Delta

← opportunities · hypothesis 891fa9df · 09-04 09:00Z · MOCK data

WHY ETH/USD SHORT?SHORTrejectedcrypto.momentum4H-3DVOLATILITY 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

crypto.momentum SHORT ETH/USD: momentum signal, horizon 4H-3D
usd strengthening regime (0.41) helps a short ETHUSD (assumed sensitivity -0.3)
liquidity contraction regime (0.51) helps a short ETHUSD (assumed sensitivity +0.8)
crypto deleveraging regime (0.69) helps a short ETHUSD (assumed sensitivity +1.0)
momentum -1.55 sd crossed 1.5
RSI 28: not at an extreme
Against: SPX momentum +1.0 sd with correlation +0.31 contradicts the trade

DecisionREJECTED

rejected: confidence_minimum; no_conflicting_position

tradeconfidence minimum51.6 vs 65uncalibrated score; event policy adds 10
tradeno conflicting position1 open, 0 pending vs nonean open or pending position already exists on this instrument

Supporting evidence5

▲macro0.31usd strengthening regime (0.41) helps a short ETHUSD (assumed sensitivity -0.3)
▲macro-0.44liquidity contraction regime (0.51) helps a short ETHUSD (assumed sensitivity +0.8)
▲macro-0.66crypto deleveraging regime (0.69) helps a short ETHUSD (assumed sensitivity +1.0)
▲technical-1.55momentum -1.55 sd crossed 1.5
▲technical28RSI 28: not at an extreme

Contradicting evidence1

▼cross asset1.03SPX momentum +1.0 sd with correlation +0.31 contradicts the trade

Invalidation conditionschecked every strategy bar

stop at 3099.73 (5.0 x ATR(14))
120-bar momentum turns positive
horizon exceeded: 72 bars held

Confirmationuncalibrated scores

cross asset	CONTRADICTS	−0.25	1 ev.
macro	CONFIRMS	+0.41	3 ev.
technical	CONFIRMS	+0.43	2 ev.

Event riskscore 0.23

next event: US_NFP · 210 min
blocks entry: no
size multiplier: 0.50×
confidence add: +10

pre_event_reduce: US_NFP (CRITICAL) in 210 min

Liquidity

state at decision: normal
score: +0.50

Risk layers0.07% at stop

eligibility	1 ✓	0 ✗
trade	8 ✓	2 ✗
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, no_conflicting_position

confidence minimum51.6 / 65126%
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 sane0.8 / 2.532%
event policyclear / clear
risk reward minimum2 / 1.575%
stop distance sane5 / 0.510%
size above minimum0.12 / 0.018%
risk per trade0.07 / 17%

PORTFOLIO RISKPASS

11 checks passed

consecutive loss pause1 / 425%
daily loss limit-0.147 / -27%
drawdown limit0.326 / 103%
gross exposure28.53 / 5006%
leverage0.285 / 56%
currency exposure0 / 3000%
usd factor exposure28.15 / 25011%
correlated cluster risk0.68 / 1.545%
crypto exposure1.8 / 504%
portfolio volatility5.229 / 2026%
max open positions4 / 850%

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	+3.7
regime alignment	0.12	+1.2
cross asset	0.12	−1.5
volatility	0.08	−3.8
liquidity	0.08	+2.0
event risk	0.10	−1.1
historical performance	0.12	−0.2
risk reward	0.08	+1.3

Trade plan

Entry zone: 2,488.33 – 2,546.56
Reference: 2,517.45
Stop: 3,099.73 · 5.0 ATR
Target 1: 1,352.88 · 2.0R
Reward / risk: 2.00
Expected horizon: 4H-3D · max 72 bars
Expected return: −0.04R
OOS win rate (uncal.): 46.7% · n=13

walk-forward out-of-sample (2026-09-16): n=13, shrunk mean R x 0.39, Beta(1,1) win rate

Size and portfolio impactrisk-1.0.0

Size0.000not approved

Risk0.07%$70 · notional $302

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	regular session
trade	quote fresh	✓	0	15	minutes since last quote
trade	spread sane	✓	0.8	2.5	spread / typical spread
trade	event policy	✓	clear	clear	pre_event_reduce: US_NFP (CRITICAL) in 210 min
trade	confidence minimum	✗	51.6	65	uncalibrated score; event policy adds 10
trade	risk reward minimum	✓	2	1.5
trade	stop distance sane	✓	5	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	✓	-0.1466	-2	% since trading-day start
portfolio	drawdown limit	✓	0.3255	10	% below peak equity
trade	size above minimum	✓	0.12	0.01	units (ETH)
trade	risk per trade	✓	0.0701	1	% of equity at the stop
portfolio	gross exposure	✓	28.53	500	% of equity
portfolio	leverage	✓	0.285	5
portfolio	currency exposure	✓	0	300	largest net currency exposure: -
portfolio	usd factor exposure	✓	28.15	250	beta-weighted USD-index-equivalent exposure, % of equity
portfolio	correlated cluster risk	✓	0.68	1.5	3 positions move together (long-USD expression): SHORT BTCUSD, SHORT ETHUSD, SHORT ETHUSD
portfolio	crypto exposure	✓	1.8	50	% of equity
portfolio	portfolio volatility	✓	5.229	20	forecast annualised volatility
portfolio	max open positions	✓	4	8

Sizing tracenever sized from confidence alone

Step	Qty after	×	Detail
fixed_risk	0.856		0.5% of $99,675 = $498 over a stop of 582.281 ($582.2807/unit)
confidence_adjusted	0.428	0.50	confidence 52 -> x0.50 (never above x1.00)
portfolio_risk_adjusted	0.254	0.59	correlated open risk $608 of $1,495 cluster budget -> x0.59
event_policy	0.127	0.50	event policy x0.50, liquidity x1.00
caps	0.120		rounded down to step 0.01

Execution and outcome

No orders: this hypothesis did not reach the broker.

Versionsevery trade is traceable

data mode: MOCK
timestamp: 2026-09-04T09:00:00Z
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.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