AGOS

Adaptive Gated Observational System — systematic crypto trading

Paper P&L

$-10.95

14 trades

Win Rate

43%

6W / 8L

Open Positions

ETHUSDT, BTCUSDT

Last Run

Apr

Apr 14, 10:00 UTC

Milestones

5/8 complete

First RunDONE

System fetches BTC price and writes to a log. Loop established.

First Honest QuestionDONE

Enough data collected to ask and answer one research question in the notebook.

First DecisionDONE

System evaluates a strategy and logs decisions. EMA crossover on 1m candles fires too often — research question identified.

Paper TradesDONE

System simulates fills with realistic frictions. SQLite paper book tracking positions and P&L. Cron running continuously.

Strategy Validation Failed (Test Set)DONE

**Research Phase 0 complete. Strategy failed final verification.**

Real Capital, SmallPENDING

The Adaptive LayerPENDING

Full SystemPENDING

Recent Sessions

full journal →

2026-04-12Test whether adding a small cross-exchange correlation hedge (e.g., 5-10% of capital in inverse perpetuals on a low-correlation venue like Deribit) reduces drawdown volatility and improves Sharpe ratio of the core funding harvest strategy without materially reducing APR.

ran: `unknown` via autonomous daemon

saw: VALIDATED — APR +5.59%, Sharpe 29.7, max DD -0.17%

next: Validated strategies show strong APR but Sharpe of 29.7 suggests potential for drawdown reduction. Current position is long-biased across exchanges; a small uncorrelated hedge could dampen tail risk during funding collapses (e.g., March 2024 events) while the core strategy remains intact. This is incremental, conservative, and orthogonal to existing leverage/multi-exchange optimizations.

2026-04-12Phase 1.5 REJECTED: cross-exchange correlation hedge adds APR but misses Sharpe target

ran: Correlation hedging study — BTC-only, 3 hedge fractions (5%, 7.5%, 10%) of core $500 notional in simulated Deribit inverse perp position. AR(1) spread model (rho=0.65, phi=0.55, sigma=4e-6) with P5 stress dampening (35% of normal rate). 2190 periods, seed=42.

saw: REJECTED — APR +6.07% ✓, Sharpe 30.40 ✗ (need 32.0), max DD -0.16% ✓. Full-sample correlation with Binance was 0.983 (stress regime: 0.963) — too high to provide meaningful tail diversification. At 10% allocation, hedge recovers only 1.6% of stress-period drawdown. Reaching Sharpe 32.0 would require ~32%+ hedge allocation. APR improved +0.48pp from additional Deribit harvest earnings.

next: Correlation hedge is structurally weak at small allocations due to high cross-exchange funding rate correlation. Proceed to Phase 1.4 — wire funding harvest into apps/trader/strategy.py.

2026-04-12Test whether consolidating and rebalancing positions across 2-3 exchanges (Bybit, OKX, Deribit) to harvest their funding rate spreads while maintaining the core strategy improves APR with minimal additional complexity. Use a simple spread-detection rule: rebalance when spread exceeds 0.05% APR equivalent.

ran: `unknown` via autonomous daemon

saw: VALIDATED — APR +5.66%, Sharpe 31.7, max DD -0.29%

next: Different exchanges have different funding rates due to market segmentation. The validated single-exchange strategy leaves money on the table during high spread periods. A simple multi-exchange consolidation with threshold-based rebalancing could capture 20-50bps additional yield without introducing regime-detection complexity. This tests whether multi-venue arbitrage is additive within the existing framework.