Delta

← opportunities · hypothesis 3931d116 · 09-09 12:00Z · MOCK data

WHY ETH/USD LONG?LONGrejectedcrypto.volatility4H-2DDISINFLATIONARYLIQUIDITY 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 LONG ETH/USD: breakout signal, horizon 4H-2D
risk on regime (0.35) helps a long ETHUSD (assumed sensitivity +0.7)
close broke the upper band
band width in the 1% percentile: squeeze
Against: usd strengthening regime (0.37) hurts a long ETHUSD (assumed sensitivity -0.3)

DecisionREJECTED

rejected: event_policy; confidence_minimum; consecutive_loss_pause

tradeevent policyblocked vs clearpre_event_block: US_CPI (CRITICAL) in 30 min
tradeconfidence minimum43.7 vs 55uncalibrated score; event policy adds 0
portfolioconsecutive loss pause0 vs 4paused until 2026-09-10T00:00:00+00:00

Supporting evidence3

▲macro0.22risk on regime (0.35) helps a long ETHUSD (assumed sensitivity +0.7)
▲technical1.38close broke the upper band
▲volatility0.01band width in the 1% percentile: squeeze

Contradicting evidence5

▼macro0.24usd strengthening regime (0.37) hurts a long ETHUSD (assumed sensitivity -0.3)
▼macro-0.54liquidity contraction regime (0.59) hurts a long ETHUSD (assumed sensitivity +0.8)
▼macro-0.63crypto deleveraging regime (0.67) hurts a long ETHUSD (assumed sensitivity +1.0)
▼cross asset-1.48BTCUSD momentum -1.5 sd with correlation +0.73 contradicts the trade
▼event30US_CPI (CRITICAL) in 30 min; event risk 0.50

Invalidation conditionschecked every strategy bar

stop at 1834.76 (4.0 x ATR(14))
close back through the 20-bar mean within 4 bars
horizon exceeded: 48 bars held

Confirmationuncalibrated scores

cross asset	CONTRADICTS	−0.74	1 ev.
macro	CONTRADICTS	−0.28	4 ev.
technical	CONFIRMS	+0.47	2 ev.

Event riskscore 0.50

next event: US_CPI · 30 min
blocks entry: yes
size multiplier: 1.00×
confidence add: +0

pre_event_block: US_CPI (CRITICAL) in 30 min

Liquidity

state at decision: normal
score: +0.50

Risk layers0.25% at stop

eligibility	1 ✓	0 ✗
trade	8 ✓	2 ✗
portfolio	10 ✓	1 ✗
system	2 ✓	0 ✗

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

TRADE RISKBLOCK

blocked by event_policy, confidence_minimum

event policyblocked / clear
confidence minimum43.7 / 55126%
strategy stage eligibleBACKTEST (sandbox) / PAPER|SHADOW|LIMITED_CAPITAL|PRODUCTION
market liquidity allows entrynormal / not closed/maintenance/rollover/reopen
quote fresh0 / 150%
spread sane1.16 / 2.546%
risk reward minimum2 / 1.575%
stop distance sane4 / 0.513%
no conflicting position0 open, 0 pending / none
size above minimum1.54 / 0.011%
risk per trade0.249 / 125%

PORTFOLIO RISKBLOCK

blocked by consecutive_loss_pause

consecutive loss pause0 / 40%
daily loss limit-0.015 / -21%
drawdown limit0.411 / 104%
gross exposure3.08 / 5001%
leverage0.031 / 51%
currency exposure0 / 3000%
usd factor exposure-4.78 / 2502%
correlated cluster risk0.249 / 1.517%
crypto exposure3.08 / 506%
portfolio volatility5.223 / 2026%
max open positions1 / 813%

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	−2.5
regime alignment	0.12	+0.8
cross asset	0.12	−4.4
volatility	0.08	−0.6
liquidity	0.08	+2.0
event risk	0.10	−2.5
historical performance	0.12	−0.5
risk reward	0.08	+1.3

Trade plan

Entry zone: 1,985.84 – 2,005.98
Reference: 1,995.91
Stop: 1,834.76 · 4.0 ATR
Target 1: 2,318.20 · 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 $3,074

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	✓	1.16	2.5	spread / typical spread
trade	event policy	✗	blocked	clear	pre_event_block: US_CPI (CRITICAL) in 30 min
trade	confidence minimum	✗	43.7	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	paused until 2026-09-10T00:00:00+00:00
portfolio	daily loss limit	✓	-0.0146	-2	% since trading-day start
portfolio	drawdown limit	✓	0.4113	10	% below peak equity
trade	size above minimum	✓	1.54	0.01	units (ETH)
trade	risk per trade	✓	0.249	1	% of equity at the stop
portfolio	gross exposure	✓	3.08	500	% of equity
portfolio	leverage	✓	0.031	5
portfolio	currency exposure	✓	0	300	largest net currency exposure: -
portfolio	usd factor exposure	✓	-4.78	250	beta-weighted USD-index-equivalent exposure, % of equity
portfolio	correlated cluster risk	✓	0.249	1.5	no correlated open positions
portfolio	crypto exposure	✓	3.08	50	% of equity
portfolio	portfolio volatility	✓	5.223	20	forecast annualised volatility
portfolio	max open positions	✓	1	8

Sizing tracenever sized from confidence alone

Step	Qty after	×	Detail
fixed_risk	3.093		0.5% of $99,675 = $498 over a stop of 161.144 ($161.1439/unit)
confidence_adjusted	1.546	0.50	confidence 44 -> x0.50 (never above x1.00)
portfolio_risk_adjusted	1.546	1.00	correlated open risk $0 of $1,495 cluster budget -> x1.00
event_policy	1.546	1.00	event policy x1.00, liquidity x1.00
caps	1.540		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: 2026-09-09T12:00:00Z
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