Daily Alpha Brief — 2026-09-13 — BULL regime across majors

Bayesian crypto brief for 2026-09-13: 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 cut 0.234 (0.58 → 0.35).
• Shadow portfolio: $725 (-27.51%), 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 67/100; BTC dominance 58.7% signals balanced.

🌐 Market Overview

Economic (FRED):

Stablecoin dominance 9.7% (risk-on); yield curve regime Flat.

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

Economic Calendar: Next FOMC: in 3 days | Next CPI: in 30 days | position-size modifier 0.90×.

📊 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=0.89 ✅ | SOL/XRP: r=0.88 ✅ | BTC/SOL: r=0.87 ✅ | ETH/XRP: r=0.87 ✅ | ETH/SOL: r=0.86 ✅ | XRP/DOGE: r=0.85 ✅

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 both face catastrophic 7d metrics (bollinger: 23% win, -9.05 Sharpe, -317 pnl; post_shock_reversal: 23% win, -14.38 Sharpe, -741 pnl) triggering rule 2 hard cuts to near-floor despite the 24h mirages — those single-day wins are noise against 50+ losing trades. rsi_macd and ema_cross are also underperforming in this BULL regime (both sub-33% win, negative Sharpe on 7d), a direct data-beats-regime conflict per rule 6, so I cut them meaningfully below current rather than giving the BULL nudge. volume_spike is the one price-strategy with positive 7d pnl and a 2.77 Sharpe despite the ugly 24h; the 7d window dominates so it holds near its current weight with a small regime-neutral trim for caution. tsmom and walk_forward_ema have zero 7d trades triggering rule 1 low-sample guard, kept within +/-0.05 of current. sentiment_strategy earns a raise: three-source coverage, 100% confluence both windows, and mild positive composite align well with the BULL regime. correlation_strategy and macro_strategy remain zero-trade non-price voters held near current weight per rule 1.

BNB/USDT (BULL):

walk_forward_ema is the standout performer (7d 53% win, Sharpe 11.02, +264 pnl) and is regime-aligned in BULL, so it earns a small upward nudge to 0.92 near its cap; ema_cross also shows solid 7d pnl and positive Sharpe in a BULL regime and is held near its current high weight. rsi_macd is cut meaningfully from 0.744 to 0.62 because despite an anomalously high Sharpe, the 7d win-rate of 38% falls well below the 55% threshold for a boost and sits closer to the persistent-underperformance zone, signalling the Sharpe is distorted by scale rather than genuine edge. volume_spike (27% 7d win, Sharpe -4.54, -166 pnl) and post_shock_reversal (29% 7d win, Sharpe -3.60, -191 pnl) both breach the rule-2/3 thresholds and are cut sharply; bollinger remains near its floor given a 25% 7d win-rate and deeply negative Sharpe in a trending market. tsmom and correlation_strategy/macro_strategy have zero trades and are held near their current weights per the low-sample guard; sentiment is modestly trimmed to 0.60 reflecting weak confluence (67%) and a near-neutral composite (+0.06).

SUI/USDT (BEAR):

volume_spike is catastrophically bad with 7d win_rate of 15% and Sharpe of -13.57 on 86 trades — rule 2 fires hard, cutting it from 0.287 to 0.10; tsmom similarly shows 0% win and Sharpe -17.87 on exactly 5 trades (rule 2 plus low-sample guard, cut to 0.07 near floor). post_shock_reversal has 7d win_rate of only 25% (below 30%) with a marginally positive Sharpe and tiny positive pnl — as a mean-reversion strategy it is modestly aligned with BEAR/post-shock conditions but rule 2 still applies, so it is nudged only slightly down to 0.30. All other price strategies (rsi_macd, bollinger, ema_cross, walk_forward_ema, correlation_strategy) have zero trades and are kept within ±0.05 of current weight per rule 1; sentiment_strategy retains a high weight given strong 100% confluence and consistent modest positive composite across both windows despite the BEAR regime being sentiment-neutral.

📡 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): +0.09 (neutral) — “Federal Reserve Board announces approval of the application by Banco Santander, S.A. and Santander H”.

Most-talked alt: XRP/USDT at +0.71 (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

🟢 Ripple stablecoin chief sees $13 trillion corporate treasury opportunity for RLUSD — coindesk — Score: +0.38

🔴 Bitwise shuts down Dogecoin ETF less than a year after launch — theblock — Score: -0.34

🔴 Bitcoin below $77,000, Zcash leads losses as traders bet on a Fed rate hike — coindesk — Score: -0.24

⚪ Bitcoin, ether rise as inflation data does little to alter Fed interest rate outlook — theblock — Score: +0.14

Academic Footnote

Care & Cumming (2024) — algorithmic trading and crypto market quality.

Disclaimer

This is algorithmic analysis only, not financial advice.