← opportunities · hypothesis eb7181d3 · 09-07 01:00Z · MOCK data
WHY BTC/USD SHORT?SHORTexecutedcrypto.momentum4H-3DMOCK sandboxVOLATILITY EXPANSIONLIQUIDITY CONTRACTIONCRYPTO DELEVERAGINGMOCK
- executed09-07 01:00Zlegacy status "executed" mapped by migration 0004 (legacy executed meant order accepted; checked for an entry fill) · migration
- crypto.momentum SHORT BTC/USD: momentum signal, horizon 4H-3D
- liquidity contraction regime (0.65) helps a short BTCUSD (assumed sensitivity +0.8)
- crypto deleveraging regime (0.93) helps a short BTCUSD (assumed sensitivity +1.0)
- ETHUSD momentum -3.5 sd with correlation +0.73 confirms the trade
- momentum -1.58 sd crossed 1.5
- RSI 30: not at an extreme
- Against: SPX momentum +2.0 sd with correlation +0.30 contradicts the trade
approved: all risk checks passed
Simulated under the MOCK sandbox: the strategy has not earned PAPER.
No rejection reasons.
- ▲macro-0.61liquidity contraction regime (0.65) helps a short BTCUSD (assumed sensitivity +0.8)
- ▲macro-0.93crypto deleveraging regime (0.93) helps a short BTCUSD (assumed sensitivity +1.0)
- ▲cross asset-3.46ETHUSD momentum -3.5 sd with correlation +0.73 confirms the trade
- ▲technical-1.58momentum -1.58 sd crossed 1.5
- ▲technical30RSI 30: not at an extreme
- ▼cross asset1.98SPX momentum +2.0 sd with correlation +0.30 contradicts the trade
- stop at 116626 (5.0 x ATR(14))
- 120-bar momentum turns positive
- horizon exceeded: 72 bars held
| cross asset | MIXED | 0.00 | 2 ev. |
| macro | CONFIRMS | +0.42 | 2 ev. |
| technical | CONFIRMS | +0.46 | 2 ev. |
- next event
- none in window
- blocks entry
- no
- size multiplier
- 1.00×
- confidence add
- +0
- state at decision
- normal
- score
- +0.50
| eligibility | 1 ✓ | 0 ✗ |
| trade | 10 ✓ | 0 ✗ |
| portfolio | 11 ✓ | 0 ✗ |
| system | 2 ✓ | 0 ✗ |
61
61
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 | +1.4 | |
| cross asset | 0.12 | 0.0 | |
| volatility | 0.08 | +2.6 | |
| liquidity | 0.08 | +2.0 | |
| event risk | 0.10 | 0.0 | |
| historical performance | 0.12 | −0.3 | |
| risk reward | 0.08 | +1.3 |
- Entry zone
- 101,878.4 – 103,283.0
- Reference
- 102,580.7
- Stop
- 116,626.0 · 5.0 ATR
- Target 1
- 74,490.0 · 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
Size0.021approved
Risk0.30%$295 · notional $2,154
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 | ✓ | 1.07 | 2.5 | spread / typical spread |
| trade | event policy | ✓ | clear | clear | |
| trade | confidence minimum | ✓ | 60.8 | 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 | ✓ | 0 open, 0 pending | none | |
| portfolio | consecutive loss pause | ✓ | 0 | 4 | |
| portfolio | daily loss limit | ✓ | 0.3752 | -2 | % since trading-day start |
| portfolio | drawdown limit | ✓ | 0.1214 | 10 | % below peak equity |
| trade | size above minimum | ✓ | 0.021 | 0.001 | units (BTC) |
| trade | risk per trade | ✓ | 0.2953 | 1 | % of equity at the stop |
| portfolio | gross exposure | ✓ | 39.44 | 500 | % of equity |
| portfolio | leverage | ✓ | 0.394 | 5 | |
| portfolio | currency exposure | ✓ | 37.29 | 300 | largest net currency exposure: AUD |
| portfolio | usd factor exposure | ✓ | -37.19 | 250 | beta-weighted USD-index-equivalent exposure, % of equity |
| portfolio | correlated cluster risk | ✓ | 0.295 | 1.5 | no correlated open positions |
| portfolio | crypto exposure | ✓ | 2.16 | 50 | % of equity |
| portfolio | portfolio volatility | ✓ | 5.525 | 20 | forecast annualised volatility |
| portfolio | max open positions | ✓ | 2 | 8 |
| Step | Qty after | × | Detail |
|---|---|---|---|
| fixed_risk | 0.036 | 0.5% of $99,879 = $499 over a stop of 14045.3 ($14,045.3343/unit) | |
| confidence_adjusted | 0.021 | 0.60 | confidence 61 -> x0.60 (never above x1.00) |
| portfolio_risk_adjusted | 0.021 | 1.00 | correlated open risk $0 of $1,498 cluster budget -> x1.00 |
| event_policy | 0.021 | 1.00 | event policy x1.00, liquidity x1.00 |
| caps | 0.021 | rounded down to step 0.001 |
| Created | Role | Type | Qty | Status | Avg fill |
|---|---|---|---|---|---|
| 09-07 19:00Z | exit | BUY MARKET | 0.021 | filled | 102,415.9 |
| 09-07 01:00Z | stop loss | BUY STOP | 0.021 | cancelled | — |
| 09-07 01:00Z | take profit | BUY LIMIT | 0.021 | cancelled | — |
| 09-07 01:00Z | entry | SELL MARKET | 0.021 | filled | 102,557.5 |
normal variance 0.00R Closed at -0.00R: loss within the normal range for the strategy; no specific failure identified.
- data mode
- MOCK
- timestamp
- 2026-09-07T01:00:00Z
- 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