Daily Alpha Brief — 2026-09-12 — BULL regime across majors

Bayesian crypto brief for 2026-09-12: 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: walk_forward_ema on XRP raised 0.397 (0.19 → 0.58).
• Shadow portfolio: $725 (-27.47%), 2 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 67/100; BTC dominance 59.0% signals balanced.

🌐 Market Overview

Economic (FRED):

Stablecoin dominance 9.8% (risk-on); yield curve regime Flat.

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

Economic Calendar: Next FOMC: in 4 days | Next CPI: in 31 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 bullish: 5 BULL / 4 BEAR of 9 symbols.

🔗 Correlation Signals

Stable pairs (r > 0.70): BTC/ETH: r=0.93 ✅ | SOL/XRP: r=0.86 ✅ | ETH/SOL: r=0.86 ✅ | ETH/XRP: r=0.85 ✅ | BTC/SOL: r=0.84 ✅ | BTC/XRP: r=0.83 ✅

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

XRP/USDT (BULL):

Bollinger and post_shock_reversal are catastrophic failures in this BULL regime — both show 7d win-rates well below 30% with deeply negative Sharpe and large negative pnl (bollinger -5.95 Sharpe / -302 pnl; post_shock_reversal -11.67 Sharpe / -704 pnl), triggering rule 2 hard cuts toward 0.10. rsi_macd and ema_cross also underperform in what should be their favoured BULL regime (rule 6 conflict: data overrides regime prior), so both are reduced, with rsi_macd cut more aggressively given its negative 7d Sharpe of -0.67. volume_spike is the only price-based strategy with positive 7d pnl (+159) and a strongly positive Sharpe, earning a modest raise; walk_forward_ema’s single 24h trade skews its 24h metrics so its 7d picture (32% win, +58 pnl, 1.69 Sharpe) keeps it near current. tsmom has zero trades so rule 1 holds it near its current weight. sentiment_strategy earns a small raise given 100% confluence across 3 sources and consistent mild bullish composite, while correlation_strategy and macro_strategy have no signal data and are held near their current weights.

BTC/USDT (BULL):

rsi_macd, correlation_strategy, and macro_strategy all have zero trades across both windows, so rule 1 applies and weights are held at or near their current values. ema_cross has a poor 7d win-rate (32%) with negative 7d Sharpe (-1.29) in a BULL regime — a clear data-over-prior conflict per rule 6 — so it is cut from 0.377 to 0.28; volume_spike similarly shows 33% 7d win-rate with negative 7d Sharpe (-0.75) and is trimmed to 0.19. bollinger is paradoxically producing its best 7d Sharpe (6.51) and positive pnl (+185.69) despite a BULL regime that should hurt it, so data wins and it is held near its current weight rather than cut. post_shock_reversal has a 32% 7d win-rate and deeply negative pnl (-56.31) with negative Sharpe (-1.31), triggering rule 2/3 and a cut to 0.18; tsmom has marginal 7d metrics (33% win, positive Sharpe 0.76, small positive pnl) keeping it modestly above neutral at 0.40, while walk_forward_ema’s 7d positive Sharpe (2.10) and pnl support holding near current at 0.38; sentiment coverage is moderate (3 sources, 67% confluence, near-neutral composite) warranting a small trim from 0.684 to 0.65.

ETH/USDT (BULL):

In a confirmed BULL regime, the three momentum/trend strategies dominate: ema_cross (58% win, 18.72 Sharpe, +598 pnl) and walk_forward_ema (62% win, 17.39 Sharpe, +516 pnl) are both strong rule-4 performers and get a modest nudge up to 0.87; rsi_macd has a strong 7d profile (56% win, 18.28 Sharpe, +620 pnl) despite a weak 24h and stays near its current high weight at 0.85. Bollinger is a classic band-walk casualty in this trend (33% 7d win, -1.27 Sharpe, negative pnl), cut per rules 2-3; post_shock_reversal is even worse (31% 7d win, -3.10 Sharpe, both windows losing), also cut to 0.20 per rules 2-3 and regime conflict with BULL. Volume_spike has a mixed 7d (38% win, positive pnl/Sharpe) so trimmed slightly below neutral; tsmom and correlation_strategy have zero trades (rule 1, hold near current); sentiment_strategy gets a small lift on good 7d confluence (100%) and consistent mild positive composite; macro_strategy held at current with no signals active.

📡 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: +0.50 (bullish crowd).
• Macro signal (FT/Fed/CNBC): +0.06 (neutral) — “Federal Reserve Board announces approval of the application by Banco Santander, S.A. and Santander H”.

Most-talked alt: XRP/USDT at +0.72 (bullish crowd lean).

📰 Today’s Key Reads

Curated from 3 sources monitored today:

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

🔴 Crypto researchers cut Bitcoin and Ethereum quantum attack estimate by 50% — coindesk — Score: -0.64

🟢 Solana treasury firm SkyAI faces board challenge from would-be acquirer Forward Industries, shareholder group — theblock — Score: +0.51

🔴 Researchers halve quantum resource benchmark for key operation in Bitcoin, Ethereum attack — theblock — Score: -0.48

🔴 Dogecoin sinks 5% to lead majors’ losses, with bitcoin holding $78,000 level — coindesk — Score: -0.40

Academic Footnote

Tzouvanas et al. (2020) — moving-average trading rules for Bitcoin.

Disclaimer

This is algorithmic analysis only, not financial advice.