Daily Alpha Brief — 2026-09-20 — BULL regime across majors

Bayesian crypto brief for 2026-09-20: BULL regime, strategy performance, weight shifts, and quant-vs-crowd sentiment across 9 symbols.

TL;DR

• Dominant regime: BULL (6 bullish / 2 bearish of 9 symbols).
• Top signal: ema_cross on XRP cut 0.361 (0.73 → 0.37).
• Shadow portfolio: $720 (-27.98%), 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 74/100; BTC dominance 58.7% signals balanced.

🌐 Market Overview

Economic (FRED):

Stablecoin dominance 9.2% (risk-on); yield curve regime Flat.

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

Economic Calendar: Next FOMC: in 38 days | Next CPI: in 23 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: 6 BULL / 2 BEAR of 9 symbols.

🔗 Correlation Signals

Stable pairs (r > 0.70): ETH/SOL: r=0.85 ✅ | BTC/ETH: r=0.85 ✅ | SOL/DOGE: r=0.82 ✅ | BTC/SOL: r=0.81 ✅ | SOL/XRP: r=0.78 ✅ | ETH/BNB: r=0.75 ✅

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):

ema_cross and walk_forward_ema are the biggest movers: both show severe 7d underperformance (24%/27% win-rate, deeply negative Sharpe and pnl) in a BULL regime where momentum should excel — rule 2/3 conflict fires hard, so I cut them substantially despite the regime prior (rule 6). volume_spike similarly has 7d win-rate 31% and negative Sharpe/pnl, warranting a meaningful cut. tsmom earns the largest boost: 50% win-rate with an extraordinary 7d Sharpe of 10.21 and +549 pnl aligns perfectly with the BULL momentum prior (rule 4 + rule 5). post_shock_reversal is elevated modestly — its 7d Sharpe of 14.74 and pnl of +1072 are impressive but it is a mean-reversion strategy in a BULL regime, so I raise it only conservatively to 0.55. rsi_macd has only 2 seven-day trades (rule 1 thin-data guard) so it stays near its current 0.28. sentiment_strategy holds a slight trim from 0.739 to 0.72 given mildly positive but low-magnitude composite (+0.11) while rewarding its 100% confluence and full source coverage. correlation_strategy and macro_strategy both report zero trades/signals across all windows, so they are held near their current 0.264 with no material move.

ETH/USDT (BULL):

post_shock_reversal is the standout performer with a 7d Sharpe of 14.76 and +933 pnl (rule 4 raise, tempered by smoothness cap and its mean-reversion nature conflicting mildly with BULL regime); tsmom also earns a raise with Sharpe 3.51 and +128 pnl, regime-aligned as a momentum strategy in BULL. ema_cross and walk_forward_ema are both momentum-family and regime-aligned, but ema_cross has a terrible 24h (0% win, Sharpe -40.69) and poor 7d (29% win, negative Sharpe and pnl), so I cut it substantially per rules 2-3 while leaving some credit for regime alignment; walk_forward_ema has a negative 24h but a marginally positive 7d Sharpe and pnl so I cut it modestly from its high prior. bollinger and volume_spike both show persistent negative Sharpe and pnl across both windows with low win rates, triggering cuts per rules 2-3; rsi_macd hits the low-sample guard (7d trades=4) so it stays within -0.05 of current. sentiment_strategy gets a slight raise on strong 7d confluence (100%) and positive composite; correlation_strategy and macro_strategy show zero activity and are held near their current weights.

AVAX/USDT (BULL):

rsi_macd and correlation_strategy/macro_strategy have zero 7d trades so rule 1 applies — all held within ±0.05 of current. tsmom is severely penalised: both 24h and 7d show 0-32% win-rates with deeply negative Sharpe (-3.77) and negative pnl (-190.92), triggering rules 2-3 for a meaningful cut from 0.570 to 0.34, despite the BULL regime favouring momentum — data contradicts the prior (rule 6). walk_forward_ema similarly posts negative 7d Sharpe (-2.62) and sub-30% win-rate on thin-but-sufficient 7d sample (7 trades), cut to 0.18 per rules 2-3. ema_cross has borderline 7d metrics (32% win, positive but weak Sharpe 0.93) and a poor 24h read, so it is trimmed moderately from 0.599 to 0.44 despite BULL alignment. bollinger shows strong 7d metrics (75% win, Sharpe 9.62) but only 4 trades triggering rule 1 caution, so a modest raise to 0.28 is warranted; volume_spike has ample 7d trades (103) but only 31% win-rate — Sharpe is inflated and likely artefactual, so it is trimmed to 0.44. sentiment_strategy has strong 3-source coverage with 100% confluence, justifying a small hold-up at 0.72; post_shock_reversal has positive pnl and decent Sharpe on 7d but only 33% win-rate, warranting a slight trim to 0.36.

📡 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): +0.07 (neutral) — “Federal Reserve Board announces approval of the application by Banco Santander, S.A. and Santander H”.

Most-talked alt: BNB/USDT at +0.50 (bullish crowd lean).

📰 Today’s Key Reads

Curated from 3 sources monitored today:

🟢 Bitcoin ETFs eke out positive week with $433 million Friday inflow as ether funds snap four-week inflow streak — theblock — Score: +0.56

🔴 Ethereum confirms Glamsterdam dates, but warns ‘fake’ builders could stall the chain — coindesk — Score: -0.39

🟢 JPMorgan says bitcoin could get more support than gold if ETF hedging eases — theblock — Score: +0.36

⚪ Bank of Japan raises interest rates by 25 basis points. Bitcoin tops $77,000 — coindesk — Score: +0.19

⚠️ Senate is still a toss-up, but Democrats now have slight edge, prediction market traders think — cnbc_finance — Score: +0.12

Academic Footnote

Borgards (2021) — momentum and the cross-section of crypto returns.

Disclaimer

This is algorithmic analysis only, not financial advice.