Delta

← opportunities · hypothesis 932c2aa0 · 09-09 09:00Z · MOCK data

WHY BTC/USD SHORT?SHORTrejectedcrypto.volatility4H-2DDISINFLATIONARYLIQUIDITY 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

crypto.volatility SHORT BTC/USD: breakout signal, horizon 4H-2D
usd strengthening regime (0.46) helps a short BTCUSD (assumed sensitivity -0.3)
liquidity contraction regime (0.66) helps a short BTCUSD (assumed sensitivity +0.8)
crypto deleveraging regime (0.68) helps a short BTCUSD (assumed sensitivity +1.0)
ETHUSD momentum -1.3 sd with correlation +0.73 confirms the trade
close broke the lower band
Against: SPX momentum +0.6 sd with correlation +0.30 contradicts the trade

DecisionREJECTED

rejected: confidence_minimum; consecutive_loss_pause

tradeconfidence minimum61.3 vs 65uncalibrated score; event policy adds 10
portfolioconsecutive loss pause0 vs 4paused until 2026-09-10T00:00:00+00:00

Supporting evidence6

▲macro0.37usd strengthening regime (0.46) helps a short BTCUSD (assumed sensitivity -0.3)
▲macro-0.62liquidity contraction regime (0.66) helps a short BTCUSD (assumed sensitivity +0.8)
▲macro-0.64crypto deleveraging regime (0.68) helps a short BTCUSD (assumed sensitivity +1.0)
▲cross asset-1.29ETHUSD momentum -1.3 sd with correlation +0.73 confirms the trade
▲technical-392close broke the lower band
▲volatility0.01band width in the 1% percentile: squeeze

Contradicting evidence1

▼cross asset0.59SPX momentum +0.6 sd with correlation +0.30 contradicts the trade

Invalidation conditionschecked every strategy bar

stop at 104141 (4.0 x ATR(14))
close back through the 20-bar mean within 4 bars
horizon exceeded: 48 bars held

Confirmationuncalibrated scores

cross asset	MIXED	+0.18	2 ev.
macro	CONFIRMS	+0.40	3 ev.
technical	CONFIRMS	+0.52	2 ev.

Event riskscore 0.23

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

pre_event_reduce: US_CPI (CRITICAL) in 210 min

Liquidity

state at decision: normal
score: +0.50

Risk layers0.15% at stop

eligibility	1 ✓	0 ✗
trade	9 ✓	1 ✗
portfolio	10 ✓	1 ✗
system	2 ✓	0 ✗

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

TRADE RISKBLOCK

blocked by confidence_minimum

confidence minimum61.3 / 65106%
strategy stage eligibleBACKTEST (sandbox) / PAPER|SHADOW|LIMITED_CAPITAL|PRODUCTION
market liquidity allows entrynormal / not closed/maintenance/rollover/reopen
quote fresh0 / 150%
spread sane1 / 2.540%
event policyclear / clear
risk reward minimum2 / 1.575%
stop distance sane4 / 0.513%
no conflicting position0 open, 0 pending / none
size above minimum0.018 / 0.0016%
risk per trade0.148 / 115%

PORTFOLIO RISKBLOCK

blocked by consecutive_loss_pause

consecutive loss pause0 / 40%
daily loss limit-0.015 / -21%
drawdown limit0.411 / 104%
gross exposure1.73 / 5000%
leverage0.017 / 50%
currency exposure0 / 3000%
usd factor exposure2.69 / 2501%
correlated cluster risk0.148 / 1.510%
crypto exposure1.73 / 503%
portfolio volatility2.248 / 2011%
max open positions1 / 813%

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	+3.6
regime alignment	0.12	+0.9
cross asset	0.12	+1.1
volatility	0.08	+4.0
liquidity	0.08	+2.0
event risk	0.10	−1.1
historical performance	0.12	−0.5
risk reward	0.08	+1.3

Trade plan

Entry zone: 95,455.0 – 96,476.9
Reference: 95,965.9
Stop: 104,140.9 · 4.0 ATR
Target 1: 79,616.0 · 2.0R
Reward / risk: 2.00
Expected horizon: 4H-2D · max 48 bars
Expected return: −0.07R
OOS win rate (uncal.): 47.4% · n=17

walk-forward out-of-sample (2026-09-16): n=17, shrunk mean R x 0.46, Beta(1,1) win rate

Size and portfolio impactrisk-1.0.0

Size0.000not approved

Risk0.15%$147 · notional $1,727

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	✓	1	2.5	spread / typical spread
trade	event policy	✓	clear	clear	pre_event_reduce: US_CPI (CRITICAL) in 210 min
trade	confidence minimum	✗	61.3	65	uncalibrated score; event policy adds 10
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	paused until 2026-09-10T00:00:00+00:00
portfolio	daily loss limit	✓	-0.0146	-2	% since trading-day start
portfolio	drawdown limit	✓	0.4113	10	% below peak equity
trade	size above minimum	✓	0.018	0.001	units (BTC)
trade	risk per trade	✓	0.1476	1	% of equity at the stop
portfolio	gross exposure	✓	1.73	500	% of equity
portfolio	leverage	✓	0.017	5
portfolio	currency exposure	✓	0	300	largest net currency exposure: -
portfolio	usd factor exposure	✓	2.69	250	beta-weighted USD-index-equivalent exposure, % of equity
portfolio	correlated cluster risk	✓	0.148	1.5	no correlated open positions
portfolio	crypto exposure	✓	1.73	50	% of equity
portfolio	portfolio volatility	✓	2.248	20	forecast annualised volatility
portfolio	max open positions	✓	1	8

Sizing tracenever sized from confidence alone

Step	Qty after	×	Detail
fixed_risk	0.061		0.5% of $99,675 = $498 over a stop of 8174.96 ($8,174.9587/unit)
confidence_adjusted	0.037	0.61	confidence 61 -> x0.60 (never above x1.00)
portfolio_risk_adjusted	0.037	1.00	correlated open risk $0 of $1,495 cluster budget -> x1.00
event_policy	0.018	0.50	event policy x0.50, liquidity x1.00
caps	0.018		rounded down to step 0.001

Execution and outcome

No orders: this hypothesis did not reach the broker.

Versionsevery trade is traceable

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