← opportunities · hypothesis 12c84c34 · 09-08 06:00Z · MOCK data
WHY ETH/USD SHORT?SHORTexecutedcrypto.volatility4H-2DMOCK sandboxVOLATILITY EXPANSIONLIQUIDITY CONTRACTIONCRYPTO DELEVERAGINGMOCK
- executed09-08 06:00Zlegacy status "executed" mapped by migration 0004 (legacy executed meant order accepted; checked for an entry fill) · migration
- crypto.volatility SHORT ETH/USD: breakout signal, horizon 4H-2D
- liquidity contraction regime (0.68) helps a short ETHUSD (assumed sensitivity +0.8)
- crypto deleveraging regime (0.93) helps a short ETHUSD (assumed sensitivity +1.0)
- BTCUSD momentum -1.5 sd with correlation +0.73 confirms the trade
- close broke the lower band
- band width in the 0% percentile: squeeze
approved: all risk checks passed
Simulated under the MOCK sandbox: the strategy has not earned PAPER.
No rejection reasons.
- ▲macro-0.64liquidity contraction regime (0.68) helps a short ETHUSD (assumed sensitivity +0.8)
- ▲macro-0.92crypto deleveraging regime (0.93) helps a short ETHUSD (assumed sensitivity +1.0)
- ▲cross asset-1.52BTCUSD momentum -1.5 sd with correlation +0.73 confirms the trade
- ▲technical-14close broke the lower band
- ▲volatility0.00band width in the 0% percentile: squeeze
Nothing material against the trade was recorded. Absence of evidence is not evidence of safety.
- stop at 2075.46 (4.0 x ATR(14))
- close back through the 20-bar mean within 4 bars
- horizon exceeded: 48 bars held
| cross asset | CONFIRMS | +0.76 | 1 ev. |
| macro | CONFIRMS | +0.39 | 2 ev. |
| technical | CONFIRMS | +0.64 | 2 ev. |
- next event
- none in window
- blocks entry
- no
- size multiplier
- 1.00×
- confidence add
- +0
- state at decision
- normal
- score
- +0.50
| eligibility | 1 ✓ | 0 ✗ |
| trade | 10 ✓ | 0 ✗ |
| portfolio | 11 ✓ | 0 ✗ |
| system | 2 ✓ | 0 ✗ |
66
66
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 | +3.5 | |
| regime alignment | 0.12 | +1.2 | |
| cross asset | 0.12 | +4.5 | |
| volatility | 0.08 | +3.5 | |
| liquidity | 0.08 | +2.0 | |
| event risk | 0.10 | 0.0 | |
| historical performance | 0.12 | −0.5 | |
| risk reward | 0.08 | +1.3 |
- Entry zone
- 1,892.88 – 1,914.36
- Reference
- 1,903.62
- Stop
- 2,075.46 · 4.0 ATR
- Target 1
- 1,559.95 · 2.0R
- Reward / risk
- 2.00
- Expected horizon
- 4H-2D · max 48 bars
- Expected return
- −0.09R
- OOS win rate (uncal.)
- 31.3% · n=14
walk-forward out-of-sample (2026-09-16): n=14, shrunk mean R x 0.41, Beta(1,1) win rate
Size1.960approved
Risk0.34%$337 · notional $3,731
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 | ✓ | normal | not closed/maintenance/rollover/reopen | regular session |
| trade | quote fresh | ✓ | 0 | 15 | minutes since last quote |
| trade | spread sane | ✓ | 1.15 | 2.5 | spread / typical spread |
| trade | event policy | ✓ | clear | clear | |
| trade | confidence minimum | ✓ | 65.6 | 55 | uncalibrated score; event policy adds 0 |
| trade | risk reward minimum | ✓ | 2 | 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 | ✓ | 2 | 4 | |
| portfolio | daily loss limit | ✓ | -0.0515 | -2 | % since trading-day start |
| portfolio | drawdown limit | ✓ | 0.1762 | 10 | % below peak equity |
| trade | size above minimum | ✓ | 1.96 | 0.01 | units (ETH) |
| trade | risk per trade | ✓ | 0.3371 | 1 | % of equity at the stop |
| portfolio | gross exposure | ✓ | 14.35 | 500 | % of equity |
| portfolio | leverage | ✓ | 0.143 | 5 | |
| portfolio | currency exposure | ✓ | 0 | 300 | largest net currency exposure: - |
| portfolio | usd factor exposure | ✓ | -2.72 | 250 | beta-weighted USD-index-equivalent exposure, % of equity |
| portfolio | correlated cluster risk | ✓ | 0.337 | 1.5 | no correlated open positions |
| portfolio | crypto exposure | ✓ | 3.73 | 50 | % of equity |
| portfolio | portfolio volatility | ✓ | 6.901 | 20 | forecast annualised volatility |
| portfolio | max open positions | ✓ | 2 | 8 |
| Step | Qty after | × | Detail |
|---|---|---|---|
| fixed_risk | 2.907 | 0.5% of $99,910 = $500 over a stop of 171.836 ($171.8362/unit) | |
| confidence_adjusted | 1.967 | 0.68 | confidence 66 -> x0.68 (never above x1.00) |
| portfolio_risk_adjusted | 1.967 | 1.00 | correlated open risk $0 of $1,499 cluster budget -> x1.00 |
| event_policy | 1.967 | 1.00 | event policy x1.00, liquidity x1.00 |
| caps | 1.960 | rounded down to step 0.01 |
| Created | Role | Type | Qty | Status | Avg fill |
|---|---|---|---|---|---|
| 09-08 18:00Z | exit | BUY MARKET | 1.960 | filled | 1,968.75 |
| 09-08 06:00Z | stop loss | BUY STOP | 1.960 | cancelled | — |
| 09-08 06:00Z | entry | SELL MARKET | 1.960 | filled | 1,903.15 |
| 09-08 06:00Z | take profit | BUY LIMIT | 1.960 | cancelled | — |
normal variance −0.40R Closed at -0.40R: loss within the normal range for the strategy; no specific failure identified.
- data mode
- MOCK
- timestamp
- 2026-09-08T06:00:00Z
- 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