Delta

← opportunities · hypothesis 689abff7 · 09-04 13:00Z · MOCK data

WHY EUR/USD LONG?LONGrejectedfx.breakout4H-4DVOLATILITY EXPANSIONCRYPTO 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.breakout LONG EUR/USD: breakout signal, horizon 4H-4D
GBPUSD momentum +0.6 sd with correlation +0.60 confirms the trade
AUDUSD momentum +0.5 sd with correlation +0.46 confirms the trade
USDJPY momentum -0.7 sd with correlation -0.72 confirms the trade
close broke the prior 55-bar high at 1.1793
band width in the 23% percentile before the break (compression)
Against: EURUSD-AUDUSD correlation has broken down (+0.22 short vs +0.46 long): cross-asset read is less reliable

DecisionREJECTED

rejected: spread_sane; event_policy; confidence_minimum

tradespread sane2.59 vs 2.5spread / typical spread
tradeevent policyblocked vs clearcritical_event_only: US_NFP (CRITICAL) in -30 min (strategy not event-driven)
tradeconfidence minimum51.1 vs 55uncalibrated score; event policy adds 0

Supporting evidence6

▲cross asset0.55GBPUSD momentum +0.6 sd with correlation +0.60 confirms the trade
▲cross asset0.55AUDUSD momentum +0.5 sd with correlation +0.46 confirms the trade
▲cross asset-0.65USDJPY momentum -0.7 sd with correlation -0.72 confirms the trade
▲technical1.18close broke the prior 55-bar high at 1.1793
▲volatility0.23band width in the 23% percentile before the break (compression)
▲volatility1.72short/long realised vol 1.72: volatility expanding

Contradicting evidence2

▼cross assetEURUSD-AUDUSD correlation has broken down (+0.22 short vs +0.46 long): cross-asset read is less reliable
▼cross asset-0.88XAUUSD momentum -0.9 sd with correlation +0.45 contradicts the trade

Invalidation conditionschecked every strategy bar

stop at 1.17445 (4.0 x ATR(14))
close back inside the channel (< 1.1793) within 6 bars: false breakout
horizon exceeded: 96 bars held

Confirmationuncalibrated scores

cross asset	MIXED	−0.14	5 ev.
macro	MIXED	−0.02	0 ev.
technical	CONFIRMS	+0.75	3 ev.

Event riskscore 1.00

next event: none in window
blocks entry: yes
size multiplier: 1.00×
confidence add: +0

critical_event_only: US_NFP (CRITICAL) in -30 min (strategy not event-driven)

Liquidity

state at decision: high
score: +1.00

Risk layers0.24% at stop

eligibility	1 ✓	0 ✗
trade	7 ✓	3 ✗
portfolio	11 ✓	0 ✗
system	2 ✓	0 ✗

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

TRADE RISKBLOCK

blocked by spread_sane, event_policy, confidence_minimum

spread sane2.59 / 2.5104%
event policyblocked / clear
confidence minimum51.1 / 55108%
strategy stage eligibleBACKTEST (sandbox) / PAPER|SHADOW|LIMITED_CAPITAL|PRODUCTION
market liquidity allows entryhigh / not closed/maintenance/rollover/reopen
quote fresh0 / 150%
risk reward minimum2.5 / 1.560%
stop distance sane4 / 0.513%
no conflicting position0 open, 0 pending / none
size above minimum19,000 / 1,0005%
risk per trade0.244 / 124%

PORTFOLIO RISKPASS

11 checks passed

consecutive loss pause1 / 425%
daily loss limit-0.228 / -211%
drawdown limit0.407 / 104%
gross exposure24.11 / 5005%
leverage0.241 / 55%
currency exposure22.65 / 3008%
usd factor exposure-19.45 / 2508%
correlated cluster risk0.244 / 1.516%
crypto exposure1.46 / 503%
portfolio volatility2.704 / 2014%
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

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	−0.2
regime alignment	0.12	+2.8
cross asset	0.12	−0.8
volatility	0.08	−2.4
liquidity	0.08	+4.0
event risk	0.10	−5.0
historical performance	0.12	+0.1
risk reward	0.08	+2.7

Trade plan

Entry zone: 1.18643 – 1.18802
Reference: 1.18723
Stop: 1.17445 · 4.0 ATR
Target 1: 1.21917 · 2.5R
Reward / risk: 2.50
Expected horizon: 4H-4D · max 96 bars
Expected return: +0.02R
OOS win rate (uncal.): 28.6% · n=5

walk-forward out-of-sample (2026-09-16): n=5, shrunk mean R x 0.20, Beta(1,1) win rate

Size and portfolio impactrisk-1.0.0

Size0.000not approved

Risk0.24%$243 · notional $22,557

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	✓	high	not closed/maintenance/rollover/reopen	session overlap: london + new_york
trade	quote fresh	✓	0	15	minutes since last quote
trade	spread sane	✗	2.59	2.5	spread / typical spread
trade	event policy	✗	blocked	clear	critical_event_only: US_NFP (CRITICAL) in -30 min (strategy not event-driven)
trade	confidence minimum	✗	51.1	55	uncalibrated score; event policy adds 0
trade	risk reward minimum	✓	2.5	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	✓	1	4
portfolio	daily loss limit	✓	-0.2285	-2	% since trading-day start
portfolio	drawdown limit	✓	0.4072	10	% below peak equity
trade	size above minimum	✓	19,000	1,000	units (EUR)
trade	risk per trade	✓	0.2438	1	% of equity at the stop
portfolio	gross exposure	✓	24.11	500	% of equity
portfolio	leverage	✓	0.241	5
portfolio	currency exposure	✓	22.65	300	largest net currency exposure: EUR
portfolio	usd factor exposure	✓	-19.45	250	beta-weighted USD-index-equivalent exposure, % of equity
portfolio	correlated cluster risk	✓	0.244	1.5	no correlated open positions
portfolio	crypto exposure	✓	1.46	50	% of equity
portfolio	portfolio volatility	✓	2.704	20	forecast annualised volatility
portfolio	max open positions	✓	3	8

Sizing tracenever sized from confidence alone

Step	Qty after	×	Detail
fixed_risk	38,973		0.5% of $99,593 = $498 over a stop of 0.0127772 ($0.0128/unit)
confidence_adjusted	19,486	0.50	confidence 51 -> x0.50 (never above x1.00)
portfolio_risk_adjusted	19,486	1.00	correlated open risk $0 of $1,494 cluster budget -> x1.00
event_policy	19,486	1.00	event policy x1.00, liquidity x1.00
caps	19,000		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: 2026-09-04T13:00:00Z
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.breakout@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