2b47a4fThe deployed BTC and ETH portfolio sizing was tuned on a sizing investigation that consumed gate-broken trade lists — i.e. trades the strategies wouldn't actually have taken under correctly-running EMA-22 gate logic. Wave 2 reruns the full pipeline on the canonical pins (the trade lists each strategy actually produces under gate-active conditions) and produces three candidate configs.
All three modes return 0.0% liquidation rate under 200-trial Monte Carlo perturbation at ±30% on the per-trade returns. Liquidation safety is not the gating decision. The gating decision is how aggressively you want to capitalise on the canonical edge given that you no longer trust the deployed sizing to reflect reality.
f1_follow_short, s1_gated) get sized above current deployed levels.
"Notional" = sum of per-strategy notional %. Cross-margin compresses required margin so 433% notional ≠ 433% margin lock — see §10. Returns are over the canonical historical window (~6 years for the BTC corpus, shorter where pin years span less).
The deployed values you see in /opt/btc_alpha_portfolio/config/strategies/*.yaml and /opt/eth_alpha_portfolio/config/strategies/*.yaml were produced by an original sizing investigation that combined per-strategy half-Kelly with confidence tiering, multi-mode allocation, Monte Carlo stress, and selectivity p-values. That investigation was rigorous — but its inputs were corrupt.
The Trust-Forward Phase 5 work re-pinned every strategy's trade list under correct gate-active conditions and frozen those pins as canonical. Wave 2 reads those pins. The right-hand "Deployed" columns below are what's in YAML right now; the "Proposed" columns are what falls out of the canonical inputs.
Across all three modes, deployed > proposed for nearly every strategy. The biggest gaps fall on strategies whose canonical Kelly is zero or near-zero — i.e. strategies that don't have a measurable edge once their gate runs correctly. Three are dropped in every mode (b4_fragbreak, s5_smcbias, b1_vol_compression_btc), and three more are dropped in Conservative (b1_vol_compression_btc already at 5%, t1_trend_pullback). One strategy — f1_follow_short — is sized above its deployed level only in Aggressive (250% vs 133%), driven by 108 trades clearing the tier-1 confidence threshold.
These are the half-Kelly raw and tier-weighted values. Tier weights: 1.0 (≥80 trades), 0.7 (30–79), 0.4 (10–29), 0.2 (<10). All Kelly outputs hard-capped at 25% per strategy.
| Strategy | n | ½-Kelly raw | Tier-weighted | Deployed% |
|---|---|---|---|---|
b2_dipbuyer_btc | 29 | 0.0772 | 0.0309 | 300% |
sma4_btc_gated | 29 | 0.1880 | 0.0752 | 260% |
b4_fragbreak | 15 | 0.0000 | 0.0000 | 253% |
s1_gated | 123 | 0.2160 | 0.2160 | 195% |
t1_trend_pullback | 39 | 0.0145 | 0.0102 | 156% |
a3_btc_lead_lag_gated | 31 | 0.0899 | 0.0629 | 144% |
c5_oct_nov | 14 | 0.3071 | 0.1000 | 134% |
f1_follow_short | 108 | 0.2625 | 0.2500 | 133% |
sma4_eth_gated | 7 | 0.3091 | 0.0500 | 125% |
continuation_rider | 25 | 0.1349 | 0.0540 | 108% |
b2_dipbuyer_eth | 18 | 0.2558 | 0.1000 | 91% |
b1_vol_compression_eth | 61 | 0.1229 | 0.0860 | 83% |
s4_momentum_quintile | 16 | 0.1186 | 0.0475 | 74% |
s5_smcbias | 84 | 0.0000 | 0.0000 | 25% |
b1_vol_compression_btc | 58 | 0.0001 | 0.0001 | 5% |
Read this as: s5_smcbias has 84 trades (tier 1.0 weight) but Kelly = 0 — the strategy traded a lot but didn't make money. sma4_eth_gated has only 7 trades (tier 0.2, hardly statistically significant), which is why its raw 0.31 collapses to 0.05 tier-weighted.
b4_fragbreak, s5_smcbias, b1_vol_compression_btc, t1_trend_pullback before re-deploying any of them.| Strategy | Proposed% | Deployed% | Δ |
|---|---|---|---|
a3_btc_lead_lag_gated | 6.3% | 144% | ↓↓ -96% |
b1_vol_compression_btc | 0.0% | 5% | ✗ drop |
b1_vol_compression_eth | 8.6% | 83% | ↓↓ -90% |
b2_dipbuyer_btc | 3.1% | 300% | ↓↓ -99% |
b2_dipbuyer_eth | 10.0% | 91% | ↓↓ -89% |
b4_fragbreak | 0.0% | 253% | ✗ drop |
c5_oct_nov | 10.0% | 134% | ↓↓ -93% |
continuation_rider | 5.4% | 108% | ↓↓ -95% |
f1_follow_short | 25.0% | 133% | ↓↓ -81% |
s1_gated | 21.6% | 195% | ↓↓ -89% |
s4_momentum_quintile | 4.7% | 74% | ↓↓ -94% |
s5_smcbias | 0.0% | 25% | ✗ drop |
sma4_btc_gated | 7.5% | 260% | ↓↓ -97% |
sma4_eth_gated | 5.0% | 125% | ↓↓ -96% |
t1_trend_pullback | 0.0% | 156% | ✗ drop |
Pick this if: you don't fully trust the canonical pins yet, or you want to bridge to Wave 2 v2 with the smallest possible bet on the new picture being correct.
f1_follow_short (Sharpe 0.53, PF 8.78, 108 trades, tier 1.0) sits at 100% notional rather than its uncapped allocation.| Strategy | Proposed% | Deployed% | Δ |
|---|---|---|---|
a3_btc_lead_lag_gated | 25.2% | 144% | ↓↓ -83% |
b1_vol_compression_btc | 0.0% | 5% | ✗ drop |
b1_vol_compression_eth | 34.4% | 83% | ↓↓ -59% |
b2_dipbuyer_btc | 12.4% | 300% | ↓↓ -96% |
b2_dipbuyer_eth | 40.0% | 91% | ↓↓ -56% |
b4_fragbreak | 0.0% | 253% | ✗ drop |
c5_oct_nov | 40.0% | 134% | ↓↓ -70% |
continuation_rider | 21.6% | 108% | ↓↓ -80% |
f1_follow_short | 100.0% | 133% | ↓ -25% |
s1_gated | 86.4% | 195% | ↓↓ -56% |
s4_momentum_quintile | 19.0% | 74% | ↓↓ -74% |
s5_smcbias | 0.0% | 25% | ✗ drop |
sma4_btc_gated | 30.1% | 260% | ↓↓ -88% |
sma4_eth_gated | 20.0% | 125% | ↓↓ -84% |
t1_trend_pullback | 4.1% | 156% | ↓↓ -97% |
Pick this if: you want the canonical-derived sizing that's defensible mathematically — half-Kelly with confidence tiering, no extra leverage assumption, drops the strategies whose gate-active edge is zero.
f1_follow_short, s1_gated) get sized to their uncapped Kelly: 250% and 216% respectively.f1_follow_short at 250% notional. The strategy's pin includes one outlier trade (+453% in 6 months over the 2020-09 to 2021-03 BTC bull leg). Without that single trade, the canonical Kelly drops materially. Aggressive is a partial bet on that outlier being repeatable.| Strategy | Proposed% | Deployed% | Δ |
|---|---|---|---|
a3_btc_lead_lag_gated | 62.9% | 144% | ↓↓ -56% |
b1_vol_compression_btc | 0.1% | 5% | ↓↓ -98% |
b1_vol_compression_eth | 86.0% | 83% | ≈ +4% |
b2_dipbuyer_btc | 30.9% | 300% | ↓↓ -90% |
b2_dipbuyer_eth | 100.0% | 91% | ≈ +10% |
b4_fragbreak | 0.0% | 253% | ✗ drop |
c5_oct_nov | 100.0% | 134% | ↓ -25% |
continuation_rider | 54.0% | 108% | ↓↓ -50% |
f1_follow_short | 250.0% | 133% | ↑↑ +88% |
s1_gated | 216.0% | 195% | ↑ +11% |
s4_momentum_quintile | 47.5% | 74% | ↓ -36% |
s5_smcbias | 0.0% | 25% | ✗ drop |
sma4_btc_gated | 75.2% | 260% | ↓↓ -71% |
sma4_eth_gated | 50.0% | 125% | ↓↓ -60% |
t1_trend_pullback | 10.2% | 156% | ↓↓ -93% |
Pick this if: you trust the canonical pins, you accept that the tail risk in this configuration is upside concentration on one or two strategies, and you want to maximise the canonical edge before Wave 2 v2 refines the picture.
f1_follow_short — the +56534% questionThe pin meta.yaml shows 56534% total return. This is a display artefact, not a realisable production number. The heritage harness assumes 100% notional per trade with full reinvestment across all 108 trades; one outlier (long 2020-09-28 at $10,879 → 2021-03-15 at $60,190, +453%) drives a large fraction of the compound. Wave 2 reads win_rate / avg_winner / avg_loser directly from the trade list and applies half-Kelly — the +56534% never enters the maths. Aggressive's 250% allocation comes entirely from the per-trade Kelly (PF 8.78, WR 59.3%, n=108 → tier 1.0).
What this means for the decision: Aggressive's headline number is real, but its concentration risk on this one strategy is also real. If the long-BTC bull-leg dynamic doesn't repeat, this strategy underperforms its sample. The original meta.yaml caveats are explicit on this point.
b4_fragbreak — 15 trades, PF 0.97, Sharpe -0.05, Kelly 0. Every mode drops it. 253% deployed is the largest per-strategy size in the current portfolio and the canonical evidence for the strategy is straight-up negative. Highest priority for "why was this 253%" review.
s5_smcbias — 84 trades (sample is fine), WR 28.6%, Kelly 0. The strategy is statistically reliable in showing it doesn't make money. 25% deployed is small in absolute terms but it should be 0 unless you want to keep it for paper-trading observability.
b1_vol_compression_btc — 58 trades, Kelly 0.0001 (essentially zero). Already nerfed to 5% deployed. ETH counterpart (b1_vol_compression_eth) has Kelly 0.0860 and does survive in all modes — interesting cross-venue divergence worth investigating.
c5_oct_nov and sma4_eth_gated — small-n capsBoth have raw Kelly >0.30 (very strong) but trade counts of 14 and 7 respectively. The confidence tiering caps them at 0.40 and 0.20 weight. This is not a flaw in the canonical pin — it's the tier doing exactly what it's designed to do. Small-sample Kelly is unreliable; the cap is a Bayesian prior asserting "we don't believe seven trades."
If those strategies accumulate more trades over the next quarter and the edge holds, they'll re-tier and earn larger sizings automatically on the next rerun.
s1_gated — the workhorse123 trades, raw Kelly 0.2160 (already at the 25% cap pre-tier), tier 1.0 weight. The most statistically robust edge in the cohort. In Aggressive it gets 216% — slightly above current deployed (195%). This is the one strategy where the canonical pin and the deployed sizing roughly agree, which is reassuring evidence that the original sizing investigation wasn't completely off — it was off mostly on the gate-broken inputs.
0.0% liquidation under MC ±30% sounds bulletproof. It isn't. Here's what the MC actually does, and what it doesn't:
sma4_btc_gated and a3_btc_lead_lag_gated both fire long during the same 2-week window, the realised drawdown stacks. The shuffled-leg approximation interleaves trades randomly across time and underestimates correlated losses.f1_follow_short +453% trade is preserved (×0.7 to ×1.3) in every MC trial. A more punishing stress would drop it and re-run.Treat "0% MC liquidation" as a necessary but not sufficient safety check. The decision is still about whether you trust the canonical edge to materialise in production.
The "total notional %" numbers above (107% / 433% / 1083%) are not the same as the margin you'd lock up in production. Crypto Alpha uses leverage in the opposite direction from what most retail traders do — leverage compresses margin, not amplifies exposure:
Practically: 433% aggregate notional under Balanced does not mean you're using 4.33× the account's equity. It means the sum of all simultaneous notional exposure when every strategy is fully active. With 50× leverage on each leg, the actual margin lock at full simultaneous activation would be on the order of 9% of equity. Even Aggressive's 1083% lands around 22% margin lock at 50×.
f1_follow_short position taking a 3% loss is still a 7.5% account hit even at 50× leverage. Leverage compresses required margin; it does not compress P&L.
Wave 2 v2 would address these — call it 1-2 days of work for selectivity p-values + walk-forward, longer for the full stress suite.
What's actually being decided: do you cut over now to one of the three modes, or do you keep deployed sizing while Wave 2 v2 closes the caveat list?
f1_follow_short outlier risk, Balanced is exactly what half-Kelly + tiering says you should do.f1_follow_short and s1_gated will continue to fire at their canonical rate. The MC stress doesn't fully cover that bet.