Delta

← opportunities · hypothesis e1deeb21 · 09-10 21:00Z · MOCK data

WHY BTC/USD SHORT?SHORTrejectedcrypto.market_structure8H-4DVOLATILITY EXPANSIONCRYPTO 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.market_structure SHORT BTC/USD: structure signal, horizon 8H-4D
crypto deleveraging regime (0.70) helps a short BTCUSD (assumed sensitivity +1.0)
lower highs and lower lows
close broke the last confirmed swing low
Against: usd weakening regime (0.54) hurts a short BTCUSD (assumed sensitivity -0.3)

DecisionREJECTED

rejected: no_conflicting_position

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

Supporting evidence3

▲macro-0.67crypto deleveraging regime (0.70) helps a short BTCUSD (assumed sensitivity +1.0)
▲technical-1.00lower highs and lower lows
▲technical93,925close broke the last confirmed swing low

Contradicting evidence1

▼macro-0.48usd weakening regime (0.54) hurts a short BTCUSD (assumed sensitivity -0.3)

Invalidation conditionschecked every strategy bar

stop at 102748 (4.6 x ATR(14))
swing structure turns bullish (higher highs and lows)
horizon exceeded: 96 bars held

Confirmationuncalibrated scores

cross asset	MIXED	−0.16	0 ev.
macro	MIXED	+0.17	2 ev.
technical	CONFIRMS	+0.36	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 layers0.25% 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 sane1.17 / 2.547%
event policyclear / clear
confidence minimum64.9 / 5585%
risk reward minimum2 / 1.575%
stop distance sane4.57 / 0.511%
size above minimum0.024 / 0.0014%
risk per trade0.251 / 125%

PORTFOLIO RISKPASS

11 checks passed

consecutive loss pause0 / 40%
daily loss limit0 / -20%
drawdown limit0.322 / 103%
gross exposure26.22 / 5005%
leverage0.262 / 55%
currency exposure21.03 / 3007%
usd factor exposure-9.72 / 2504%
correlated cluster risk0.616 / 1.541%
crypto exposure5.18 / 5010%
portfolio volatility6.733 / 2034%
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	+6.0
macro confirmation	0.18	+1.5
regime alignment	0.12	+1.6
cross asset	0.12	−0.9
volatility	0.08	+4.0
liquidity	0.08	+2.0
event risk	0.10	0.0
historical performance	0.12	−0.6
risk reward	0.08	+1.3

Trade plan

Entry zone: 91,748.0 – 92,888.2
Reference: 92,318.1
Stop: 102,747.6 · 4.6 ATR
Target 1: 71,459.1 · 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

Size and portfolio impactrisk-1.0.0

Size0.000not approved

Risk0.25%$250 · notional $2,216

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	✓	1.17	2.5	spread / typical spread
trade	event policy	✓	clear	clear
trade	confidence minimum	✓	64.9	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	✗	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	-2	% since trading-day start
portfolio	drawdown limit	✓	0.3216	10	% below peak equity
trade	size above minimum	✓	0.024	0.001	units (BTC)
trade	risk per trade	✓	0.2509	1	% of equity at the stop
portfolio	gross exposure	✓	26.22	500	% of equity
portfolio	leverage	✓	0.262	5
portfolio	currency exposure	✓	21.03	300	largest net currency exposure: GBP
portfolio	usd factor exposure	✓	-9.72	250	beta-weighted USD-index-equivalent exposure, % of equity
portfolio	correlated cluster risk	✓	0.616	1.5	2 positions move together (long-USD expression): SHORT BTCUSD, SHORT BTCUSD
portfolio	crypto exposure	✓	5.18	50	% of equity
portfolio	portfolio volatility	✓	6.733	20	forecast annualised volatility
portfolio	max open positions	✓	3	8

Sizing tracenever sized from confidence alone

Step	Qty after	×	Detail
fixed_risk	0.048		0.5% of $99,764 = $499 over a stop of 10429.5 ($10,429.5111/unit)
confidence_adjusted	0.032	0.67	confidence 65 -> x0.67 (never above x1.00)
portfolio_risk_adjusted	0.024	0.76	correlated open risk $364 of $1,496 cluster budget -> x0.76
event_policy	0.024	1.00	event policy x1.00, liquidity x1.00
caps	0.024		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: 2026-09-10T21:00:00Z
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