Delta

← opportunities · hypothesis 14709a66 · 09-13 10:00Z · MOCK data

WHY ETH/USD SHORT?SHORTrejectedcrypto.volatility4H-2DUSD WEAKENINGMOCK

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.volatility SHORT ETH/USD: breakout signal, horizon 4H-2D
crypto deleveraging regime (0.45) helps a short ETHUSD (assumed sensitivity +1.0)
BTCUSD momentum -0.6 sd with correlation +0.73 confirms the trade
close broke the lower band
band width in the 2% percentile: squeeze
Against: usd weakening regime (0.61) hurts a short ETHUSD (assumed sensitivity -0.3)

DecisionREJECTED

rejected: confidence_minimum; consecutive_loss_pause

tradeconfidence minimum48.5 vs 55uncalibrated score; event policy adds 0
portfolioconsecutive loss pause4 vs 4paused until 2026-09-14T00:00:00+00:00

Supporting evidence4

▲macro-0.36crypto deleveraging regime (0.45) helps a short ETHUSD (assumed sensitivity +1.0)
▲cross asset-0.60BTCUSD momentum -0.6 sd with correlation +0.73 confirms the trade
▲technical-11close broke the lower band
▲volatility0.02band width in the 2% percentile: squeeze

Contradicting evidence1

▼macro-0.56usd weakening regime (0.61) hurts a short ETHUSD (assumed sensitivity -0.3)

Invalidation conditionschecked every strategy bar

stop at 2335.1 (4.0 x ATR(14))
close back through the 20-bar mean within 4 bars
horizon exceeded: 48 bars held

Confirmationuncalibrated scores

cross asset	CONFIRMS	+0.30	1 ev.
macro	MIXED	−0.05	2 ev.
technical	CONFIRMS	+0.50	2 ev.

Event riskscore 0.00

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

Liquidity

state at decision: thin
score: −0.25

Risk layers0.25% at stop

eligibility	1 ✓	0 ✗
trade	9 ✓	1 ✗
portfolio	10 ✓	1 ✗
system	2 ✓	0 ✗

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

TRADE RISKBLOCK

blocked by confidence_minimum

confidence minimum48.5 / 55113%
strategy stage eligibleBACKTEST (sandbox) / PAPER|SHADOW|LIMITED_CAPITAL|PRODUCTION
market liquidity allows entrythin / not closed/maintenance/rollover/reopen
quote fresh0 / 150%
spread sane1.39 / 2.556%
event policyclear / clear
risk reward minimum2 / 1.575%
stop distance sane4 / 0.513%
no conflicting position0 open, 0 pending / none
size above minimum1.57 / 0.011%
risk per trade0.25 / 125%

PORTFOLIO RISKBLOCK

blocked by consecutive_loss_pause

consecutive loss pause4 / 4100%
daily loss limit-0.006 / -20%
drawdown limit0.853 / 109%
gross exposure18.41 / 5004%
leverage0.184 / 54%
currency exposure14.96 / 3005%
usd factor exposure-7.18 / 2503%
correlated cluster risk0.25 / 1.517%
crypto exposure3.44 / 507%
portfolio volatility5.659 / 2028%
max open positions2 / 825%

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	−0.4
regime alignment	0.12	+0.8
cross asset	0.12	+1.8
volatility	0.08	−3.4
liquidity	0.08	−1.0
event risk	0.10	0.0
historical performance	0.12	−0.5
risk reward	0.08	+1.3

Trade plan

Entry zone: 2,167.39 – 2,187.12
Reference: 2,177.25
Stop: 2,335.10 · 4.0 ATR
Target 1: 1,861.56 · 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

Size and portfolio impactrisk-1.0.0

Size0.000not approved

Risk0.25%$248 · notional $3,418

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	✓	thin	not closed/maintenance/rollover/reopen	weekend (24/7 venue)
trade	quote fresh	✓	0	15	minutes since last quote
trade	spread sane	✓	1.39	2.5	spread / typical spread
trade	event policy	✓	clear	clear
trade	confidence minimum	✗	48.5	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	✗	4	4	paused until 2026-09-14T00:00:00+00:00
portfolio	daily loss limit	✓	-0.0058	-2	% since trading-day start
portfolio	drawdown limit	✓	0.8525	10	% below peak equity
trade	size above minimum	✓	1.57	0.01	units (ETH)
trade	risk per trade	✓	0.2497	1	% of equity at the stop
portfolio	gross exposure	✓	18.41	500	% of equity
portfolio	leverage	✓	0.184	5
portfolio	currency exposure	✓	14.96	300	largest net currency exposure: AUD
portfolio	usd factor exposure	✓	-7.18	250	beta-weighted USD-index-equivalent exposure, % of equity
portfolio	correlated cluster risk	✓	0.25	1.5	no correlated open positions
portfolio	crypto exposure	✓	3.44	50	% of equity
portfolio	portfolio volatility	✓	5.659	20	forecast annualised volatility
portfolio	max open positions	✓	2	8

Sizing tracenever sized from confidence alone

Step	Qty after	×	Detail
fixed_risk	3.143		0.5% of $99,233 = $496 over a stop of 157.849 ($157.8495/unit)
confidence_adjusted	1.572	0.50	confidence 48 -> x0.50 (never above x1.00)
portfolio_risk_adjusted	1.572	1.00	correlated open risk $0 of $1,488 cluster budget -> x1.00
event_policy	1.572	1.00	event policy x1.00, liquidity x1.00
caps	1.570		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: 2026-09-13T10:00:00Z
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