Daily Alpha Brief — 2026-09-09 — BULL regime across majors

Bayesian crypto brief for 2026-09-09: BULL regime, strategy performance, weight shifts, and quant-vs-crowd sentiment across 9 symbols.

TL;DR

• Dominant regime: BULL (5 bullish / 4 bearish of 9 symbols).
• Top signal: tsmom on BTC cut 0.344 (0.71 → 0.37).
• Shadow portfolio: $732 (-26.79%), 0 open, 35% 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 greed at 72/100; BTC dominance 58.9% signals balanced.

🌐 Market Overview

Economic (FRED):

Stablecoin dominance 9.6% (risk-on); yield curve regime Flat.

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

Economic Calendar: Next FOMC: in 7 days | Next CPI: in 2 days | position-size modifier 0.80×.

📊 Regime Analysis

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

The book is broadly bullish: 5 BULL / 4 BEAR of 9 symbols.

🔗 Correlation Signals

Stable pairs (r > 0.70): BTC/ETH: r=0.93 ✅ | SOL/XRP: r=0.88 ✅ | ETH/XRP: r=0.88 ✅ | BTC/XRP: r=0.88 ✅ | ETH/SOL: r=0.86 ✅ | BTC/SOL: r=0.84 ✅

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

BTC/USDT (BULL):

In this confirmed BULL regime, ema_cross remains the top momentum weight (7d Sharpe 2.24, positive pnl) but is nudged down from its very high 0.854 toward 0.80 given only 35% win-rate, which signals a few large winners skewing Sharpe. rsi_macd and tsmom are both penalised heavily under rules 2-3: rsi_macd shows 7d win 32% with deeply negative Sharpe (-1.96) and negative pnl, while tsmom posts 24% win and Sharpe -3.71 — a conflict with the BULL prior where momentum should thrive, so data wins and both are cut significantly. volume_spike is cut toward 0.10 on persistent underperformance (7d win 29%, Sharpe -3.75, pnl -96). post_shock_reversal earns a raise to 0.60 on its exceptional 7d Sharpe (8.42) and positive pnl despite being mean-reversion in a BULL — the data clearly overrides the regime prior here (rule 6). bollinger gets a modest lift to 0.38 driven by its strong 7d Sharpe (6.01) and positive pnl despite the BULL headwind, though the low win-rate (37%) and poor 24h metrics temper enthusiasm. walk_forward_ema moves to 0.50 — 24h is thin (rule 1 applies to 2 trades) and 7d shows modest positive metrics (Sharpe 2.56, pnl 45) but only 36% win-rate, warranting a neutral-to-slight-positive adjustment. sentiment_strategy is raised modestly to 0.72 on strong 7d confluence (100%, 4 sources), consistent with its weighting rubric. correlation_strategy and macro_strategy both report zero activity and are held near their current weights per the no-data guidance.

ETH/USDT (BULL):

In this BULL regime, rsi_macd earns a modest raise (55% 7d win-rate, strong positive pnl) per rule 4 and regime alignment, while ema_cross gets only a small nudge despite a flashy 24h Sharpe because its 7d win-rate is a weak 40% with minimal pnl — the 7d window dominates. Bollinger is slightly trimmed from its elevated current weight given a sub-50% 7d win-rate and regime misalignment (band-walk risk in a trend), though its positive 7d pnl and Sharpe prevent a hard cut. Volume_spike is cut under rule 2/3 — 35% 7d win-rate with negative Sharpe and negative pnl signals persistent underperformance regardless of regime. Walk_forward_ema is cut meaningfully: the 7d window shows 30% win-rate, negative Sharpe (-3.56), and negative pnl (-93.45), a clear rule 2+3 trigger overriding the bullish 24h numbers; post_shock_reversal is trimmed slightly as a mean-reversion strategy disfavoured in BULL and holding a sub-40% 7d win-rate; tsmom and correlation_strategy hold near current on zero trades (rule 1); sentiment_strategy is held near its current elevated weight given strong 7d coverage (4 sources), full confluence, and a mildly bullish composite; macro_strategy stays near current with no signal activity.

DOGE/USDT (BEAR):

tsmom is the clear action item: 7d win-rate of 11% with Sharpe -9.55 and pnl -300 triggers rule 2/3 hard, so I cut it toward 0.10 despite the BEAR regime where momentum strategies are only modestly favoured — data overrides prior (rule 6). bollinger gets a small cut from 0.263 toward 0.20 per rule 3 (7d Sharpe -7.22 on its single trade, negative pnl, and in a BEAR trend the band-walk risk is real), while staying above the low-sample guard floor given there is only 1 trade. volume_spike shows extraordinary headline Sharpe numbers (13.14) but a 34% win-rate below 50%, so I trim it slightly from 0.592 to 0.55 — trusting direction of the metrics without fully chasing the anomalous Sharpe figure. sentiment_strategy has full 4-source coverage, 100% confluence both windows, and a mildly positive composite (+0.09), justifying a hold near its elevated weight with only a small decay toward neutral given the weak signal magnitude; rsi_macd, ema_cross, post_shock_reversal, walk_forward_ema, correlation_strategy, and macro_strategy all have zero or sub-5 7d trades and are held at or within ±0.05 of current weight per rule 1.

📡 Signal Outlook

💼 Shadow Portfolio

$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: +0.50 (bullish crowd).
• Macro signal (FT/Fed/CNBC): +0.04 (neutral) — “Federal Reserve Board announces approval of the application by Banco Santander, S.A. and Santander H”.

Most-talked alt: DOGE/USDT at +0.81 (bullish crowd lean).

📰 Today’s Key Reads

Curated from 4 sources monitored today:

🟢 Harmony to fully sunset Layer 1, proposes token migration to Ethereum for AI video initiative — theblock — Score: +0.80

⚠️ Bitcoin heads for third winning week in a row as macro pressures mount — cnbc_finance — Score: +0.75

🟢 ‘The chain is now earnings’: Bernstein sees 31% upside for Robinhood as fees top Solana, BNB Chain — theblock — Score: +0.62

🔴 Coldcard hacker moves $7.7 million in BTC, 45% of bitcoin stolen in third attack wave — coindesk — Score: -0.24

⚠️ Wave of Houthi strikes halts work at energy facilities in four Saudi cities — ft_markets — Score: -0.19

Academic Footnote

Wen et al. (2022) — overreaction and short-term reversal in crypto.

Disclaimer

This is algorithmic analysis only, not financial advice.