Delta

← opportunities · hypothesis fbae1b23 · 09-04 13:00Z · MOCK data

WHY XAU/USD LONG?LONGrejectedcmd.breakout4H-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

cmd.breakout LONG XAU/USD: breakout signal, horizon 4H-4D
EURUSD momentum +0.7 sd with correlation +0.45 confirms the trade
USDJPY momentum -0.7 sd with correlation -0.48 confirms the trade
broke the prior 55-bar high
participation +2.86 sd above normal
Against: disinflationary regime (0.44) hurts a long XAUUSD (assumed sensitivity +0.6)

DecisionREJECTED

rejected: spread_sane; event_policy

tradespread sane3.01 vs 2.5spread / typical spread
tradeevent policyblocked vs clearcritical_event_only: US_NFP (CRITICAL) in -30 min (strategy not event-driven)

Supporting evidence4

▲cross asset0.65EURUSD momentum +0.7 sd with correlation +0.45 confirms the trade
▲cross asset-0.65USDJPY momentum -0.7 sd with correlation -0.48 confirms the trade
▲technical2,053broke the prior 55-bar high
▲technical2.86participation +2.86 sd above normal

Contradicting evidence1

▼macro-0.34disinflationary regime (0.44) hurts a long XAUUSD (assumed sensitivity +0.6)

Invalidation conditionschecked every strategy bar

stop at 2040.64 (4.0 x ATR(14))
close back inside the channel within 6 bars: false breakout
horizon exceeded: 96 bars held

Confirmationuncalibrated scores

cross asset	CONFIRMS	+0.33	2 ev.
macro	MIXED	0.00	1 ev.
technical	CONFIRMS	+0.67	2 ev.

Event riskscore 0.80

next event: none in window
blocks entry: yes
size multiplier: 1.00×
confidence add: +0

critical_event_only: US_NFP (CRITICAL) in -30 min (strategy not event-driven)

Liquidity

state at decision: high
score: +1.00

Risk layers0.30% at stop

eligibility	1 ✓	0 ✗
trade	8 ✓	2 ✗
portfolio	11 ✓	0 ✗
system	2 ✓	0 ✗

Three-layer riskcomputed on read from stored checks (no system report then)BLOCK

TRADE RISKBLOCK

blocked by spread_sane, event_policy

spread sane3.01 / 2.5120%
event policyblocked / clear
strategy stage eligibleBACKTEST (sandbox) / PAPER|SHADOW|LIMITED_CAPITAL|PRODUCTION
market liquidity allows entryhigh / not closed/maintenance/rollover/reopen
quote fresh0 / 150%
confidence minimum62.4 / 5588%
risk reward minimum2.5 / 1.560%
stop distance sane4 / 0.513%
no conflicting position0 open, 0 pending / none
size above minimum14 / 17%
risk per trade0.304 / 130%

PORTFOLIO RISKPASS

11 checks passed

consecutive loss pause1 / 425%
daily loss limit-0.228 / -211%
drawdown limit0.407 / 104%
gross exposure30.45 / 5006%
leverage0.304 / 56%
currency exposure0 / 3000%
usd factor exposure-22.42 / 2509%
correlated cluster risk0.304 / 1.520%
crypto exposure1.46 / 503%
portfolio volatility5.559 / 2028%
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	0.0
macro confirmation	0.18	0.0
regime alignment	0.12	+2.8
cross asset	0.12	+2.0
volatility	0.08	+4.0
liquidity	0.08	+4.0
event risk	0.10	−4.0
historical performance	0.12	+1.1
risk reward	0.08	+2.7

Trade plan

Entry zone: 2,060.90 – 2,063.60
Reference: 2,062.25
Stop: 2,040.64 · 4.0 ATR
Target 1: 2,116.28 · 2.5R
Reward / risk: 2.50
Expected horizon: 4H-4D · max 96 bars
Expected return: +0.11R
OOS win rate (uncal.): 29.3% · n=39

walk-forward out-of-sample (2026-09-16): n=39, shrunk mean R x 0.66, Beta(1,1) win rate

Size and portfolio impactrisk-1.0.0

Size0.000not approved

Risk0.30%$303 · notional $28,872

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	✓	high	not closed/maintenance/rollover/reopen	core session: day
trade	quote fresh	✓	0	15	minutes since last quote
trade	spread sane	✗	3.01	2.5	spread / typical spread
trade	event policy	✗	blocked	clear	critical_event_only: US_NFP (CRITICAL) in -30 min (strategy not event-driven)
trade	confidence minimum	✓	62.4	55	uncalibrated score; event policy adds 0
trade	risk reward minimum	✓	2.5	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	✓	1	4
portfolio	daily loss limit	✓	-0.2285	-2	% since trading-day start
portfolio	drawdown limit	✓	0.4072	10	% below peak equity
trade	size above minimum	✓	14	1	units (troy oz)
trade	risk per trade	✓	0.3038	1	% of equity at the stop
portfolio	gross exposure	✓	30.45	500	% of equity
portfolio	leverage	✓	0.304	5
portfolio	currency exposure	✓	0	300	largest net currency exposure: -
portfolio	usd factor exposure	✓	-22.42	250	beta-weighted USD-index-equivalent exposure, % of equity
portfolio	correlated cluster risk	✓	0.304	1.5	no correlated open positions
portfolio	crypto exposure	✓	1.46	50	% of equity
portfolio	portfolio volatility	✓	5.559	20	forecast annualised volatility
portfolio	max open positions	✓	3	8

Sizing tracenever sized from confidence alone

Step	Qty after	×	Detail
fixed_risk	23		0.5% of $99,593 = $498 over a stop of 21.6122 ($21.6122/unit)
confidence_adjusted	14	0.62	confidence 62 -> x0.62 (never above x1.00)
portfolio_risk_adjusted	14	1.00	correlated open risk $0 of $1,494 cluster budget -> x1.00
event_policy	14	1.00	event policy x1.00, liquidity x1.00
caps	14		rounded down to step 1

Execution and outcome

No orders: this hypothesis did not reach the broker.

Versionsevery trade is traceable

data mode: MOCK
timestamp: 2026-09-04T13:00:00Z
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: cmd.breakout@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