Daily Alpha Brief — 2026-06-15 — BEAR regime across majors

Bayesian crypto brief for 2026-06-15: BEAR regime, strategy performance, weight shifts, and quant-vs-crowd sentiment across 1 symbols.

TL;DR

• Dominant regime: BEAR (0 bullish / 1 bearish of 1 symbols).
• Largest reweight: post_shock_reversal on BTC raised 0.099 (0.74 → 0.84).
• Top 7d Sharpe: post_shock_reversal on BTC at 15.30.

Regime Analysis

Regime per symbol from EMA200 + ADX on daily candles.

Strategy Performance

Aggregate 7-day performance per strategy (replayed across the universe).

Bayesian Weight Shifts

BTC/USDT (BEAR): bollinger 0.52→0.61, ema_cross 0.35→0.28, post_shock_reversal 0.74→0.84, rsi_macd 0.35→0.28, sentiment_strategy 0.42→0.44, tsmom 0.31→0.40, volume_spike 0.63→0.66, walk_forward_ema 0.49→0.48

rsi_macd and ema_cross have zero trades in both windows (rule 1 low-sample guard) so they are held at current weight with no move; in a BEAR regime momentum is already disfavoured so there is no regime nudge to apply. post_shock_reversal is the standout performer (7d: 47% win, Sharpe 15.30, +692 pnl, 57 trades) and is a mean-reversion strategy well-suited to the post-shock conditions common in BEAR regimes, earning a modest raise from 0.741 to 0.75 (rule 4 and regime alignment). volume_spike has strong 7d Sharpe and ample trades but a below-50% win rate, so it is nudged modestly down from 0.634 to 0.60; tsmom is a momentum strategy with a sub-40% win rate in a BEAR market (data-regime conflict per rule 6), trimmed to 0.28; walk_forward_ema just clears the 5-trade threshold with a solid 7d profile (60% win, Sharpe 6.59) earning a small lift to 0.52, and bollinger gets a marginal bump to 0.52 on positive 7d metrics while sentiment stays at 0.42 given sparse coverage (2 sources) and weak 50% confluence.

Signal Outlook

Discourse Radar

Crowd-vs-quant sentiment from Reddit / CryptoPanic / RSS / Fear&Greed.

Most-talked alt: WIF/USDT at -1.00 (bearish crowd lean).

Pairs Spread Monitor

Statistical pairs trading (cointegration + z-score spreads) lands in Phase 3.

Academic Footnote

Shen et al. (2021) — time-series momentum in cryptocurrency markets.

Disclaimer

This is algorithmic analysis only, not financial advice.