← opportunities · hypothesis 052ca3a1 · 09-03 12:00Z · MOCK data
WHY GBP/USD LONG?LONGexecutedfx.breakout4H-4DMOCK sandboxMOCK
- executed09-03 12:00Zlegacy status "executed" mapped by migration 0004 (legacy executed meant order accepted; checked for an entry fill) · migration
- fx.breakout LONG GBP/USD: breakout signal, horizon 4H-4D
- AUDUSD momentum +0.7 sd with correlation +0.64 confirms the trade
- close broke the prior 55-bar high at 1.3637
- band width in the 28% percentile before the break (compression)
- short/long realised vol 1.03: volatility expanding
- Against: usd strengthening regime (0.39) hurts a long GBPUSD (assumed sensitivity -1.0)
approved: all risk checks passed
Simulated under the MOCK sandbox: the strategy has not earned PAPER.
No rejection reasons.
- ▲cross asset0.67AUDUSD momentum +0.7 sd with correlation +0.64 confirms the trade
- ▲technical1.36close broke the prior 55-bar high at 1.3637
- ▲volatility0.28band width in the 28% percentile before the break (compression)
- ▲volatility1.03short/long realised vol 1.03: volatility expanding
- ▼macro0.27usd strengthening regime (0.39) hurts a long GBPUSD (assumed sensitivity -1.0)
- stop at 1.35584 (4.0 x ATR(14))
- close back inside the channel (< 1.3637) within 6 bars: false breakout
- horizon exceeded: 96 bars held
| cross asset | MIXED | 0.00 | 1 ev. |
| macro | MIXED | −0.23 | 1 ev. |
| technical | CONFIRMS | +0.34 | 3 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 ✗ |
57
57
Not a probability. Heuristic weighted score. Not a probability of profit. Calibrate on >=200 paper trades (reliability diagram) before treating as one.
| signal agreement | 0.12 | 0.0 | |
| macro confirmation | 0.18 | −2.0 | |
| regime alignment | 0.12 | +1.9 | |
| cross asset | 0.12 | 0.0 | |
| volatility | 0.08 | +4.0 | |
| liquidity | 0.08 | +4.0 | |
| event risk | 0.10 | −4.0 | |
| historical performance | 0.12 | +0.4 | |
| risk reward | 0.08 | +2.7 |
- Entry zone
- 1.36469 – 1.36587
- Reference
- 1.36528
- Stop
- 1.35584 · 4.0 ATR
- Target 1
- 1.38889 · 2.5R
- Reward / risk
- 2.50
- Expected horizon
- 4H-4D · max 96 bars
- Expected return
- +0.06R
- OOS win rate (uncal.)
- 30.0% · n=18
walk-forward out-of-sample (2026-09-16): n=18, shrunk mean R x 0.47, Beta(1,1) win rate
Size28,000approved
Risk0.26%$264 · notional $38,228
Portfolio impact
Not evaluated: the opportunity was rejected before the portfolio projection.
| Layer | Check | Value | Limit | Detail | |
|---|---|---|---|---|---|
| system | kill switch inactive | ✓ | inactive | inactive | |
| system | trading mode valid | ✓ | paper | paper|backtest|live | |
| eligibility | strategy stage eligible | ✓ | BACKTEST (sandbox) | PAPER|SHADOW|LIMITED_CAPITAL|PRODUCTION | MOCK sandbox: strategy has not earned PAPER; simulated on synthetic data only |
| trade | market liquidity allows entry | ✓ | high | not closed/maintenance/rollover/reopen | session overlap: london + new_york |
| trade | quote fresh | ✓ | 0 | 15 | minutes since last quote |
| trade | spread sane | ✓ | 0.9 | 2.5 | spread / typical spread |
| trade | event policy | ✓ | clear | clear | |
| trade | confidence minimum | ✓ | 56.9 | 55 | uncalibrated score; event policy adds 0 |
| trade | risk reward minimum | ✓ | 2.5 | 1.5 | |
| trade | stop distance sane | ✓ | 4 | 0.5 | stop distance in ATRs |
| trade | no conflicting position | ✓ | 0 open, 0 pending | none | |
| portfolio | consecutive loss pause | ✓ | 0 | 4 | |
| portfolio | daily loss limit | ✓ | 0 | -2 | % since trading-day start |
| portfolio | drawdown limit | ✓ | 0 | 10 | % below peak equity |
| trade | size above minimum | ✓ | 28,000 | 1,000 | units (GBP) |
| trade | risk per trade | ✓ | 0.2644 | 1 | % of equity at the stop |
| portfolio | gross exposure | ✓ | 38.23 | 500 | % of equity |
| portfolio | leverage | ✓ | 0.382 | 5 | |
| portfolio | currency exposure | ✓ | 38.23 | 300 | largest net currency exposure: GBP |
| portfolio | usd factor exposure | ✓ | -33.47 | 250 | beta-weighted USD-index-equivalent exposure, % of equity |
| portfolio | correlated cluster risk | ✓ | 0.264 | 1.5 | no correlated open positions |
| portfolio | crypto exposure | ✓ | 0 | 50 | % of equity |
| portfolio | portfolio volatility | ✓ | 3.539 | 20 | forecast annualised volatility |
| portfolio | max open positions | ✓ | 1 | 8 |
| Step | Qty after | × | Detail |
|---|---|---|---|
| fixed_risk | 52,949 | 0.5% of $100,000 = $500 over a stop of 0.00944307 ($0.0094/unit) | |
| confidence_adjusted | 28,151 | 0.53 | confidence 57 -> x0.53 (never above x1.00) |
| portfolio_risk_adjusted | 28,151 | 1.00 | correlated open risk $0 of $1,500 cluster budget -> x1.00 |
| event_policy | 28,151 | 1.00 | event policy x1.00, liquidity x1.00 |
| caps | 28,000 | rounded down to step 1000 |
| Created | Role | Type | Qty | Status | Avg fill |
|---|---|---|---|---|---|
| 09-03 12:00Z | take profit | SELL LIMIT | 28,000 | cancelled | — |
| 09-03 12:00Z | entry | BUY MARKET | 28,000 | filled | 1.36537 |
| 09-03 12:00Z | stop loss | SELL STOP | 28,000 | filled | 1.35573 |
false breakout −1.03R Closed at -1.03R: price fell back inside the breakout range within 6 bars.
Lesson: Review breakout confirmation (volume / close-beyond requirement).
- data mode
- MOCK
- timestamp
- 2026-09-03T12:00:00Z
- 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
- fx.breakout@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