Download: Full Review PDF
The Big Picture#
Fortuna is a regime-conditioned algorithmic trading system for BTC and SOL. The goal: detect what kind of market it is, generate a signal conditioned on that regime, and size positions using both risk and conviction.
Lab Stack#
| Lab | Name | One-Line Summary |
|---|---|---|
| 1 | Signal in the Noise | Logistic regression on z-score detects Singularistic Events; z=2–3 is the sweet spot. |
| 2 | Three-Strategy Regime | Mapped z-score bands to dead zone / sniper / too-late using EV tables. |
| 3 | Volume as Leading Indicator | Volume spikes precede the price move — price is the aftermath. |
| 4 | Baum HMM Regime Detector | 4-state Gaussian HMM (Bull / SoftBull / Choppy / Bear) with soft posteriors γ_k(i). |
| 5 | Regime-Conditioned ML Signal | XGBoost + HMM posteriors; Bear avoidance = +8.21 Sharpe lift on BTC. |
| 6 | SOL Regime Calibration | BTC-trained HMM labelled 78% of SOL as Choppy — fixed with SOL-specific training. |
| 7 | Live Signal Engine + TUI | Cron-scheduled radar emits signals to SQLite; Textual dashboard for human approval. |
| 8 | Position Sizing via γ_k(i) | Flat binary wins on trending SOL; Kelly better for capital preservation. |
| 9A | ρ Candidate Analysis | ρ₄ (jump outcome variance) is a conviction signal, not a risk measure. |
Key Findings#
ρ₄ is conviction, not danger. When Bull signals fire frequently with dispersed returns, the market is trending — drawdown is low. ρ₄ should scale positions up, not down.
| Candidate | Tracks | Use as |
|---|---|---|
| ρ₁ | Price volatility | Risk floor / Kelly denominator |
| ρ₂ | Volume-weighted volatility | Slightly better risk floor |
| ρ₃ | Regime clarity (HMM entropy) | Filter: skip trades when entropy > threshold |
| ρ₄ | Signal momentum / conviction | Size-up signal |
Fortuna Stack#
Lab 4 → HMM regime states (Bull / SoftBull / Choppy / Bear)
Lab 5 → XGBoost signal conditioned on regime
Lab 8 → Kelly position sizing (flat binary baseline)
Lab 9A → ρ₄ = conviction, not risk
Lab 9B → Dual-input sizer: ρ₁ (risk floor) × ρ₄ (conviction scale-up)