← opportunities · hypothesis b76abecb · 09-16 09:00Z · MOCK data
WHY BTC/USD SHORT?SHORTrejectedcrypto.volatility4H-2DUSD WEAKENINGVOLATILITY COMPRESSIONCRYPTO DELEVERAGINGMOCK
No lifecycle transitions recorded: this opportunity was decided before lifecycle tracking began.
- crypto.volatility SHORT BTC/USD: breakout signal, horizon 4H-2D
- crypto deleveraging regime (0.74) helps a short BTCUSD (assumed sensitivity +1.0)
- ETHUSD momentum -0.9 sd with correlation +0.74 confirms the trade
- SPX momentum -0.5 sd with correlation +0.35 confirms the trade
- close broke the lower band
- band width in the 8% percentile: squeeze
- Against: usd weakening regime (0.73) hurts a short BTCUSD (assumed sensitivity -0.3)
rejected: confidence_minimum; no_conflicting_position
- tradeconfidence minimum58.3 vs 65uncalibrated score; event policy adds 10
- tradeno conflicting position1 open, 0 pending vs nonean open or pending position already exists on this instrument
- ▲macro-0.71crypto deleveraging regime (0.74) helps a short BTCUSD (assumed sensitivity +1.0)
- ▲cross asset-0.87ETHUSD momentum -0.9 sd with correlation +0.74 confirms the trade
- ▲cross asset-0.50SPX momentum -0.5 sd with correlation +0.35 confirms the trade
- ▲technical-32close broke the lower band
- ▲volatility0.08band width in the 8% percentile: squeeze
- ▼macro-0.71usd weakening regime (0.73) hurts a short BTCUSD (assumed sensitivity -0.3)
- ▼macro0.43risk on regime (0.50) hurts a short BTCUSD (assumed sensitivity +0.6)
- stop at 84591.5 (4.0 x ATR(14))
- close back through the 20-bar mean within 4 bars
- horizon exceeded: 48 bars held
| cross asset | CONFIRMS | +0.34 | 2 ev. |
| macro | MIXED | −0.05 | 3 ev. |
| technical | MIXED | +0.03 | 2 ev. |
- next event
- US_RETAIL_SALES · 210 min
- blocks entry
- no
- size multiplier
- 0.50×
- confidence add
- +10
pre_event_reduce: US_RETAIL_SALES (HIGH) in 210 min
- state at decision
- normal
- score
- +0.50
| eligibility | 1 ✓ | 0 ✗ |
| trade | 8 ✓ | 2 ✗ |
| portfolio | 11 ✓ | 0 ✗ |
| system | 2 ✓ | 0 ✗ |
58
58
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 | −0.5 | |
| regime alignment | 0.12 | +0.9 | |
| cross asset | 0.12 | +2.0 | |
| volatility | 0.08 | +3.8 | |
| liquidity | 0.08 | +2.0 | |
| event risk | 0.10 | −0.9 | |
| historical performance | 0.12 | −0.5 | |
| risk reward | 0.08 | +1.3 |
- Entry zone
- 78,021.8 – 78,794.7
- Reference
- 78,408.2
- Stop
- 84,591.5 · 4.0 ATR
- Target 1
- 66,041.7 · 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
Size0.000not approved
Risk0.11%$105 · notional $1,333
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 | ✓ | normal | not closed/maintenance/rollover/reopen | regular session |
| trade | quote fresh | ✓ | 0 | 15 | minutes since last quote |
| trade | spread sane | ✓ | 0.97 | 2.5 | spread / typical spread |
| trade | event policy | ✓ | clear | clear | pre_event_reduce: US_RETAIL_SALES (HIGH) in 210 min |
| trade | confidence minimum | ✗ | 58.3 | 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 | ✗ | 1 open, 0 pending | none | an open or pending position already exists on this instrument |
| portfolio | consecutive loss pause | ✓ | 5 | 4 | |
| portfolio | daily loss limit | ✓ | 0.1767 | -2 | % since trading-day start |
| portfolio | drawdown limit | ✓ | 0.8072 | 10 | % below peak equity |
| trade | size above minimum | ✓ | 0.017 | 0.001 | units (BTC) |
| trade | risk per trade | ✓ | 0.1059 | 1 | % of equity at the stop |
| portfolio | gross exposure | ✓ | 71.86 | 500 | % of equity |
| portfolio | leverage | ✓ | 0.719 | 5 | |
| portfolio | currency exposure | ✓ | -67.75 | 300 | largest net currency exposure: USD |
| portfolio | usd factor exposure | ✓ | -60.12 | 250 | beta-weighted USD-index-equivalent exposure, % of equity |
| portfolio | correlated cluster risk | ✓ | 0.427 | 1.5 | 2 positions move together (long-USD expression): SHORT BTCUSD, SHORT BTCUSD |
| portfolio | crypto exposure | ✓ | 4.11 | 50 | % of equity |
| portfolio | portfolio volatility | ✓ | 7.901 | 20 | forecast annualised volatility |
| portfolio | max open positions | ✓ | 4 | 8 |
| Step | Qty after | × | Detail |
|---|---|---|---|
| fixed_risk | 0.080 | 0.5% of $99,278 = $496 over a stop of 6183.28 ($6,183.2811/unit) | |
| confidence_adjusted | 0.045 | 0.56 | confidence 58 -> x0.55 (never above x1.00) |
| portfolio_risk_adjusted | 0.035 | 0.79 | correlated open risk $319 of $1,489 cluster budget -> x0.79 |
| event_policy | 0.018 | 0.50 | event policy x0.50, liquidity x1.00 |
| caps | 0.017 | rounded down to step 0.001 |
No orders: this hypothesis did not reach the broker.
- data mode
- MOCK
- timestamp
- 2026-09-16T09:00:00Z
- 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