GET /v1/calibration/health

Runs Value-at-Risk backtests across all assets with sufficient price history and returns calibration health diagnostics with actionable suggestions.

Request

GET https://api.canonprotocol.org/v1/calibration/health

Headers

Header	Required	Value
Authorization	Yes	Bearer YOUR_API_KEY

Response

{
  "computed_at": "2025-03-21T14:30:00Z",
  "assets_tested": 42,
  "assets_passing": 38,
  "aggregate_status": "degraded",
  "per_asset": [
    {
      "asset": "PEPE",
      "observations": 23,
      "var_99_breach_rate": 0.043,
      "var_99_expected_rate": 0.01,
      "kupiec_p_value": 0.02,
      "status": "too_many_breaches"
    }
  ],
  "suggestions": [
    {
      "asset": "PEPE",
      "issue": "VaR underestimates risk (breach rate 4.3% vs expected 1%)",
      "severity": "critical",
      "suggestion": "Consider increasing VaR estimates for PEPE. Volatility may be underestimated."
    }
  ]
}

Top-Level Fields

Field	Type	Description
computed_at	string	ISO 8601 timestamp
assets_tested	number	Number of assets with sufficient data for backtesting
assets_passing	number	Assets where VaR model passes the Kupiec test
aggregate_status	string	"healthy", "degraded", or "miscalibrated"
per_asset	array	Per-asset backtest results
suggestions	array	Actionable recalibration recommendations

Aggregate Status

Status	Meaning
healthy	No critical failures across tested assets
degraded	Some assets failing, but less than 30% are critical
miscalibrated	More than 30% of assets have critical VaR failures
insufficient_data	Not enough assets have sufficient price history

Per-Asset Health

Field	Type	Description
asset	string	Asset ticker
observations	number	Number of daily VaR predictions tested
var_99_breach_rate	number	Actual rate at which losses exceeded 99% VaR
var_99_expected_rate	number	Expected breach rate (0.01 for 99% VaR)
kupiec_p_value	number	Kupiec POF test p-value. Below 0.05 indicates miscalibration
status	string	"pass", "too_many_breaches", "too_few_breaches", or "insufficient_data"

Suggestion Severity

Severity	Meaning
critical	VaR underestimates risk — agents may be taking on more risk than reported
warning	VaR is too conservative — agents may be avoiding profitable trades unnecessarily