← opportunities · hypothesis 669cc45d · 09-17 01:00Z · MOCK data
WHY BTC/USD SHORT?SHORTexecutedcrypto.market_structure8H-4DMOCK sandboxDISINFLATIONARYCRYPTO DELEVERAGINGMOCK
- candidate09-17 01:00Zcrypto.market_structure SHORT signal on BTCUSD
- qualified09-17 01:00Zpassed 9 trade-quality and eligibility gates
- approved09-17 01:00Zapproved: all risk layers passed; MARKET order (market order: liquidity normal, spread 1.1x typical)
- executed09-17 01:00Zentry order filled 0.037 @ 72105.1 · broker
- crypto.market_structure SHORT BTC/USD: structure signal, horizon 8H-4D
- risk off regime (0.37) helps a short BTCUSD (assumed sensitivity +0.6)
- crypto deleveraging regime (0.80) helps a short BTCUSD (assumed sensitivity +1.0)
- ETHUSD momentum -1.4 sd with correlation +0.73 confirms the trade
- SPX momentum -1.0 sd with correlation +0.33 confirms the trade
- lower highs and lower lows
entry order filled 0.037 @ 72105.1
Simulated under the MOCK sandbox: the strategy has not earned PAPER.
No rejection reasons.
- ▲macro-0.25risk off regime (0.37) helps a short BTCUSD (assumed sensitivity +0.6)
- ▲macro-0.78crypto deleveraging regime (0.80) helps a short BTCUSD (assumed sensitivity +1.0)
- ▲cross asset-1.43ETHUSD momentum -1.4 sd with correlation +0.73 confirms the trade
- ▲cross asset-1.01SPX momentum -1.0 sd with correlation +0.33 confirms the trade
- ▲technical-1.00lower highs and lower lows
- ▲technical72,185close broke the last confirmed swing low
Nothing material against the trade was recorded. Absence of evidence is not evidence of safety.
- stop at 78039 (3.9 x ATR(14))
- swing structure turns bullish (higher highs and lows)
- horizon exceeded: 96 bars held
| cross asset | CONFIRMS | +0.61 | 2 ev. |
| macro | CONFIRMS | +0.36 | 2 ev. |
| technical | CONFIRMS | +0.53 | 2 ev. |
- next event
- none in window
- blocks entry
- no
- size multiplier
- 1.00×
- confidence add
- +0
- state at decision
- normal
- score
- +0.50
| eligibility | 1 ✓ | 0 ✗ |
| trade | 10 ✓ | 0 ✗ |
| portfolio | 11 ✓ | 0 ✗ |
| system | 3 ✓ | 0 ✗ |
11 checks passed; close to a limit: confidence_minimum
- confidence minimum60.5 / 5591%
- strategy stage eligibleBACKTEST (sandbox) / PAPER|SHADOW|LIMITED_CAPITAL|PRODUCTION
- market liquidity allows entrynormal / not closed/maintenance/rollover/reopen
- quote fresh0 / 150%
- spread sane1.1 / 2.544%
- event policyclear / clear
- risk reward minimum2 / 1.575%
- stop distance sane3.89 / 0.513%
- no conflicting position0 open, 0 pending / none
- size above minimum0.037 / 0.0013%
- risk per trade0.221 / 122%
11 checks passed
- consecutive loss pause1 / 425%
- daily loss limit0 / -20%
- drawdown limit1.024 / 1010%
- gross exposure4.83 / 5001%
- leverage0.048 / 51%
- currency exposure0 / 3000%
- usd factor exposure7.22 / 2503%
- correlated cluster risk0.573 / 1.538%
- crypto exposure4.83 / 5010%
- portfolio volatility6.734 / 2034%
- max open positions2 / 825%
3 checks passed
- kill switch inactiveinactive / inactive
- trading mode validpaper / paper|backtest|live
- system risk monitorOK / not BLOCK
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
61
61
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 | +3.7 | |
| volatility | 0.08 | −0.7 | |
| liquidity | 0.08 | +2.0 | |
| event risk | 0.10 | 0.0 | |
| historical performance | 0.12 | −0.6 | |
| risk reward | 0.08 | +1.3 |
- Entry zone
- 71,750.7 – 72,510.9
- Reference
- 72,130.8
- Stop
- 78,039.0 · 3.9 ATR
- Target 1
- 60,314.5 · 2.0R
- Reward / risk
- 2.00
- Expected horizon
- 8H-4D · max 96 bars
- Expected return
- −0.08R
- OOS win rate (uncal.)
- 30.0% · n=18
walk-forward out-of-sample (2026-09-16): n=18, shrunk mean R x 0.47, Beta(1,1) win rate
Size0.037approved
Risk0.22%$219 · notional $2,669
Portfolio impact
| Before | After | |
|---|---|---|
| Gross exposure | 2.1% | 4.8% |
| USD factor exposure | +2.1% | +7.2% |
| Largest currency | - 0.0% | - 0.0% |
| Forecast volatility | 3.6% | 6.7% |
| Open positions | 1 | 2 |
| Correlated cluster risk | 0.35% | 0.57% |
| Factor theme | none | none |
| USD per 1σ day | +0.02% | +0.05% |
| RISK per 1σ day | −0.06% | −0.12% |
Joins a correlated cluster: SHORT ETHUSD, SHORT BTCUSD. 2 positions move together (long-USD expression)
| 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 | ✓ | 1.1 | 2.5 | spread / typical spread |
| trade | event policy | ✓ | clear | clear | |
| trade | confidence minimum | ✓ | 60.5 | 55 | uncalibrated score; event policy adds 0 |
| trade | risk reward minimum | ✓ | 2 | 1.5 | |
| trade | stop distance sane | ✓ | 3.89 | 0.5 | stop distance in ATRs |
| trade | no conflicting position | ✓ | 0 open, 0 pending | none | |
| portfolio | consecutive loss pause | ✓ | 1 | 4 | |
| portfolio | daily loss limit | ✓ | 0 | -2 | % since trading-day start |
| portfolio | drawdown limit | ✓ | 1.0244 | 10 | % below peak equity |
| trade | size above minimum | ✓ | 0.037 | 0.001 | units (BTC) |
| trade | risk per trade | ✓ | 0.2207 | 1 | % of equity at the stop |
| portfolio | gross exposure | ✓ | 4.83 | 500 | % of equity |
| portfolio | leverage | ✓ | 0.048 | 5 | |
| portfolio | currency exposure | ✓ | 0 | 300 | largest net currency exposure: - |
| portfolio | usd factor exposure | ✓ | 7.22 | 250 | beta-weighted USD-index-equivalent exposure, % of equity |
| portfolio | correlated cluster risk | ✓ | 0.573 | 1.5 | 2 positions move together (long-USD expression): SHORT ETHUSD, SHORT BTCUSD |
| portfolio | crypto exposure | ✓ | 4.83 | 50 | % of equity |
| portfolio | portfolio volatility | ✓ | 6.734 | 20 | forecast annualised volatility |
| portfolio | max open positions | ✓ | 2 | 8 | |
| trade | system risk monitor | ✓ | OK | not BLOCK | no system risk metric above its level |
| Step | Qty after | × | Detail |
|---|---|---|---|
| fixed_risk | 0.084 | 0.5% of $99,061 = $495 over a stop of 5908.15 ($5,908.1507/unit) | |
| confidence_adjusted | 0.050 | 0.59 | confidence 60 -> x0.59 (never above x1.00) |
| portfolio_risk_adjusted | 0.038 | 0.77 | correlated open risk $349 of $1,486 cluster budget -> x0.77 |
| event_policy | 0.038 | 1.00 | event policy x1.00, liquidity x1.00 |
| caps | 0.037 | rounded down to step 0.001 |
| Created | Role | Type | Qty | Status | Avg fill |
|---|---|---|---|---|---|
| 09-17 01:00Z | entry | SELL MARKET | 0.037 | filled | 72,105.1 |
| 09-17 01:00Z | take profit | BUY LIMIT | 0.037 | accepted | — |
| 09-17 01:00Z | stop loss | BUY STOP | 0.037 | accepted | — |
- data mode
- MOCK
- timestamp
- 2026-09-17T01:00:00Z
- 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.market_structure@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