Delta

← opportunities · hypothesis 7b6ea893 · 09-07 04:00Z · MOCK data

WHY GBP/USD LONG?LONGrejectedfx.momentum4H-3DVOLATILITY 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

fx.momentum LONG GBP/USD: momentum signal, horizon 4H-3D
EURUSD momentum +1.2 sd with correlation +0.63 confirms the trade
AUDUSD momentum +1.3 sd with correlation +0.64 confirms the trade
120-bar momentum +1.54 sd crossed +1.5
momentum changed +1.95 sd over 24 bars
RSI 73: momentum not yet exhausted

DecisionREJECTED

rejected: confidence_minimum

tradeconfidence minimum52 vs 55uncalibrated score; event policy adds 0

Supporting evidence5

▲cross asset1.22EURUSD momentum +1.2 sd with correlation +0.63 confirms the trade
▲cross asset1.32AUDUSD momentum +1.3 sd with correlation +0.64 confirms the trade
▲technical1.54120-bar momentum +1.54 sd crossed +1.5
▲technical1.95momentum changed +1.95 sd over 24 bars
▲technical73RSI 73: 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 1.36615 (4.0 x ATR(14))
120-bar momentum turns negative
horizon exceeded: 72 bars held

Confirmationuncalibrated scores

cross asset	CONFIRMS	+0.50	2 ev.
macro	MIXED	+0.01	0 ev.
technical	CONFIRMS	+0.70	3 ev.

Event riskscore 0.00

next event: none in window
blocks entry: no
size multiplier: 1.00×
confidence add: +0

Liquidity

state at decision: thin
score: −0.25

Risk layers0.11% 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 confidence_minimum

confidence minimum52 / 55106%
strategy stage eligibleBACKTEST (sandbox) / PAPER|SHADOW|LIMITED_CAPITAL|PRODUCTION
market liquidity allows entrythin / not closed/maintenance/rollover/reopen
quote fresh0 / 150%
spread sane1.7 / 2.568%
event policyclear / clear
risk reward minimum2 / 1.575%
stop distance sane4 / 0.513%
no conflicting position0 open, 0 pending / none
size above minimum10,000 / 1,00010%
risk per trade0.11 / 111%

PORTFOLIO RISKPASS

11 checks passed

consecutive loss pause0 / 40%
daily loss limit0.334 / -20%
drawdown limit0.163 / 102%
gross exposure53.41 / 50011%
leverage0.534 / 511%
currency exposure-51.16 / 30017%
usd factor exposure-48.49 / 25019%
correlated cluster risk0.899 / 1.560%
crypto exposure2.26 / 505%
portfolio volatility6.281 / 2031%
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	+0.1
regime alignment	0.12	+0.1
cross asset	0.12	+3.0
volatility	0.08	−1.9
liquidity	0.08	−1.0
event risk	0.10	0.0
historical performance	0.12	+0.4
risk reward	0.08	+1.3

Trade plan

Entry zone: 1.37641 – 1.37777
Reference: 1.37709
Stop: 1.36615 · 4.0 ATR
Target 1: 1.39896 · 2.0R
Reward / risk: 2.00
Expected horizon: 4H-3D · max 72 bars
Expected return: +0.06R
OOS win rate (uncal.): 59.1% · n=20

walk-forward out-of-sample (2026-09-16): n=20, shrunk mean R x 0.50, Beta(1,1) win rate

Size and portfolio impactrisk-1.0.0

Size0.000not approved

Risk0.11%$109 · notional $13,771

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	✓	thin	not closed/maintenance/rollover/reopen	outside home sessions
trade	quote fresh	✓	0	15	minutes since last quote
trade	spread sane	✓	1.7	2.5	spread / typical spread
trade	event policy	✓	clear	clear
trade	confidence minimum	✗	52	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
portfolio	daily loss limit	✓	0.3337	-2	% since trading-day start
portfolio	drawdown limit	✓	0.1627	10	% below peak equity
trade	size above minimum	✓	10,000	1,000	units (GBP)
trade	risk per trade	✓	0.1095	1	% of equity at the stop
portfolio	gross exposure	✓	53.41	500	% of equity
portfolio	leverage	✓	0.534	5
portfolio	currency exposure	✓	-51.16	300	largest net currency exposure: USD
portfolio	usd factor exposure	✓	-48.49	250	beta-weighted USD-index-equivalent exposure, % of equity
portfolio	correlated cluster risk	✓	0.899	1.5	2 positions move together (short-USD expression): LONG AUDUSD, LONG GBPUSD
portfolio	crypto exposure	✓	2.26	50	% of equity
portfolio	portfolio volatility	✓	6.281	20	forecast annualised volatility
portfolio	max open positions	✓	3	8

Sizing tracenever sized from confidence alone

Step	Qty after	×	Detail
fixed_risk	45,650		0.5% of $99,837 = $499 over a stop of 0.0109351 ($0.0109/unit)
confidence_adjusted	22,825	0.50	confidence 52 -> x0.50 (never above x1.00)
portfolio_risk_adjusted	10,815	0.47	correlated open risk $788 of $1,498 cluster budget -> x0.47
event_policy	10,815	1.00	event policy x1.00, liquidity x1.00
caps	10,000		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: 2026-09-07T04:00:00Z
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