Delta

← opportunities · hypothesis 80cf228c · 09-04 13:00Z · MOCK data

WHY USD/JPY SHORT?SHORTrejectedfx.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 SHORT USD/JPY: breakout signal, horizon 4H-4D
risk off regime (0.36) helps a short USDJPY (assumed sensitivity +0.5)
EURUSD momentum +0.7 sd with correlation -0.72 confirms the trade
GBPUSD momentum +0.6 sd with correlation -0.35 confirms the trade
US10Y momentum -2.1 sd with correlation +0.33 confirms the trade
close broke the prior 55-bar low at 164.99

DecisionREJECTED

rejected: event_policy

tradeevent policyblocked vs clearcritical_event_only: US_NFP (CRITICAL) in -30 min (strategy not event-driven)

Supporting evidence7

▲macro-0.23risk off regime (0.36) helps a short USDJPY (assumed sensitivity +0.5)
▲cross asset0.65EURUSD momentum +0.7 sd with correlation -0.72 confirms the trade
▲cross asset0.55GBPUSD momentum +0.6 sd with correlation -0.35 confirms the trade
▲cross asset-2.08US10Y momentum -2.1 sd with correlation +0.33 confirms the trade
▲technical165close broke the prior 55-bar low at 164.99
▲volatility0.28band width in the 28% percentile before the break (compression)
▲volatility1.59short/long realised vol 1.59: volatility expanding

Contradicting evidence0

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

Invalidation conditionschecked every strategy bar

stop at 165.27 (4.0 x ATR(14))
close back inside the channel (> 164.99) within 6 bars: false breakout
horizon exceeded: 96 bars held

Confirmationuncalibrated scores

cross asset	CONFIRMS	+0.53	3 ev.
macro	MIXED	+0.13	1 ev.
technical	CONFIRMS	+0.67	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 layers0.27% 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 event_policy

event policyblocked / clear
spread sane2.39 / 2.596%
confidence minimum57.9 / 5595%
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 minimum21,000 / 1,0005%
risk per trade0.267 / 127%

PORTFOLIO RISKPASS

11 checks passed

consecutive loss pause1 / 425%
daily loss limit-0.228 / -211%
drawdown limit0.407 / 104%
gross exposure22.55 / 5005%
leverage0.225 / 55%
currency exposure21.09 / 3007%
usd factor exposure-17.04 / 2507%
correlated cluster risk0.267 / 1.518%
crypto exposure1.46 / 503%
portfolio volatility3.701 / 2019%
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	+1.2
regime alignment	0.12	+2.8
cross asset	0.12	+3.2
volatility	0.08	−0.7
liquidity	0.08	+4.0
event risk	0.10	−5.0
historical performance	0.12	−0.2
risk reward	0.08	+2.7

Trade plan

Entry zone: 163.076 – 163.334
Reference: 163.205
Stop: 165.270 · 4.0 ATR
Target 1: 158.043 · 2.5R
Reward / risk: 2.50
Expected horizon: 4H-4D · max 96 bars
Expected return: −0.11R
OOS win rate (uncal.): 16.7% · n=4

walk-forward out-of-sample (2026-09-16): n=4, shrunk mean R x 0.17, Beta(1,1) win rate

Size and portfolio impactrisk-1.0.0

Size0.000not approved

Risk0.27%$266 · notional $21,000

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	✓	2.39	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	✓	57.9	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	✓	21,000	1,000	units (USD)
trade	risk per trade	✓	0.2667	1	% of equity at the stop
portfolio	gross exposure	✓	22.55	500	% of equity
portfolio	leverage	✓	0.225	5
portfolio	currency exposure	✓	21.09	300	largest net currency exposure: JPY
portfolio	usd factor exposure	✓	-17.04	250	beta-weighted USD-index-equivalent exposure, % of equity
portfolio	correlated cluster risk	✓	0.267	1.5	no correlated open positions
portfolio	crypto exposure	✓	1.46	50	% of equity
portfolio	portfolio volatility	✓	3.701	20	forecast annualised volatility
portfolio	max open positions	✓	3	8

Sizing tracenever sized from confidence alone

Step	Qty after	×	Detail
fixed_risk	39,363		0.5% of $99,593 = $498 over a stop of 2.06465 ($0.0127/unit)
confidence_adjusted	21,584	0.55	confidence 58 -> x0.55 (never above x1.00)
portfolio_risk_adjusted	21,584	1.00	correlated open risk $0 of $1,494 cluster budget -> x1.00
event_policy	21,584	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: 2026-09-04T13:00:00Z
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