Daily Alpha Brief — 2026-06-20 — BEAR regime across majors

Bayesian crypto brief for 2026-06-20: BEAR regime, strategy performance, weight shifts, and quant-vs-crowd sentiment across 10 symbols.

TL;DR

• Dominant regime: BEAR (0 bullish / 8 bearish of 10 symbols).
• Top signal: walk_forward_ema on PEPE cut 0.292 (0.50 → 0.21).
• Shadow portfolio: $939 (-6.09%), 4 open, 39% win rate.

Shadow portfolio value since inception (dashed line = $1,000 starting capital).

Current Bayesian reliability weights, averaged across the universe.

Detected regime per symbol (EMA200 + ADX); % = lead-strategy conviction.

🌐 Market Indices

Crowd reads extreme fear at 19/100; BTC dominance 58.2% signals balanced.

🌐 Market Overview

Economic (FRED):

Stablecoin dominance 11.6% (risk-off, money fleeing crypto); yield curve regime Flat.

Funding Rates (contrarian — heavy positive = crowded longs to fade):

Economic Calendar: Next FOMC: in 39 days | Next CPI: in 25 days | position-size modifier 1.00×.

📊 Regime Analysis

Regime per symbol from EMA200 + ADX on daily candles, with the fusion signal.

The book is broadly bearish: 0 BULL / 8 BEAR of 10 symbols.

🔗 Correlation Signals

Stable pairs (r > 0.70): BTC/SOL: r=0.91 ✅ | SOL/AVAX: r=0.91 ✅ | ETH/SOL: r=0.90 ✅ | SUI/AVAX: r=0.89 ✅ | SOL/SUI: r=0.89 ✅ | SOL/XRP: r=0.88 ✅

Index signals: BTC dominance NEUTRAL → no rotation; Fear & Greed contrarian NONE.

⚙️ Strategy Performance

Aggregate 7-day performance per strategy (replayed across the universe). Edge = win-rate × avg P&L per trade — the table is sorted by it.

All P&L figures normalized to a 100 USDT position size for comparability (not summed across symbols).

🧠 Bayesian Weight Shifts

PEPE/USDT (BEAR):

walk_forward_ema is the clear cut: 7d win-rate of 21% with a Sharpe of -10.25 and pnl of -622 triggers rules 2 and 3 simultaneously, warranting a hard reduction toward the floor. tsmom is also penalised under rules 2-3 (7d win 31%, Sharpe -1.09, negative pnl) and conflicts with BEAR regime expectations for momentum strategies, so it is cut materially. volume_spike has 7d win-rate of only 33% (rule 2 borderline) and a brutal 24h showing, so it is reduced; post_shock_reversal and bollinger both show strong 7d Sharpe (2.72 and 2.11 respectively) with positive pnl and are mean-reversion aligned with BEAR/post-shock conditions, earning modest raises despite ugly 24h readings. sentiment_strategy coverage is decent (3 sources, 67% confluence) but the mildly bullish composite (+0.09) conflicts with the BEAR regime, so it is nudged slightly below its current weight; rsi_macd, ema_cross, correlation_strategy, and macro_strategy all have zero trades and are held at neutral per rule 1.

WIF/USDT (SIDEWAYS):

Bollinger is the clear standout with a 7d Sharpe of 3.18 and +201 pnl on 15 trades, earning a meaningful raise per rule 4 and SIDEWAYS regime alignment despite a noisy 24h. Volume_spike is severely penalized (7d win 28%, Sharpe -6.84, pnl -768) triggering rules 2 and 3 for a deep cut toward 0.10. Post_shock_reversal (7d win 29%, Sharpe -4.18, pnl -407) and walk_forward_ema (7d win 23%, Sharpe -7.79, pnl -466) both breach rules 2 and 3 with persistent negative risk-adjusted returns, so both are cut sharply to 0.15; walk_forward_ema’s 24h spike (Sharpe 15.96) is discounted as a single-session artifact contradicted by the full weekly record. Rsi_macd, ema_cross, tsmom, correlation_strategy, and macro_strategy all have zero trades on 7d so rule 1 holds them at neutral 0.50; sentiment_strategy is nudged slightly down from 0.40 to 0.38 reflecting only 2 sources and 50% confluence indicating weak signal quality.

ETH/USDT (BEAR):

Bollinger is the standout performer with 7d win_rate 59%, Sharpe 12.57, and +357.88 pnl, earning a meaningful raise per rule 4; the BEAR regime normally penalises mean-reversion, but the data clearly overrides the regime prior (rule 6), so it is raised rather than cut. Volume_spike has a strong 7d record (+436 pnl, Sharpe 7.31) but its 24h collapse (20% win, Sharpe -20.61, -140 pnl) signals recent deterioration and a BEAR-regime mismatch, warranting a modest trim rather than a reward. Post_shock_reversal’s 7d win_rate of 40% with positive pnl is borderline; inside a confirmed BEAR trend it risks being run over by continuation moves, so a small reduction is applied. Sentiment shows decent 7d coverage (4 sources, 75% confluence) but a mildly bullish composite that conflicts with the BEAR regime, justifying a slight cut; rsi_macd, ema_cross, tsmom, walk_forward_ema, correlation_strategy, and macro_strategy all have zero 7d trades and are held near neutral per rule 1.

📡 Signal Outlook

💼 Shadow Portfolio

Open positions:

$1,000 USDT paper portfolio, 1% risk/trade, MEXC fees modelled. No real capital is deployed.

📡 Discourse Radar

Crowd-vs-quant sentiment from CryptoCompare news, crypto RSS, the macro feeds (FT / Fed / CNBC), and the Fear & Greed index. (Reddit retired — Responsible Builder Policy restrictions, 2026.)

• Fear & Greed: -1.00 (bearish crowd).
• Macro signal (FT/Fed/CNBC): +0.11 (bullish) — “Federal Reserve Board announces termination of enforcement actions with UBS Group AG, Credit Suisse “.

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

📰 Today’s Key Reads

Curated from 3 sources monitored today:

🟢 Kraken integrates Solana DEX trading into core app, with support for additional networks planned — theblock — Score: +0.60

🔴 Ethereum Foundation loses another key leader as co-executive director Hsiao-Wei Wang resigns — coindesk — Score: -0.56

⚠️ CFTC chair Selig defends decision to approve ‘perps’ in U.S. — cnbc_finance — Score: +0.24

🟢 XRP falls 3% after losing $1.15 support as breakout attempt fades — coindesk — Score: +0.23

⚠️ Regulators’ proposed prediction markets rules ban trading on terrorism, assassinations — cnbc_finance — Score: +0.22

Academic Footnote

Addy et al. (2024) — cointegration-based crypto pairs strategies.

Disclaimer

This is algorithmic analysis only, not financial advice.