← opportunities · hypothesis f956ea69 · 09-10 20:00Z · MOCK data
WHY BTC/USD SHORT?SHORTexecutedcrypto.volatility4H-2DMOCK sandboxCRYPTO DELEVERAGINGMOCK
- executed09-10 20:00Zlegacy status "executed" mapped by migration 0004 (legacy executed meant order accepted; checked for an entry fill) · migration
- crypto.volatility SHORT BTC/USD: breakout signal, horizon 4H-2D
- crypto deleveraging regime (0.64) helps a short BTCUSD (assumed sensitivity +1.0)
- close broke the lower band
- band width in the 3% percentile: squeeze
- Against: usd weakening regime (0.54) hurts a short BTCUSD (assumed sensitivity -0.3)
approved: all risk checks passed
Simulated under the MOCK sandbox: the strategy has not earned PAPER.
No rejection reasons.
- ▲macro-0.59crypto deleveraging regime (0.64) helps a short BTCUSD (assumed sensitivity +1.0)
- ▲technical-113close broke the lower band
- ▲volatility0.03band width in the 3% percentile: squeeze
- ▼macro-0.47usd weakening regime (0.54) hurts a short BTCUSD (assumed sensitivity -0.3)
- stop at 103689 (4.0 x ATR(14))
- close back through the 20-bar mean within 4 bars
- horizon exceeded: 48 bars held
| cross asset | MIXED | −0.17 | 0 ev. |
| macro | MIXED | +0.13 | 2 ev. |
| technical | CONFIRMS | +0.36 | 2 ev. |
- next event
- none in window
- blocks entry
- no
- size multiplier
- 1.00×
- confidence add
- +0
- state at decision
- high
- score
- +1.00
| 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 | +1.2 | |
| regime alignment | 0.12 | +1.0 | |
| cross asset | 0.12 | −1.0 | |
| volatility | 0.08 | +4.0 | |
| liquidity | 0.08 | +4.0 | |
| event risk | 0.10 | 0.0 | |
| historical performance | 0.12 | −0.5 | |
| risk reward | 0.08 | +1.3 |
- Entry zone
- 94,168.6 – 95,288.6
- Reference
- 94,728.6
- Stop
- 103,688.7 · 4.0 ATR
- Target 1
- 76,808.3 · 2.0R
- Reward / risk
- 2.00
- Expected horizon
- 4H-2D · max 48 bars
- Expected return
- −0.07R
- OOS win rate (uncal.)
- 47.4% · n=17
walk-forward out-of-sample (2026-09-16): n=17, shrunk mean R x 0.46, Beta(1,1) win rate
Size0.032approved
Risk0.29%$287 · notional $3,031
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 | ✓ | high | not closed/maintenance/rollover/reopen | core session: us_hours |
| trade | quote fresh | ✓ | 0 | 15 | minutes since last quote |
| trade | spread sane | ✓ | 0.9 | 2.5 | spread / typical spread |
| trade | event policy | ✓ | clear | clear | |
| trade | confidence minimum | ✓ | 60.1 | 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 | ✓ | 0 | 4 | |
| portfolio | daily loss limit | ✓ | 0.0285 | -2 | % since trading-day start |
| portfolio | drawdown limit | ✓ | 0.3829 | 10 | % below peak equity |
| trade | size above minimum | ✓ | 0.032 | 0.001 | units (BTC) |
| trade | risk per trade | ✓ | 0.2876 | 1 | % of equity at the stop |
| portfolio | gross exposure | ✓ | 24.1 | 500 | % of equity |
| portfolio | leverage | ✓ | 0.241 | 5 | |
| portfolio | currency exposure | ✓ | 21.06 | 300 | largest net currency exposure: GBP |
| portfolio | usd factor exposure | ✓ | -14.14 | 250 | beta-weighted USD-index-equivalent exposure, % of equity |
| portfolio | correlated cluster risk | ✓ | 0.288 | 1.5 | no correlated open positions |
| portfolio | crypto exposure | ✓ | 3.04 | 50 | % of equity |
| portfolio | portfolio volatility | ✓ | 4.201 | 20 | forecast annualised volatility |
| portfolio | max open positions | ✓ | 2 | 8 |
| Step | Qty after | × | Detail |
|---|---|---|---|
| fixed_risk | 0.056 | 0.5% of $99,703 = $499 over a stop of 8960.14 ($8,960.1445/unit) | |
| confidence_adjusted | 0.033 | 0.59 | confidence 60 -> x0.58 (never above x1.00) |
| portfolio_risk_adjusted | 0.033 | 1.00 | correlated open risk $0 of $1,496 cluster budget -> x1.00 |
| event_policy | 0.033 | 1.00 | event policy x1.00, liquidity x1.00 |
| caps | 0.032 | rounded down to step 0.001 |
| Created | Role | Type | Qty | Status | Avg fill |
|---|---|---|---|---|---|
| 09-11 08:00Z | exit | BUY MARKET | 0.032 | filled | 95,446.0 |
| 09-10 20:00Z | stop loss | BUY STOP | 0.032 | cancelled | — |
| 09-10 20:00Z | take profit | BUY LIMIT | 0.032 | cancelled | — |
| 09-10 20:00Z | entry | SELL MARKET | 0.032 | filled | 94,691.1 |
wrong regime −0.11R Closed at -0.11R: the regime the thesis relied on changed (usd, volatility).
Lesson: Consider exiting on regime change for usd, volatility earlier (invalidation threshold).
- data mode
- MOCK
- timestamp
- 2026-09-10T20:00:00Z
- 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.volatility@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