, with coefficients about 1.5094 and 0.5035. Original temporary script is unavailable."
    ],
    "liquidityUnits": "All balances in USD millions: WALCL - 1000*RRPONTSYD - WTREGEN + ECBASSETSW*DEXUSEU + JPNASSETS*100/DEXJPUS",
    "releaseLagAssumptions": "7 calendar days for weekly/daily series; BOJ monthly end-of-period observation moved to month-end plus 14 days. These are assumed delays on revised data, not recovered original release vintages.",
    "descriptiveAnalysis": "Reconstruct documented contemporaneous regressions; separate explanatory fit from forecast skill; retain unexplained variance.",
    "forecastHorizonsMonths": [
      12,
      36
    ],
    "forecastTargets": "Subsequent annualized BTC log return; evaluate only completed horizons.",
    "forecastModels": [
      "Fixed 20% compound return prior",
      "Zero return",
      "Expanding historical mean log return since 2014",
      "Ridge forecast from trailing 12-month BTC and SPY returns",
      "Same ridge forecast plus release-lagged 3-month G3 growth",
      "20% prior minus log price deviation from a trailing 60-month regression of log BTC on log SPY and log G3, divided by forecast horizon"
    ],
    "forecastFit": "At each month-end, use only predictor rows with fully matured target horizons. Minimum 36 monthly labels; ridge penalty 6 on training-standardized slopes, unpenalized intercept. No tuning or clipping. Valuation-level regression excludes the current observation.",
    "sensitivity": "84-month instead of 60-month valuation window; results descriptive, not selected for better performance.",
    "metrics": "RMSE and MAE of annualized log returns; common-date comparisons; squared-error improvement against fixed 20% with moving-block bootstrap of 12 or 36 months. Monthly overlapping forecasts are not independent observations.",
    "restrictions": "No synthetic pre-BTC observations are used as training targets or evidence of additional BTC history. No return forecast is promoted to production. No household financial data is used."
  },
  "inputSources": [
    {
      "series": "WALCL",
      "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=WALCL",
      "sha256": "1900a650f4256dd3635ca58adf33d7f1889d4777cc8c36a562f20542c24fa6f9",
      "retrievedAt": "2026-10-08T19:45:32.553010+00:00"
    },
    {
      "series": "RRPONTSYD",
      "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=RRPONTSYD",
      "sha256": "818ea75af65b354f5c120c4b3947d4fc3c1669db9e6dad2b3fa52803b6cea2f3",
      "retrievedAt": "2026-10-08T19:45:32.571139+00:00"
    },
    {
      "series": "WTREGEN",
      "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=WTREGEN",
      "sha256": "0daedef36f185d5bb1bef8fa258ad3c935c5e932c06a52a77776b3e03acdf40b",
      "retrievedAt": "2026-10-08T19:45:32.894798+00:00"
    },
    {
      "series": "ECBASSETSW",
      "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=ECBASSETSW",
      "sha256": "91d32384675e7422cfdbc3b0006e17bfa86a131096593f565e6f96d313007cbd",
      "retrievedAt": "2026-10-08T19:45:32.803072+00:00"
    },
    {
      "series": "JPNASSETS",
      "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=JPNASSETS",
      "sha256": "8c8c7b35354edf6c80157d8287c6cb1fc12f49df39da31b4c5f099e61c98ef95",
      "retrievedAt": "2026-10-08T19:45:32.996025+00:00"
    },
    {
      "series": "DEXUSEU",
      "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=DEXUSEU",
      "sha256": "81324d84a8772ee71420e54e21ae12a1995a6a49c6dfa4480c0bc6450aacdc1f",
      "retrievedAt": "2026-10-08T19:45:32.967969+00:00"
    },
    {
      "series": "DEXJPUS",
      "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=DEXJPUS",
      "sha256": "2bd05703ca65d19630c97f372a2ac43ed49d910e77ae1edd535305e667d4b3f9",
      "retrievedAt": "2026-10-08T19:45:33.127268+00:00"
    },
    {
      "series": "CPIAUCSL",
      "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=CPIAUCSL",
      "sha256": "f8ecddf53a9a9a74dda92c2c4204e6039466fcb744bc74171b73b5f6aac48119",
      "retrievedAt": "2026-10-08T19:45:33.159071+00:00"
    },
    {
      "series": "BTC",
      "url": "https://community-api.coinmetrics.io/v4/timeseries/asset-metrics?assets=btc&metrics=PriceUSD&frequency=1d",
      "sha256": "95326b124708522a370402500a478c0a6a6870123c3373de0b5d509739305857"
    },
    {
      "series": "SPY",
      "url": "https://query1.finance.yahoo.com/v8/finance/chart/SPY",
      "sha256": "c7cc359b670bfe42b2d93a9c0f75aca9a43d744e359a922f1b1605f239621630"
    }
  ],
  "sampleMonths": 153,
  "reconstruction": {
    "monthly": {
      "coefficients": [
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        0.991902763776057
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      "centeredRSquared": 0.15268416697286846,
      "actual": {
        "cagr": 0.2264798881246262,
        "logVolatility": 0.6604093334041478,
        "simpleVolatility": 0.6821325675693758,
        "maxDrawdown": -0.7550453357767387
      },
      "proxy": {
        "cagr": 0.23017548700984136,
        "logVolatility": 0.28236564382045615,
        "simpleVolatility": 0.2847643165226031,
        "maxDrawdown": -0.4640156624379018
      },
      "monthlyReturnCorrelation": 0.398385856000119
    },
    "three_month": {
      "coefficients": [
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        0.5067502322093766
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      "centeredRSquared": 0.15527920972346254,
      "actual": {
        "cagr": 0.2264798881246262,
        "logVolatility": 0.6604093334041478,
        "simpleVolatility": 0.6821325675693758,
        "maxDrawdown": -0.7550453357767387
      },
      "proxy": {
        "cagr": 0.24928934611002249,
        "logVolatility": 0.2825298444241398,
        "simpleVolatility": 0.2856818987110864,
        "maxDrawdown": -0.4897917002094011
      },
      "monthlyReturnCorrelation": 0.40039185121094706
    },
    "log_interaction": {
      "coefficients": [
        -0.002194018522523959,
        1.4311868112875037,
        0.42312632496143543,
        0.046291053075586786
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      "rSquared": 0.16304628323844428,
      "residualAnnualLogVolatility": 0.6041766315959384,
      "rawProxy": {
        "cagr": 0.22647988812462636,
        "logVolatility": 0.2666666186096352,
        "simpleVolatility": 0.272070962934748,
        "maxDrawdown": -0.4364708335017434
      }
    },
    "levels": {
      "rSquared": 0.9238780074648437,
      "coefficients": {
        "const": -25.48162541319718,
        "spy": 2.5743840221807948,
        "g3": 1.2167245092730083
      },
      "cointegrationPValue": 0.029267379860038835
    }
  },
  "forecastResults": {
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