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Hypotheses

Multi-Major Regime-Shock Convex Basket — Long-Short, Engage a Name When EITHER a Large Return-Magnitude OR a Sharp Vol-Expansion Fires (Union Trigger, Max Cadence), Across 8 Majors, Shared Parameters, Flat-in-Calm (Daily Bars, 3-Parameter)

A LONG-SHORT, MULTI-INSTRUMENT, pure-price CONVEX directional basket that is the evidence-forced synthesis of this session's convex results. FACTS ESTABLISHED: (a) the convex 'engage-only-on-big-moves, flat-in-calm,…

Hypothesis

A LONG-SHORT, MULTI-INSTRUMENT, pure-price CONVEX directional basket that is the evidence-forced synthesis of this session's convex results. FACTS ESTABLISHED: (a) the convex 'engage-only-on-big-moves, flat-in-calm, decorrelated' profile is the cleanest non-trend result (BTC tail-regime PF 2.03, beta 0.009), but (b) EVERY single-name convex died on the ~100-trade COUNT floor — BTC magnitude 11/yr, DOGE magnitude 14.7/yr, BTC vol-expansion 14.6/yr — because large regimes are rare per asset, and (c) only……Show moreShow less

A LONG-SHORT, MULTI-INSTRUMENT, pure-price CONVEX directional basket that is the evidence-forced synthesis of this session's convex results. FACTS ESTABLISHED: (a) the convex 'engage-only-on-big-moves, flat-in-calm, decorrelated' profile is the cleanest non-trend result (BTC tail-regime PF 2.03, beta 0.009), but (b) EVERY single-name convex died on the ~100-trade COUNT floor — BTC magnitude 11/yr, DOGE magnitude 14.7/yr, BTC vol-expansion 14.6/yr — because large regimes are rare per asset, and (c) only multi-major diversification can reach the count. This maximizes cadence two ways: (1) a UNION 'regime-shock' trigger — a name engages when EITHER its trailing-return magnitude z-score OR its vol-expansion ratio exceeds threshold (capturing both completed-large-move regimes AND vol-onset regimes, ~doubling per-name engagements vs either trigger alone), and (2) a WIDER 8-major set. ~28 engagements/yr/name × 8 ≈ 220 (~140 lifetime), decisively above the floor that killed the single-name and (marginally) the narrower single-trigger versions. It keeps each sleeve flat-in-calm (decorrelated, convex) with SHARED parameters across all 8 names (3 params total → low DOF for the deflated-Sharpe gate that failed AAVE), and diversification tightens the aggregate Sharpe CI. NOT confluence/OHLCV-momentum (L56 — convex regime-shock, flat most of the time, 0/213 class avoided), NOT a cross-sectional RANK rotation (L52 — no ranking/selection; standalone shared-param convex trigger per name), NOT a squeeze breakout (L54 — engages on LARGE moves/vol-expansion, not compression pops), NOT mean-reversion (L53), NOT a NON-PRICE-feed gate (L46), NOT carry/basis/liquidation/options (L57/L58/L50/L51). Distinct from my two queued baskets: it UNIONS both their triggers (they use one each) and widens to 8 names — strictly more cadence, targeting the exact universal killer. Risk profile: vol-scaled sizing per engaged sleeve (equal risk), aggregate gross capped at ~70% of equity*leverage; 2x leverage cap (reads self.config.leverage).

Backtest and paper results are hypothetical. Trading involves risk of loss.