← journal · entry recorded 09-17 01:10Z (backfill from stored records) · MOCK data
- entered
- 09-12 20:15Z
- strategy
- crypto.volatility
- entry price
- 2,223.62
- quantity
- 1.280
- initial stop
- 2,419.57
- take profit
- 1,831.20
- planned risk
- $251 · 0.25%
- confidence (uncalibrated)
- 55
- closed
- 09-13 08:00Z
- exit price
- 2,234.27
- exit reason
- invalidation: horizon exceeded: 48 bars held
- bars held
- 48
- gross P&L
- −13.62
- fees · financing
- −5.71 · −0.16
- net P&L
- −19.49
- MAE · MFE price
- 2,277.89 · 2,207.44
- macro regime
- MIXED / TRANSITIONAL
- usd
- usd weakening
- risk
- neutral
- crypto
- crypto deleveraging
- growth
- neutral
- commodity
- normal
- inflation
- neutral
- liquidity
- neutral
- volatility
- normal
WRONG THESIS−0.08Rlegacy class normal variance · post-trade-2.0.0 · 2 versions (older kept)
- WRONG THESIS the market moved against the thesis with no identifiable external cause
| Expected | Actual | |
|---|---|---|
| R | expected -0.09 · target 2.00 | actual -0.08 · MFE 0.08 · MAE -0.28 |
| Entry | plan 2,223.44854 | filled 2,223.62418 (-0.00R) · slippage 0.00 vs — |
| Exit | stop 2,419.57096 · target 1,831.20370 | 2,234.26650 · invalidation: horizon exceeded: 48 bars held · target reached no |
| Horizon | 48 bars | 48 bars |
| Costs | model slippage: entry — · exit — | total 7.59 (0.03R): fees 5.71 · spread 0.83 · slippage 0.90 · financing -0.16 |
| Regime | usd weakening · risk neutral · crypto deleveraging · growth neutral · inflation neutral · volatility normal | changed by exit: none · 13 bars |
| Relationships | stable relationships assumed by the thesis | no breakdown involving the instrument |
| Volatility | expected bar σ 0.02205 | realised 0.00669 (0.30×) · largest bar 0.74 ATR |
| Events | none of high importance |
Thesis snapshot · stored hypothesis, journalled later by backfill
- crypto.volatility SHORT ETH/USD: breakout signal, horizon 4H-2D
- crypto deleveraging regime (0.75) helps a short ETHUSD (assumed sensitivity +1.0)
- BTCUSD momentum -0.8 sd with correlation +0.74 confirms the trade
- close broke the lower band
- band width in the 6% percentile: squeeze
- Against: usd weakening regime (0.41) hurts a short ETHUSD (assumed sensitivity -0.3)
approved: all risk checks passed
Simulated under the MOCK sandbox: the strategy has not earned PAPER.
No rejection reasons.
- ▲macro-0.73crypto deleveraging regime (0.75) helps a short ETHUSD (assumed sensitivity +1.0)
- ▲cross asset-0.82BTCUSD momentum -0.8 sd with correlation +0.74 confirms the trade
- ▲technical-24close broke the lower band
- ▲volatility0.06band width in the 6% percentile: squeeze
- ▼macro-0.31usd weakening regime (0.41) hurts a short ETHUSD (assumed sensitivity -0.3)
- stop at 2419.57 (4.0 x ATR(14))
- close back through the 20-bar mean within 4 bars
- horizon exceeded: 48 bars held
| cross asset | CONFIRMS | +0.41 | 1 ev. |
| macro | MIXED | +0.17 | 2 ev. |
| technical | CONFIRMS | +0.41 | 2 ev. |
- next event
- none in window
- blocks entry
- no
- size multiplier
- 1.00×
- confidence add
- +0
- state at decision
- thin
- score
- −0.25
| eligibility | 1 ✓ | 0 ✗ |
| trade | 10 ✓ | 0 ✗ |
| portfolio | 11 ✓ | 0 ✗ |
| system | 2 ✓ | 0 ✗ |
| Time | Side | Qty | Price | Fee | Slippage | Expected | Liquidity |
|---|---|---|---|---|---|---|---|
| 09-13 08:00Z | BUY | 1.280 | 2,234.27 | 2.86 | 0.90 | — | thin |
| 09-12 20:15Z | SELL | 1.280 | 2,223.62 | 2.85 | 0.00 | — | thin |
- executed09-12 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
- 2026-09-12T20:00:00Z
- 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