Daily Alpha Brief — 2026-10-28 — SIDEWAYS regime across majors

Bayesian crypto brief for 2026-10-28: SIDEWAYS regime, strategy performance, weight shifts, and quant-vs-crowd sentiment across 9 symbols.

TL;DR

• Dominant regime: SIDEWAYS (2 bullish / 2 bearish of 9 symbols).
• Top signal: walk_forward_ema on ETH raised 0.369 (0.16 → 0.53).
• Shadow portfolio: $711 (-28.90%), 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 neutral at 45/100; BTC dominance 60.0% signals balanced.

🌐 Market Overview

Economic (FRED):

Stablecoin dominance 9.3% (risk-on); yield curve regime Flat.

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

Economic Calendar: Next FOMC: in 0 days | Next CPI: in 16 days | position-size modifier 0.60×.

📊 Regime Analysis

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

The book is mixed: 2 BULL / 2 BEAR of 9 symbols.

🔗 Correlation Signals

Stable pairs (r > 0.70): SOL/DOGE: r=0.92 ✅ | DOGE/SUI: r=0.92 ✅ | SOL/DOGE: r=0.91 ✅ | BTC/ETH: r=0.91 ✅ | ETH/SOL: r=0.91 ✅ | SUI/AVAX: r=0.91 ✅

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

ETH/USDT (BULL):

ema_cross is the clearest cut: 7d win-rate of 25% with a deeply negative Sharpe of -6.12 and -157 pnl means rule 2/3 fire hard, overriding any BULL regime alignment — data wins over the prior (rule 6), so it drops near the floor. tsmom also triggers rule 2/3 with 25% win-rate, negative Sharpe (-2.66), and only 4 trades placing it on the thin-data boundary, so it falls to 0.18. post_shock_reversal has 61 trades confirming the data is real and shows 28% win-rate with negative Sharpe and negative pnl, fitting a mean-reversion strategy fighting a BULL trend (band-walk/conflict per rule 6), so it is reduced. volume_spike earns the largest raise — 64 trades, positive pnl (+268), and positive Sharpe in a BULL regime — despite a sub-50% win-rate the risk-adjusted return is constructive; rsi_macd has an anomalous positive Sharpe alongside a 29% win-rate suggesting a few large wins masking frequent losses, so it is trimmed modestly. sentiment_strategy coverage is thin (3 sources, 33% 7d confluence) so it pulls back slightly from its current elevated weight; correlation_strategy and macro_strategy report zero trades and no signals and are held within ±0.03 of current per the no-signal-hold rule.

SOL/USDT (BULL):

volume_spike is the clear loser: 7d win-rate of 25% and Sharpe of -8.59 with -372.97 pnl triggers rules 2-3, cutting it sharply toward 0.10. walk_forward_ema is the standout with 7d win-rate 44%, Sharpe 8.49, and +289.41 pnl — while win-rate is below the rule-4 threshold of 55%, the strongly positive risk-adjusted return and BULL regime alignment justify holding it near its elevated current weight of 0.665, nudged to 0.70. ema_cross also posts positive pnl (+229.62) and a strong Sharpe (6.66) in a BULL regime, earning a modest lift from 0.501 to 0.55. rsi_macd, bollinger, and post_shock_reversal all have 7d win-rates below 40% with positive pnl driven by Sharpe artefacts on thin return distributions, so they are held near or slightly below current weights; tsmom and the three non-price voters (sentiment with weak 7d confluence of 33%, correlation, macro) are kept close to their current weights under the low-sample or no-signal guard.

BNB/USDT (SIDEWAYS):

SIDEWAYS regime with severe underperformance across momentum strategies: rsi_macd posts a catastrophic 7d win-rate of 19% and Sharpe of -6.62 (rules 2+3, cut hard from 0.421 to 0.15), volume_spike is even worse at 22% win and Sharpe -13.08 with -436 pnl (floor at 0.05 per rules 2+3), ema_cross and tsmom both sit at 30% win with negative Sharpes so both are reduced per rules 2+3 and the SIDEWAYS regime penalising momentum. Bollinger is the clear regime-aligned winner with positive 7d pnl (+175) and a strong Sharpe of 5.86 but the 7d win-rate of 38% falls short of rule 4’s 55% threshold, so I hold it high but pull it slightly back from its elevated 0.839 to 0.80; post_shock_reversal is a mean-reversion family strategy that fits SIDEWAYS and shows positive 7d pnl with a Sharpe of 3.57, but its 34% win-rate limits the raise, so it moves modestly down from 0.627 to 0.55; walk_forward_ema has a negative 7d Sharpe and modest sample so it drifts slightly toward neutral; sentiment has weak 7d confluence (33%) keeping it near current, and correlation_strategy and macro_strategy show zero trades so they hold near their current weights per the no-data guidance.

📡 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: +0.00 (neutral crowd).
• Macro signal (FT/Fed/CNBC): +0.03 (neutral) — “IMF warns bond yields could see a ‘disorderly’ spike as debt, inflation risks worsen”.

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

📰 Today’s Key Reads

Curated from 3 sources monitored today:

🟢 Ripple gains final OCC approval to launch national trust bank and bring RLUSD under federal oversight — theblock — Score: +0.72

🟢 Aviva Investors, Ripple launch tokenized share class of $29 billion sterling fund on XRP Ledger — theblock — Score: +0.60

🟢 Ripple gets a final go-ahead to launch its own U.S. national trust bank — coindesk — Score: +0.51

🟢 Tom Lee’s Bitmine favors share buybacks to ether purchases as crypto declines — coindesk — Score: +0.49

⚠️ Where auditors can lift their game — ft_markets — Score: +0.19

Academic Footnote

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

Disclaimer

This is algorithmic analysis only, not financial advice.