Delta

← opportunities · hypothesis c8abceb3 · 09-06 04:00Z · MOCK data

WHY BTC/USD SHORT?SHORTrejectedcrypto.momentum4H-3DVOLATILITY EXPANSIONGROWTH ACCELERATIONLIQUIDITY 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
usd strengthening regime (0.37) helps a short BTCUSD (assumed sensitivity -0.3)
liquidity contraction regime (0.57) helps a short BTCUSD (assumed sensitivity +0.8)
crypto deleveraging regime (0.92) helps a short BTCUSD (assumed sensitivity +1.0)
ETHUSD momentum -3.8 sd with correlation +0.72 confirms the trade
momentum -1.54 sd crossed 1.5
Against: SPX momentum +1.7 sd with correlation +0.31 contradicts the trade

DecisionREJECTED

rejected: no_conflicting_position

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

Supporting evidence6

▲macro0.25usd strengthening regime (0.37) helps a short BTCUSD (assumed sensitivity -0.3)
▲macro-0.51liquidity contraction regime (0.57) helps a short BTCUSD (assumed sensitivity +0.8)
▲macro-0.91crypto deleveraging regime (0.92) helps a short BTCUSD (assumed sensitivity +1.0)
▲cross asset-3.76ETHUSD momentum -3.8 sd with correlation +0.72 confirms the trade
▲technical-1.54momentum -1.54 sd crossed 1.5
▲technical29RSI 29: not at an extreme

Contradicting evidence1

▼cross asset1.70SPX momentum +1.7 sd with correlation +0.31 contradicts the trade

Invalidation conditionschecked every strategy bar

stop at 119687 (5.0 x ATR(14))
120-bar momentum turns positive
horizon exceeded: 72 bars held

Confirmationuncalibrated scores

cross asset	MIXED	+0.08	2 ev.
macro	CONFIRMS	+0.43	3 ev.
technical	CONFIRMS	+0.43	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: thin
score: −0.25

Risk layers0.12% 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
confidence minimum59.9 / 5592%
strategy stage eligibleBACKTEST (sandbox) / PAPER|SHADOW|LIMITED_CAPITAL|PRODUCTION
market liquidity allows entrythin / not closed/maintenance/rollover/reopen
quote fresh0 / 150%
spread sane1.09 / 2.544%
event policyclear / clear
risk reward minimum2 / 1.575%
stop distance sane5 / 0.510%
size above minimum0.009 / 0.00111%
risk per trade0.115 / 112%

PORTFOLIO RISKPASS

11 checks passed

consecutive loss pause3 / 475%
daily loss limit0.068 / -20%
drawdown limit0.459 / 105%
gross exposure39.25 / 5008%
leverage0.393 / 58%
currency exposure37.04 / 30012%
usd factor exposure-34.99 / 25014%
correlated cluster risk0.98 / 1.565%
crypto exposure2.21 / 504%
portfolio volatility5.258 / 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

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	+3.8
regime alignment	0.12	+1.6
cross asset	0.12	+0.5
volatility	0.08	+4.0
liquidity	0.08	−1.0
event risk	0.10	0.0
historical performance	0.12	−0.3
risk reward	0.08	+1.3

Trade plan

Entry zone: 106,316.1 – 107,589.5
Reference: 106,952.8
Stop: 119,687.4 · 5.0 ATR
Target 1: 81,483.7 · 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

Risk0.12%$115 · notional $963

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	✓	thin	not closed/maintenance/rollover/reopen	weekend (24/7 venue)
trade	quote fresh	✓	0	15	minutes since last quote
trade	spread sane	✓	1.09	2.5	spread / typical spread
trade	event policy	✓	clear	clear
trade	confidence minimum	✓	59.9	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	✓	3	4
portfolio	daily loss limit	✓	0.0675	-2	% since trading-day start
portfolio	drawdown limit	✓	0.4589	10	% below peak equity
trade	size above minimum	✓	0.009	0.001	units (BTC)
trade	risk per trade	✓	0.1151	1	% of equity at the stop
portfolio	gross exposure	✓	39.25	500	% of equity
portfolio	leverage	✓	0.393	5
portfolio	currency exposure	✓	37.04	300	largest net currency exposure: AUD
portfolio	usd factor exposure	✓	-34.99	250	beta-weighted USD-index-equivalent exposure, % of equity
portfolio	correlated cluster risk	✓	0.98	1.5	3 positions move together (long-USD expression): SHORT BTCUSD, SHORT ETHUSD, SHORT BTCUSD
portfolio	crypto exposure	✓	2.21	50	% of equity
portfolio	portfolio volatility	✓	5.258	20	forecast annualised volatility
portfolio	max open positions	✓	4	8

Sizing tracenever sized from confidence alone

Step	Qty after	×	Detail
fixed_risk	0.039		0.5% of $99,541 = $498 over a stop of 12734.6 ($12,734.5636/unit)
confidence_adjusted	0.023	0.58	confidence 60 -> x0.58 (never above x1.00)
portfolio_risk_adjusted	0.010	0.42	correlated open risk $860 of $1,493 cluster budget -> x0.42
event_policy	0.010	1.00	event policy x1.00, liquidity x1.00
caps	0.009		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: 2026-09-06T04:00:00Z
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