← opportunities · hypothesis a5418c61 · 09-15 16:00Z · MOCK data
WHY BTC/USD SHORT?SHORTexecutedcrypto.market_structure8H-4DMOCK sandboxUSD WEAKENINGVOLATILITY COMPRESSIONCRYPTO DELEVERAGINGMOCK
- executed09-15 16:00Zlegacy status "executed" mapped by migration 0004 (legacy executed meant order accepted; checked for an entry fill) · migration
- crypto.market_structure SHORT BTC/USD: structure signal, horizon 8H-4D
- crypto deleveraging regime (0.74) helps a short BTCUSD (assumed sensitivity +1.0)
- lower highs and lower lows
- close broke the last confirmed swing low
- Against: usd weakening regime (0.69) hurts a short BTCUSD (assumed sensitivity -0.3)
approved: all risk checks passed
Simulated under the MOCK sandbox: the strategy has not earned PAPER.
No rejection reasons.
- ▲macro-0.71crypto deleveraging regime (0.74) helps a short BTCUSD (assumed sensitivity +1.0)
- ▲technical-1.00lower highs and lower lows
- ▲technical80,292close broke the last confirmed swing low
- ▼macro-0.66usd weakening regime (0.69) hurts a short BTCUSD (assumed sensitivity -0.3)
- ▼macro0.46risk on regime (0.53) hurts a short BTCUSD (assumed sensitivity +0.6)
- stop at 87528.2 (4.6 x ATR(14))
- swing structure turns bullish (higher highs and lows)
- horizon exceeded: 96 bars held
| cross asset | MIXED | +0.14 | 0 ev. |
| macro | MIXED | −0.04 | 3 ev. |
| technical | CONFIRMS | +0.51 | 2 ev. |
- next event
- none in window
- blocks entry
- no
- size multiplier
- 1.00×
- confidence add
- +0
- state at decision
- high
- score
- +1.00
| eligibility | 1 ✓ | 0 ✗ |
| trade | 10 ✓ | 0 ✗ |
| portfolio | 11 ✓ | 0 ✗ |
| system | 2 ✓ | 0 ✗ |
60
60
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 | −0.4 | |
| regime alignment | 0.12 | +1.0 | |
| cross asset | 0.12 | +0.8 | |
| volatility | 0.08 | +4.0 | |
| liquidity | 0.08 | +4.0 | |
| event risk | 0.10 | 0.0 | |
| historical performance | 0.12 | −0.6 | |
| risk reward | 0.08 | +1.3 |
- Entry zone
- 78,884.2 – 79,781.0
- Reference
- 79,332.6
- Stop
- 87,528.2 · 4.6 ATR
- Target 1
- 62,941.4 · 2.0R
- Reward / risk
- 2.00
- Expected horizon
- 8H-4D · max 96 bars
- Expected return
- −0.08R
- OOS win rate (uncal.)
- 30.0% · n=18
walk-forward out-of-sample (2026-09-16): n=18, shrunk mean R x 0.47, Beta(1,1) win rate
Size0.035approved
Risk0.29%$287 · notional $2,777
Portfolio impact
Not evaluated: the opportunity was rejected before the portfolio projection.
| 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 | core session: us_hours |
| trade | quote fresh | ✓ | 0 | 15 | minutes since last quote |
| trade | spread sane | ✓ | 0.97 | 2.5 | spread / typical spread |
| trade | event policy | ✓ | clear | clear | |
| trade | confidence minimum | ✓ | 60.2 | 55 | uncalibrated score; event policy adds 0 |
| trade | risk reward minimum | ✓ | 2 | 1.5 | |
| trade | stop distance sane | ✓ | 4.57 | 0.5 | stop distance in ATRs |
| trade | no conflicting position | ✓ | 0 open, 0 pending | none | |
| portfolio | consecutive loss pause | ✓ | 5 | 4 | |
| portfolio | daily loss limit | ✓ | 0 | -2 | % since trading-day start |
| portfolio | drawdown limit | ✓ | 0.9259 | 10 | % below peak equity |
| trade | size above minimum | ✓ | 0.035 | 0.001 | units (BTC) |
| trade | risk per trade | ✓ | 0.2893 | 1 | % of equity at the stop |
| portfolio | gross exposure | ✓ | 2.8 | 500 | % of equity |
| portfolio | leverage | ✓ | 0.028 | 5 | |
| portfolio | currency exposure | ✓ | 0 | 300 | largest net currency exposure: - |
| portfolio | usd factor exposure | ✓ | 5.7 | 250 | beta-weighted USD-index-equivalent exposure, % of equity |
| portfolio | correlated cluster risk | ✓ | 0.289 | 1.5 | no correlated open positions |
| portfolio | crypto exposure | ✓ | 2.8 | 50 | % of equity |
| portfolio | portfolio volatility | ✓ | 3.782 | 20 | forecast annualised volatility |
| portfolio | max open positions | ✓ | 1 | 8 |
| Step | Qty after | × | Detail |
|---|---|---|---|
| fixed_risk | 0.060 | 0.5% of $99,160 = $496 over a stop of 8195.59 ($8,195.5852/unit) | |
| confidence_adjusted | 0.035 | 0.59 | confidence 60 -> x0.59 (never above x1.00) |
| portfolio_risk_adjusted | 0.035 | 1.00 | correlated open risk $0 of $1,487 cluster budget -> x1.00 |
| event_policy | 0.035 | 1.00 | event policy x1.00, liquidity x1.00 |
| caps | 0.035 | rounded down to step 0.001 |
| Created | Role | Type | Qty | Status | Avg fill |
|---|---|---|---|---|---|
| 09-16 16:00Z | exit | BUY MARKET | 0.035 | filled | 75,509.3 |
| 09-15 16:00Z | take profit | BUY LIMIT | 0.035 | cancelled | — |
| 09-15 16:00Z | entry | SELL MARKET | 0.035 | filled | 79,317.2 |
| 09-15 16:00Z | stop loss | BUY STOP | 0.035 | cancelled | — |
favourable variance +0.44R Closed at +0.44R: profitable, but not through the planned path (e.g. time exit or invalidation in profit).
- data mode
- MOCK
- timestamp
- 2026-09-15T16:00:00Z
- 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.market_structure@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