Delta

← opportunities · hypothesis 338b3404 · 09-08 09:00Z · MOCK data

WHY ETH/USD SHORT?SHORTrejectedcrypto.volatility4H-2DVOLATILITY EXPANSIONLIQUIDITY CONTRACTIONCRYPTO 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.volatility SHORT ETH/USD: breakout signal, horizon 4H-2D
usd strengthening regime (0.40) helps a short ETHUSD (assumed sensitivity -0.3)
liquidity contraction regime (0.72) helps a short ETHUSD (assumed sensitivity +0.8)
crypto deleveraging regime (0.93) helps a short ETHUSD (assumed sensitivity +1.0)
BTCUSD momentum -1.6 sd with correlation +0.73 confirms the trade
close broke the lower band

DecisionREJECTED

rejected: no_conflicting_position

tradeno conflicting position1 open, 0 pending vs nonean open or pending position already exists on this instrument

Supporting evidence6

▲macro0.29usd strengthening regime (0.40) helps a short ETHUSD (assumed sensitivity -0.3)
▲macro-0.69liquidity contraction regime (0.72) helps a short ETHUSD (assumed sensitivity +0.8)
▲macro-0.93crypto deleveraging regime (0.93) helps a short ETHUSD (assumed sensitivity +1.0)
▲cross asset-1.64BTCUSD momentum -1.6 sd with correlation +0.73 confirms the trade
▲technical-15close broke the lower band
▲volatility0.06band width in the 6% percentile: squeeze

Contradicting evidence0

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

Invalidation conditionschecked every strategy bar

stop at 2047.35 (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	+0.82	1 ev.
macro	CONFIRMS	+0.44	3 ev.
technical	CONFIRMS	+0.32	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: normal
score: +0.50

Risk layers0.22% at stop

eligibility	1 ✓	0 ✗
trade	9 ✓	1 ✗
portfolio	11 ✓	0 ✗
system	2 ✓	0 ✗

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

TRADE RISKBLOCK

blocked by no_conflicting_position

no conflicting position1 open, 0 pending / none
confidence minimum59.4 / 5593%
strategy stage eligibleBACKTEST (sandbox) / PAPER|SHADOW|LIMITED_CAPITAL|PRODUCTION
market liquidity allows entrynormal / not closed/maintenance/rollover/reopen
quote fresh0 / 150%
spread sane0.96 / 2.538%
event policyclear / clear
risk reward minimum2 / 1.575%
stop distance sane4 / 0.513%
size above minimum1.33 / 0.011%
risk per trade0.215 / 122%

PORTFOLIO RISKPASS

11 checks passed

consecutive loss pause2 / 450%
daily loss limit-0.041 / -22%
drawdown limit0.166 / 102%
gross exposure16.8 / 5003%
leverage0.168 / 53%
currency exposure0 / 3000%
usd factor exposure1.12 / 2500%
correlated cluster risk0.588 / 1.539%
crypto exposure6.21 / 5012%
portfolio volatility10.964 / 2055%
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

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	+4.0
regime alignment	0.12	+1.2
cross asset	0.12	+4.9
volatility	0.08	−3.4
liquidity	0.08	+2.0
event risk	0.10	0.0
historical performance	0.12	−0.5
risk reward	0.08	+1.3

Trade plan

Entry zone: 1,875.42 – 1,895.65
Reference: 1,885.53
Stop: 2,047.35 · 4.0 ATR
Target 1: 1,561.89 · 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

Risk0.22%$215 · notional $2,508

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	✓	0.96	2.5	spread / typical spread
trade	event policy	✓	clear	clear
trade	confidence minimum	✓	59.4	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	✗	1 open, 0 pending	none	an open or pending position already exists on this instrument
portfolio	consecutive loss pause	✓	2	4
portfolio	daily loss limit	✓	-0.0412	-2	% since trading-day start
portfolio	drawdown limit	✓	0.1659	10	% below peak equity
trade	size above minimum	✓	1.33	0.01	units (ETH)
trade	risk per trade	✓	0.2154	1	% of equity at the stop
portfolio	gross exposure	✓	16.8	500	% of equity
portfolio	leverage	✓	0.168	5
portfolio	currency exposure	✓	0	300	largest net currency exposure: -
portfolio	usd factor exposure	✓	1.12	250	beta-weighted USD-index-equivalent exposure, % of equity
portfolio	correlated cluster risk	✓	0.588	1.5	2 positions move together (long-USD expression): SHORT ETHUSD, SHORT ETHUSD
portfolio	crypto exposure	✓	6.21	50	% of equity
portfolio	portfolio volatility	✓	10.964	20	forecast annualised volatility
portfolio	max open positions	✓	3	8

Sizing tracenever sized from confidence alone

Step	Qty after	×	Detail
fixed_risk	3.087		0.5% of $99,920 = $500 over a stop of 161.82 ($161.8198/unit)
confidence_adjusted	1.770	0.57	confidence 59 -> x0.57 (never above x1.00)
portfolio_risk_adjusted	1.330	0.75	correlated open risk $372 of $1,499 cluster budget -> x0.75
event_policy	1.330	1.00	event policy x1.00, liquidity x1.00
caps	1.330		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: 2026-09-08T09:00:00Z
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