Delta

← opportunities · hypothesis 42c7ea87 · 09-11 10:00Z · MOCK data

WHY AUD/USD LONG?LONGrejectedfx.momentum4H-3DUSD WEAKENINGVOLATILITY COMPRESSIONCRYPTO 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

fx.momentum LONG AUD/USD: momentum signal, horizon 4H-3D
usd weakening regime (0.64) helps a long AUDUSD (assumed sensitivity -0.8)
EURUSD momentum +0.7 sd with correlation +0.45 confirms the trade
GBPUSD momentum +1.8 sd with correlation +0.56 confirms the trade
SPX momentum +0.5 sd with correlation +0.34 confirms the trade
120-bar momentum +1.54 sd crossed +1.5

DecisionREJECTED

rejected: no_conflicting_position

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

Supporting evidence7

▲macro-0.60usd weakening regime (0.64) helps a long AUDUSD (assumed sensitivity -0.8)
▲cross asset0.65EURUSD momentum +0.7 sd with correlation +0.45 confirms the trade
▲cross asset1.80GBPUSD momentum +1.8 sd with correlation +0.56 confirms the trade
▲cross asset0.54SPX momentum +0.5 sd with correlation +0.34 confirms the trade
▲technical1.54120-bar momentum +1.54 sd crossed +1.5
▲technical0.64momentum changed +0.64 sd over 24 bars
▲technical63RSI 63: momentum not yet exhausted

Contradicting evidence0

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

Invalidation conditionschecked every strategy bar

stop at 0.824813 (4.0 x ATR(14))
120-bar momentum turns negative
horizon exceeded: 72 bars held

Confirmationuncalibrated scores

cross asset	CONFIRMS	+0.42	3 ev.
macro	CONFIRMS	+0.36	1 ev.
technical	CONFIRMS	+0.31	3 ev.

Event riskscore 0.18

next event: US_UMICH_INFL_EXP · 240 min
blocks entry: no
size multiplier: 1.00×
confidence add: +0

Liquidity

state at decision: normal
score: +0.50

Risk layers0.16% 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
strategy stage eligibleBACKTEST (sandbox) / PAPER|SHADOW|LIMITED_CAPITAL|PRODUCTION
market liquidity allows entrynormal / not closed/maintenance/rollover/reopen
quote fresh0 / 150%
spread sane0.73 / 2.529%
event policyclear / clear
confidence minimum60.7 / 5591%
risk reward minimum2 / 1.575%
stop distance sane4 / 0.513%
size above minimum21,000 / 1,0005%
risk per trade0.163 / 116%

PORTFOLIO RISKPASS

11 checks passed

consecutive loss pause1 / 425%
daily loss limit-0.052 / -23%
drawdown limit0.373 / 104%
gross exposure53.63 / 50011%
leverage0.536 / 511%
currency exposure-53.63 / 30018%
usd factor exposure-52.93 / 25021%
correlated cluster risk0.814 / 1.554%
crypto exposure0 / 500%
portfolio volatility6.09 / 2030%
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	+3.3
regime alignment	0.12	−1.6
cross asset	0.12	+2.5
volatility	0.08	+4.0
liquidity	0.08	+2.0
event risk	0.10	−0.9
historical performance	0.12	+0.1
risk reward	0.08	+1.3

Trade plan

Entry zone: 0.83207 – 0.83304
Reference: 0.83255
Stop: 0.82481 · 4.0 ATR
Target 1: 0.84804 · 2.0R
Reward / risk: 2.00
Expected horizon: 4H-3D · max 72 bars
Expected return: +0.01R
OOS win rate (uncal.): 40.0% · n=8

walk-forward out-of-sample (2026-09-16): n=8, shrunk mean R x 0.29, Beta(1,1) win rate

Size and portfolio impactrisk-1.0.0

Size0.000not approved

Risk0.16%$163 · notional $17,484

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	home session: london
trade	quote fresh	✓	0	15	minutes since last quote
trade	spread sane	✓	0.73	2.5	spread / typical spread
trade	event policy	✓	clear	clear
trade	confidence minimum	✓	60.7	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	✗	1 open, 0 pending	none	an open or pending position already exists on this instrument
portfolio	consecutive loss pause	✓	1	4
portfolio	daily loss limit	✓	-0.0517	-2	% since trading-day start
portfolio	drawdown limit	✓	0.3731	10	% below peak equity
trade	size above minimum	✓	21,000	1,000	units (AUD)
trade	risk per trade	✓	0.163	1	% of equity at the stop
portfolio	gross exposure	✓	53.63	500	% of equity
portfolio	leverage	✓	0.536	5
portfolio	currency exposure	✓	-53.63	300	largest net currency exposure: USD
portfolio	usd factor exposure	✓	-52.93	250	beta-weighted USD-index-equivalent exposure, % of equity
portfolio	correlated cluster risk	✓	0.814	1.5	3 positions move together (short-USD expression): LONG AUDUSD, LONG GBPUSD, LONG AUDUSD
portfolio	crypto exposure	✓	0	50	% of equity
portfolio	portfolio volatility	✓	6.09	20	forecast annualised volatility
portfolio	max open positions	✓	3	8

Sizing tracenever sized from confidence alone

Step	Qty after	×	Detail
fixed_risk	64,401		0.5% of $99,713 = $499 over a stop of 0.00774153 ($0.0077/unit)
confidence_adjusted	38,319	0.60	confidence 61 -> x0.60 (never above x1.00)
portfolio_risk_adjusted	21,678	0.57	correlated open risk $650 of $1,496 cluster budget -> x0.57
event_policy	21,678	1.00	event policy x1.00, liquidity x1.00
caps	21,000		rounded down to step 1000

Execution and outcome

No orders: this hypothesis did not reach the broker.

Versionsevery trade is traceable

data mode: MOCK
timestamp: 2026-09-11T10:00:00Z
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: fx.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