← opportunities · hypothesis d6539c14 · 09-16 03:00Z · MOCK data
WHY EUR/USD LONG?LONGexecutedfx.momentum4H-3DMOCK sandboxUSD WEAKENINGVOLATILITY COMPRESSIONCRYPTO DELEVERAGINGMOCK
- executed09-16 03:00Zlegacy status "executed" mapped by migration 0004 (legacy executed meant order accepted; checked for an entry fill) · migration
- fx.momentum LONG EUR/USD: momentum signal, horizon 4H-3D
- usd weakening regime (0.76) helps a long EURUSD (assumed sensitivity -1.0)
- GBPUSD momentum +2.3 sd with correlation +0.66 confirms the trade
- USDJPY momentum -1.6 sd with correlation -0.64 confirms the trade
- 120-bar momentum +1.51 sd crossed +1.5
- momentum changed +1.22 sd over 24 bars
- Against: EURUSD-USDJPY correlation has broken down (-0.17 short vs -0.64 long): cross-asset read is less reliable
approved: all risk checks passed
Simulated under the MOCK sandbox: the strategy has not earned PAPER.
No rejection reasons.
- ▲macro-0.74usd weakening regime (0.76) helps a long EURUSD (assumed sensitivity -1.0)
- ▲cross asset2.32GBPUSD momentum +2.3 sd with correlation +0.66 confirms the trade
- ▲cross asset-1.59USDJPY momentum -1.6 sd with correlation -0.64 confirms the trade
- ▲technical1.51120-bar momentum +1.51 sd crossed +1.5
- ▲technical1.22momentum changed +1.22 sd over 24 bars
- ▲technical71RSI 71: momentum not yet exhausted
- ▼cross assetEURUSD-USDJPY correlation has broken down (-0.17 short vs -0.64 long): cross-asset read is less reliable
- stop at 1.19235 (4.0 x ATR(14))
- 120-bar momentum turns negative
- horizon exceeded: 72 bars held
| cross asset | MIXED | +0.21 | 3 ev. |
| macro | CONFIRMS | +0.67 | 1 ev. |
| technical | CONFIRMS | +0.47 | 3 ev. |
- next event
- UK_CPI · 180 min
- blocks entry
- no
- size multiplier
- 1.00×
- confidence add
- +0
- state at decision
- thin
- score
- −0.25
| 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 | +6.0 | |
| regime alignment | 0.12 | −1.1 | |
| cross asset | 0.12 | +1.3 | |
| volatility | 0.08 | +4.0 | |
| liquidity | 0.08 | −1.0 | |
| event risk | 0.10 | −0.7 | |
| historical performance | 0.12 | +0.4 | |
| risk reward | 0.08 | +1.3 |
- Entry zone
- 1.19906 – 1.19996
- Reference
- 1.19951
- Stop
- 1.19235 · 4.0 ATR
- Target 1
- 1.21382 · 2.0R
- Reward / risk
- 2.00
- Expected horizon
- 4H-3D · max 72 bars
- Expected return
- +0.07R
- OOS win rate (uncal.)
- 53.3% · n=13
walk-forward out-of-sample (2026-09-16): n=13, shrunk mean R x 0.39, Beta(1,1) win rate
Size29,000approved
Risk0.21%$208 · notional $34,786
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 | ✓ | thin | not closed/maintenance/rollover/reopen | outside home sessions |
| trade | quote fresh | ✓ | 0 | 15 | minutes since last quote |
| trade | spread sane | ✓ | 1.78 | 2.5 | spread / typical spread |
| trade | event policy | ✓ | clear | clear | |
| trade | confidence minimum | ✓ | 60.3 | 55 | uncalibrated score; event policy adds 0 |
| 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 | ✓ | 5 | 4 | |
| portfolio | daily loss limit | ✓ | 0.0982 | -2 | % since trading-day start |
| portfolio | drawdown limit | ✓ | 0.885 | 10 | % below peak equity |
| trade | size above minimum | ✓ | 29,000 | 1,000 | units (EUR) |
| trade | risk per trade | ✓ | 0.2092 | 1 | % of equity at the stop |
| portfolio | gross exposure | ✓ | 70.68 | 500 | % of equity |
| portfolio | leverage | ✓ | 0.707 | 5 | |
| portfolio | currency exposure | ✓ | -67.82 | 300 | largest net currency exposure: USD |
| portfolio | usd factor exposure | ✓ | -61.57 | 250 | beta-weighted USD-index-equivalent exposure, % of equity |
| portfolio | correlated cluster risk | ✓ | 0.629 | 1.5 | 2 positions move together (short-USD expression): LONG GBPUSD, LONG EURUSD |
| portfolio | crypto exposure | ✓ | 2.86 | 50 | % of equity |
| portfolio | portfolio volatility | ✓ | 7.114 | 20 | forecast annualised volatility |
| portfolio | max open positions | ✓ | 3 | 8 |
| Step | Qty after | × | Detail |
|---|---|---|---|
| fixed_risk | 69,322 | 0.5% of $99,201 = $496 over a stop of 0.00715502 ($0.0072/unit) | |
| confidence_adjusted | 40,785 | 0.59 | confidence 60 -> x0.59 (never above x1.00) |
| portfolio_risk_adjusted | 29,379 | 0.72 | correlated open risk $416 of $1,488 cluster budget -> x0.72 |
| event_policy | 29,379 | 1.00 | event policy x1.00, liquidity x1.00 |
| caps | 29,000 | rounded down to step 1000 |
| Created | Role | Type | Qty | Status | Avg fill |
|---|---|---|---|---|---|
| 09-16 03:15Z | stop loss | SELL STOP | 29,000 | filled | 1.19218 |
| 09-16 03:15Z | take profit | SELL LIMIT | 29,000 | cancelled | — |
| 09-16 03:00Z | entry | BUY LIMIT | 29,000 | filled | 1.19948 |
normal variance −1.04R Closed at -1.04R: loss within the normal range for the strategy; no specific failure identified.
- data mode
- MOCK
- timestamp
- 2026-09-16T03:00:00Z
- 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
- fx.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