Delta

← opportunities · hypothesis 17b36fa1 · 09-03 23:00Z · MOCK data

WHY XAU/USD SHORT?SHORTexecutedcmd.momentum4H-3DMOCK sandboxVOLATILITY EXPANSIONMOCK

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

executed09-03 23:00Zlegacy status "executed" mapped by migration 0004 (legacy executed meant order accepted; checked for an entry fill) · migration

Thesisrules-explainer-1.0.0 · from recorded evidence

cmd.momentum SHORT XAU/USD: momentum signal, horizon 4H-3D
usd strengthening regime (0.47) helps a short XAUUSD (assumed sensitivity -0.7)
disinflationary regime (0.45) helps a short XAUUSD (assumed sensitivity +0.6)
momentum -1.54 sd crossed the 1.5 threshold
accelerating: -0.49 sd over 24 bars
RSI 44

DecisionEXECUTED

approved: all risk checks passed

Simulated under the MOCK sandbox: the strategy has not earned PAPER.

No rejection reasons.

Supporting evidence5

▲macro0.38usd strengthening regime (0.47) helps a short XAUUSD (assumed sensitivity -0.7)
▲macro-0.36disinflationary regime (0.45) helps a short XAUUSD (assumed sensitivity +0.6)
▲technical-1.54momentum -1.54 sd crossed the 1.5 threshold
▲technical-0.49accelerating: -0.49 sd over 24 bars
▲technical44RSI 44

Contradicting evidence0

Nothing material against the trade was recorded. Absence of evidence is not evidence of safety.

Invalidation conditionschecked every strategy bar

stop at 2057.6 (4.0 x ATR(14))
120-bar momentum turns positive
horizon exceeded: 72 bars held

Confirmationuncalibrated scores

cross asset	MIXED	+0.13	0 ev.
macro	CONFIRMS	+0.26	2 ev.
technical	CONFIRMS	+0.26	3 ev.

Event riskscore 0.00

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

Liquidity

state at decision: normal
score: +0.50

Risk layers0.26% at stop

eligibility	1 ✓	0 ✗
trade	10 ✓	0 ✗
portfolio	11 ✓	0 ✗
system	2 ✓	0 ✗

ConfidenceELEVATED · 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	+2.4
regime alignment	0.12	+1.3
cross asset	0.12	+0.8
volatility	0.08	−1.4
liquidity	0.08	+2.0
event risk	0.10	0.0
historical performance	0.12	−0.4
risk reward	0.08	+1.3

Trade plan

Entry zone: 2,036.65 – 2,039.12
Reference: 2,037.88
Stop: 2,057.60 · 4.0 ATR
Target 1: 1,998.46 · 2.0R
Reward / risk: 2.00
Expected horizon: 4H-3D · max 72 bars
Expected return: −0.07R
OOS win rate (uncal.): 37.5% · 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

Size13approved

Risk0.26%$256 · notional $26,492

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	✓	normal	not closed/maintenance/rollover/reopen	regular session
trade	quote fresh	✓	0	15	minutes since last quote
trade	spread sane	✓	1	2.5	spread / typical spread
trade	event policy	✓	clear	clear
trade	confidence minimum	✓	56	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	✓	0	4
portfolio	daily loss limit	✓	-0.0173	-2	% since trading-day start
portfolio	drawdown limit	✓	0.1964	10	% below peak equity
trade	size above minimum	✓	13	1	units (troy oz)
trade	risk per trade	✓	0.2568	1	% of equity at the stop
portfolio	gross exposure	✓	66.28	500	% of equity
portfolio	leverage	✓	0.663	5
portfolio	currency exposure	✓	38.12	300	largest net currency exposure: GBP
portfolio	usd factor exposure	✓	-5.22	250	beta-weighted USD-index-equivalent exposure, % of equity
portfolio	correlated cluster risk	✓	0.257	1.5	no correlated open positions
portfolio	crypto exposure	✓	1.61	50	% of equity
portfolio	portfolio volatility	✓	4.987	20	forecast annualised volatility
portfolio	max open positions	✓	4	8

Sizing tracenever sized from confidence alone

Step	Qty after	×	Detail
fixed_risk	25		0.5% of $99,804 = $499 over a stop of 19.7123 ($19.7123/unit)
confidence_adjusted	13	0.52	confidence 56 -> x0.52 (never above x1.00)
portfolio_risk_adjusted	13	1.00	correlated open risk $0 of $1,497 cluster budget -> x1.00
event_policy	13	1.00	event policy x1.00, liquidity x1.00
caps	13		rounded down to step 1

Execution and outcome

Created	Role	Type	Qty	Status	Avg fill
09-03 23:00Z	stop loss	BUY STOP	13	filled	2,058.23
09-03 23:00Z	entry	SELL MARKET	13	filled	2,037.49
09-03 23:00Z	take profit	BUY LIMIT	13	cancelled	—

wrong regime −1.05R Closed at -1.05R: the regime the thesis relied on changed (crypto).

Lesson: Consider exiting on regime change for crypto earlier (invalidation threshold).

Versionsevery trade is traceable

data mode: MOCK
timestamp: 2026-09-03T23:00:00Z
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: cmd.momentum@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