Delta

← opportunities · hypothesis 0a870c5e · 09-04 13:00Z · MOCK data

WHY ETH/USD SHORT?SHORTrejectedcrypto.market_structure8H-4DVOLATILITY EXPANSIONCRYPTO DELEVERAGINGMOCK

Lifecyclecandidate → qualified → approved → executed, or rejected / expired

No lifecycle transitions recorded: this opportunity was decided before lifecycle tracking began.

Thesisrules-explainer-1.0.0 · from recorded evidence

crypto.market_structure SHORT ETH/USD: structure signal, horizon 8H-4D
risk off regime (0.36) helps a short ETHUSD (assumed sensitivity +0.7)
liquidity contraction regime (0.40) helps a short ETHUSD (assumed sensitivity +0.8)
crypto deleveraging regime (0.69) helps a short ETHUSD (assumed sensitivity +1.0)
lower highs and lower lows
close broke the last confirmed swing low
Against: SPX momentum +1.1 sd with correlation +0.32 contradicts the trade

DecisionREJECTED

rejected: spread_sane; confidence_minimum; no_conflicting_position

tradespread sane2.7 vs 2.5spread / typical spread
tradeconfidence minimum51.5 vs 55uncalibrated score; event policy adds 0
tradeno conflicting position1 open, 0 pending vs nonean open or pending position already exists on this instrument

Supporting evidence5

▲macro-0.23risk off regime (0.36) helps a short ETHUSD (assumed sensitivity +0.7)
▲macro-0.29liquidity contraction regime (0.40) helps a short ETHUSD (assumed sensitivity +0.8)
▲macro-0.66crypto deleveraging regime (0.69) helps a short ETHUSD (assumed sensitivity +1.0)
▲technical-1.00lower highs and lower lows
▲technical2,453close broke the last confirmed swing low

Contradicting evidence1

▼cross asset1.15SPX momentum +1.1 sd with correlation +0.32 contradicts the trade

Invalidation conditionschecked every strategy bar

stop at 2742.44 (3.4 x ATR(14))
swing structure turns bullish (higher highs and lows)
horizon exceeded: 96 bars held

Confirmationuncalibrated scores

cross asset	CONTRADICTS	−0.31	1 ev.
macro	CONFIRMS	+0.35	3 ev.
technical	CONFIRMS	+0.48	2 ev.

Event riskscore 0.50

next event: none in window
blocks entry: no
size multiplier: 1.00×
confidence add: +0

Liquidity

state at decision: high
score: +1.00

Risk layers0.14% at stop

eligibility	1 ✓	0 ✗
trade	7 ✓	3 ✗
portfolio	11 ✓	0 ✗
system	2 ✓	0 ✗

Three-layer riskcomputed on read from stored checks (no system report then)BLOCK

TRADE RISKBLOCK

blocked by spread_sane, confidence_minimum, no_conflicting_position

spread sane2.7 / 2.5108%
confidence minimum51.5 / 55107%
no conflicting position1 open, 0 pending / none
strategy stage eligibleBACKTEST (sandbox) / PAPER|SHADOW|LIMITED_CAPITAL|PRODUCTION
market liquidity allows entryhigh / not closed/maintenance/rollover/reopen
quote fresh0 / 150%
event policyclear / clear
risk reward minimum2 / 1.575%
stop distance sane3.43 / 0.515%
size above minimum0.37 / 0.013%
risk per trade0.141 / 114%

PORTFOLIO RISKPASS

11 checks passed

consecutive loss pause1 / 425%
daily loss limit-0.228 / -211%
drawdown limit0.407 / 104%
gross exposure2.34 / 5000%
leverage0.023 / 50%
currency exposure0 / 3000%
usd factor exposure5.18 / 2502%
correlated cluster risk0.791 / 1.553%
crypto exposure2.34 / 505%
portfolio volatility3.245 / 2016%
max open positions3 / 838%

SYSTEM RISKPASS

2 checks passed

kill switch inactiveinactive / inactive
trading mode validpaper / paper|backtest|live

BLOCK = a hard check failed; WARN = passed but at >= 80% of a maximum, within 10% of a minimum, or a monitor above its level. Right column: how close a passed check is to its limit. risk_layers-1.0.0+63bba1f7

ConfidenceMODERATE · conf-1.0.0

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	+3.1
regime alignment	0.12	+2.0
cross asset	0.12	−1.9
volatility	0.08	−3.4
liquidity	0.08	+4.0
event risk	0.10	−2.5
historical performance	0.12	−1.1
risk reward	0.08	+1.3

Trade plan

Entry zone: 2,336.74 – 2,391.89
Reference: 2,364.32
Stop: 2,742.44 · 3.4 ATR
Target 1: 1,608.08 · 2.0R
Reward / risk: 2.00
Expected horizon: 8H-4D · max 96 bars
Expected return: −0.10R
OOS win rate (uncal.): 36.2% · n=56

walk-forward out-of-sample (2026-09-16): n=56, shrunk mean R x 0.74, Beta(1,1) win rate

Size and portfolio impactrisk-1.0.0

Size0.000not approved

Risk0.14%$140 · notional $875

Portfolio impact

Not evaluated: the opportunity was rejected before the portfolio projection.

Every risk check

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	core session: us_hours
trade	quote fresh	✓	0	15	minutes since last quote
trade	spread sane	✗	2.7	2.5	spread / typical spread
trade	event policy	✓	clear	clear
trade	confidence minimum	✗	51.5	55	uncalibrated score; event policy adds 0
trade	risk reward minimum	✓	2	1.5
trade	stop distance sane	✓	3.43	0.5	stop distance in ATRs
trade	no conflicting position	✗	1 open, 0 pending	none	an open or pending position already exists on this instrument
portfolio	consecutive loss pause	✓	1	4
portfolio	daily loss limit	✓	-0.2285	-2	% since trading-day start
portfolio	drawdown limit	✓	0.4072	10	% below peak equity
trade	size above minimum	✓	0.37	0.01	units (ETH)
trade	risk per trade	✓	0.1405	1	% of equity at the stop
portfolio	gross exposure	✓	2.34	500	% of equity
portfolio	leverage	✓	0.023	5
portfolio	currency exposure	✓	0	300	largest net currency exposure: -
portfolio	usd factor exposure	✓	5.18	250	beta-weighted USD-index-equivalent exposure, % of equity
portfolio	correlated cluster risk	✓	0.791	1.5	3 positions move together (long-USD expression): SHORT BTCUSD, SHORT ETHUSD, SHORT ETHUSD
portfolio	crypto exposure	✓	2.34	50	% of equity
portfolio	portfolio volatility	✓	3.245	20	forecast annualised volatility
portfolio	max open positions	✓	3	8

Sizing tracenever sized from confidence alone

Step	Qty after	×	Detail
fixed_risk	1.317		0.5% of $99,593 = $498 over a stop of 378.117 ($378.1174/unit)
confidence_adjusted	0.658	0.50	confidence 52 -> x0.50 (never above x1.00)
portfolio_risk_adjusted	0.373	0.57	correlated open risk $648 of $1,494 cluster budget -> x0.57
event_policy	0.373	1.00	event policy x1.00, liquidity x1.00
caps	0.370		rounded down to step 0.01

Execution and outcome

No orders: this hypothesis did not reach the broker.

Versionsevery trade is traceable

data mode: MOCK
timestamp: 2026-09-04T13:00:00Z
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.market_structure@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