┌─────────────────────────────────────────────────────────────────────────┐
│ MULTI-LAYER ENTRY BLOCKS │
│ │
│ Layer 1: IV Regime Filter │
│ ├─ ES Condor: iv_percentile must be > 70% to "sell_premium" │
│ ├─ BTC Backspread: needs > 85th percentile IV │
│ ├─ GC Butterfly: requires IV > HV regime condition │
│ └─ Problem: Real market IV rarely stays elevated enough to trigger │
│ │
│ Layer 2: Spread/Width Guards │
│ ├─ All bots: bid-ask spread / mid must be < 0.35 (35%) │
│ ├─ GC: wider put skew multiplier (1.10x) │
│ ├─ CL Brent-WTI: strict liquidity checks │
│ └─ Problem: Synthesized quotes fail these checks frequently │
│ │
│ Layer 3: Premium/Credit Minimums │
│ ├─ ES Condor: min_acceptable_credit = premium_limit × 0.1 / POINT │
│ ├─ BTC: needs ETF inflow > $500M/day (rare event) │
│ └─ Problem: Thresholds calibrated for bull-market conditions │
│ │
│ Layer 4: DTE Alignment │
│ ├─ ES: TARGET_DTE_MIN=30, MAX=45 │
│ ├─ BTC: ENTRY_DTE_MIN=45, MAX=60 │
│ ├─ GC: TARGET_DTE_MIN=45, MAX=60 │
│ └─ Problem: Only triggers on specific Friday expiry windows │
│ │
│ RESULT: 4+ gates must ALL pass simultaneously for entry │
│ Probability of all gates passing simultaneously ≈ 5-15% │
└─────────────────────────────────────────────────────────────────────────┘
