← journal · entry recorded 09-17 01:10Z (backfill from stored records) · MOCK data
- entered
- 09-10 20:00Z
- strategy
- crypto.volatility
- entry price
- 94,691.1
- quantity
- 0.032
- initial stop
- 103,688.7
- take profit
- 76,808.3
- planned risk
- $288 · 0.29%
- confidence (uncalibrated)
- 60
- closed
- 09-11 08:00Z
- exit price
- 95,446.0
- exit reason
- invalidation: horizon exceeded: 48 bars held
- bars held
- 48
- gross P&L
- −24.16
- fees · financing
- −6.08 · −0.16
- net P&L
- −30.41
- MAE · MFE price
- 100,017.4 · 91,192.4
- macro regime
- MIXED / TRANSITIONAL
- usd
- neutral
- risk
- neutral
- crypto
- crypto deleveraging
- growth
- neutral
- commodity
- normal
- inflation
- neutral
- liquidity
- neutral
- volatility
- volatility expansion
REGIME ERROR−0.11Rlegacy class wrong regime · post-trade-2.0.0 · 2 versions (older kept)
- REGIME ERROR regime changed by exit: usd, volatility
| Expected | Actual | |
|---|---|---|
| R | expected -0.07 · target 1.99 | actual -0.11 · MFE 0.39 · MAE -0.59 |
| Entry | plan 94,728.56841 | filled 94,691.09193 (0.00R) · slippage 1.08 vs — |
| Exit | stop 103,688.71290 · target 76,808.27942 | 95,445.99335 · invalidation: horizon exceeded: 48 bars held · target reached no |
| Horizon | 48 bars | 48 bars |
| Costs | model slippage: entry — · exit — | total 8.18 (0.03R): fees 6.08 · spread 0.29 · slippage 1.63 · financing -0.16 |
| Regime | usd neutral · risk neutral · crypto deleveraging · growth neutral · inflation neutral · volatility expansion | changed by exit: usd, volatility · 13 bars |
| Relationships | stable relationships assumed by the thesis | no breakdown involving the instrument |
| Volatility | expected bar σ 0.02366 | realised 0.01799 (0.76×) · largest bar 1.28 ATR |
| Events | none of high importance |
Lesson: Consider exiting on regime change for usd, volatility earlier (invalidation threshold).
Thesis snapshot · stored hypothesis, journalled later by backfill
- crypto.volatility SHORT BTC/USD: breakout signal, horizon 4H-2D
- crypto deleveraging regime (0.64) helps a short BTCUSD (assumed sensitivity +1.0)
- close broke the lower band
- band width in the 3% percentile: squeeze
- Against: usd weakening regime (0.54) hurts a short BTCUSD (assumed sensitivity -0.3)
approved: all risk checks passed
Simulated under the MOCK sandbox: the strategy has not earned PAPER.
No rejection reasons.
- ▲macro-0.59crypto deleveraging regime (0.64) helps a short BTCUSD (assumed sensitivity +1.0)
- ▲technical-113close broke the lower band
- ▲volatility0.03band width in the 3% percentile: squeeze
- ▼macro-0.47usd weakening regime (0.54) hurts a short BTCUSD (assumed sensitivity -0.3)
- stop at 103689 (4.0 x ATR(14))
- close back through the 20-bar mean within 4 bars
- horizon exceeded: 48 bars held
| cross asset | MIXED | −0.17 | 0 ev. |
| macro | MIXED | +0.13 | 2 ev. |
| technical | CONFIRMS | +0.36 | 2 ev. |
- next event
- none in window
- blocks entry
- no
- size multiplier
- 1.00×
- confidence add
- +0
- state at decision
- high
- score
- +1.00
| eligibility | 1 ✓ | 0 ✗ |
| trade | 10 ✓ | 0 ✗ |
| portfolio | 11 ✓ | 0 ✗ |
| system | 2 ✓ | 0 ✗ |
| Time | Side | Qty | Price | Fee | Slippage | Expected | Liquidity |
|---|---|---|---|---|---|---|---|
| 09-11 08:00Z | BUY | 0.032 | 95,446.0 | 3.05 | 0.55 | — | normal |
| 09-10 20:00Z | SELL | 0.032 | 94,691.1 | 3.03 | 1.08 | — | high |
- executed09-10 20:00Zlegacy status "executed" mapped by migration 0004 (legacy executed meant order accepted; checked for an entry fill) · migration
Versions at entry
- data mode
- MOCK
- timestamp
- 2026-09-10T20:00:00Z
- data source
- mock
- risk version
- risk-1.0.0+e561f3f2
- model version
- regime-rules-1.0.0+ba09c5ab
- feature version
- fs-1.0.0+bbfe6af5
- strategy version
- crypto.volatility@1.0.0
- execution version
- exec-1.0.0+821dd562
- confidence version
- conf-1.0.0+18bcb659
- event policy version
- evpol-1.0.0+391f9e5d