Delta

← opportunities · hypothesis bfa0612c · 09-07 05:00Z · MOCK data

WHY BTC/USD SHORT?SHORTrejectedcrypto.momentum4H-3DVOLATILITY EXPANSIONLIQUIDITY 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.momentum SHORT BTC/USD: momentum signal, horizon 4H-3D
liquidity contraction regime (0.57) helps a short BTCUSD (assumed sensitivity +0.8)
crypto deleveraging regime (0.89) helps a short BTCUSD (assumed sensitivity +1.0)
ETHUSD momentum -3.3 sd with correlation +0.73 confirms the trade
momentum -1.65 sd crossed 1.5
RSI 40: not at an extreme

DecisionREJECTED

rejected: no_conflicting_position

tradeno conflicting position1 open, 0 pending vs nonean open or pending position already exists on this instrument

Supporting evidence5

▲macro-0.52liquidity contraction regime (0.57) helps a short BTCUSD (assumed sensitivity +0.8)
▲macro-0.88crypto deleveraging regime (0.89) helps a short BTCUSD (assumed sensitivity +1.0)
▲cross asset-3.30ETHUSD momentum -3.3 sd with correlation +0.73 confirms the trade
▲technical-1.65momentum -1.65 sd crossed 1.5
▲technical40RSI 40: not at an extreme

Contradicting evidence0

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

Invalidation conditionschecked every strategy bar

stop at 119044 (5.0 x ATR(14))
120-bar momentum turns positive
horizon exceeded: 72 bars held

Confirmationuncalibrated scores

cross asset	CONFIRMS	+1.00	1 ev.
macro	CONFIRMS	+0.35	2 ev.
technical	CONFIRMS	+0.57	2 ev.

Event riskscore 0.00

next event: none in window
blocks entry: no
size multiplier: 1.00×
confidence add: +0

Liquidity

state at decision: normal
score: +0.50

Risk layers0.28% 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 no_conflicting_position

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 sane0.97 / 2.539%
event policyclear / clear
confidence minimum67.3 / 5582%
risk reward minimum2 / 1.575%
stop distance sane5 / 0.510%
size above minimum0.019 / 0.0015%
risk per trade0.28 / 128%

PORTFOLIO RISKPASS

11 checks passed

consecutive loss pause0 / 40%
daily loss limit0.39 / -20%
drawdown limit0.107 / 101%
gross exposure41.51 / 5008%
leverage0.415 / 58%
currency exposure37.34 / 30012%
usd factor exposure-34.28 / 25014%
correlated cluster risk0.538 / 1.536%
crypto exposure4.18 / 508%
portfolio volatility6.533 / 2033%
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	+3.1
regime alignment	0.12	+1.3
cross asset	0.12	+6.0
volatility	0.08	+3.8
liquidity	0.08	+2.0
event risk	0.10	0.0
historical performance	0.12	−0.3
risk reward	0.08	+1.3

Trade plan

Entry zone: 103,608.4 – 105,078.5
Reference: 104,343.4
Stop: 119,044.3 · 5.0 ATR
Target 1: 74,941.7 · 2.0R
Reward / risk: 2.00
Expected horizon: 4H-3D · max 72 bars
Expected return: −0.04R
OOS win rate (uncal.): 44.0% · n=23

walk-forward out-of-sample (2026-09-16): n=23, shrunk mean R x 0.53, Beta(1,1) win rate

Size and portfolio impactrisk-1.0.0

Size0.000not approved

Risk0.28%$279 · notional $1,983

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	✓	0.97	2.5	spread / typical spread
trade	event policy	✓	clear	clear
trade	confidence minimum	✓	67.3	55	uncalibrated score; event policy adds 0
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	✓	0	4
portfolio	daily loss limit	✓	0.3901	-2	% since trading-day start
portfolio	drawdown limit	✓	0.1066	10	% below peak equity
trade	size above minimum	✓	0.019	0.001	units (BTC)
trade	risk per trade	✓	0.2796	1	% of equity at the stop
portfolio	gross exposure	✓	41.51	500	% of equity
portfolio	leverage	✓	0.415	5
portfolio	currency exposure	✓	37.34	300	largest net currency exposure: AUD
portfolio	usd factor exposure	✓	-34.28	250	beta-weighted USD-index-equivalent exposure, % of equity
portfolio	correlated cluster risk	✓	0.538	1.5	2 positions move together (long-USD expression): SHORT BTCUSD, SHORT BTCUSD
portfolio	crypto exposure	✓	4.18	50	% of equity
portfolio	portfolio volatility	✓	6.533	20	forecast annualised volatility
portfolio	max open positions	✓	3	8

Sizing tracenever sized from confidence alone

Step	Qty after	×	Detail
fixed_risk	0.034		0.5% of $99,893 = $499 over a stop of 14700.9 ($14,700.8593/unit)
confidence_adjusted	0.024	0.71	confidence 67 -> x0.70 (never above x1.00)
portfolio_risk_adjusted	0.020	0.83	correlated open risk $258 of $1,498 cluster budget -> x0.83
event_policy	0.020	1.00	event policy x1.00, liquidity x1.00
caps	0.019		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: 2026-09-07T05:00:00Z
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