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Okay, so I bought this game while it was on sale, but I haven't played it until now. I started as Korea and about a year later attacked Siam when Dai Viet went to war with it. I realized then that my ships didn't get any supply, and were at 5% strength. Is there an explanation for this? I put the supply slider all the way to the right, so what gives?
 
Seeing as you're playing as Korea, it's probably because you don't have any Naval Bases and don't have far supply range. Either that, or you're not funding your navy enough.
 
What's happening is that you don't have clipper conveys, which you need to maintain the navy. In the beginning of the game the world market has a shortage of clippers so low ranked countries (mostly uncivs) don't get any, and so their ships decay. You can try setting the stockpile manually to gather lots of clippers so you can stock up on them when they do become available, but generally speaking uncivs can't power project early in the game.
 
Same thing happens with Japan - the only starting clipper ship of their navy soon gets reduced to 5% health. And indeed, the problem is all about naval bases and supplies. To be able to maintain a fleet, you need a naval base. And to get naval bases you need technology, which is available in a naval reform if you have not westernized. As for supplies, if you haven't westernized you either need to have someone producing some clippers, or somehow buy the clipper ships from the market (which is near impossible during early game).

China can maintain a decent navy though. They have enough artisans who can produce a sizeable amount of clippers for their navy. They have all the goods needed most of the time, and don't even need to westernize.