Extracted algorithm research record
RA Mean Reversion Portfolio
Trades multi-pair mean reversion based on z-score of daily closes.
Source & extraction context
Evidence label: backtest_shown (source claim, not independent verification). Recorded completeness: 80.0/100. Neither is a performance result.
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Extraction warnings
Opacity warnings
- UNDEFINED ENTRY TERM: the entry conditions are prose naming a concept with no numeric definition, so two readers would implement them differently. Advisory only -- this does not affect the score.
Recorded market & execution profile
- Recorded timeframes
- D1
- Recorded sessions
- any
- Recorded regime
- ranging
Recorded indicators & parameters
| Indicator | Parameters | Applied to |
|---|---|---|
| ATR | {"period": 14} | close |
| z-score | {"window": 45} | log(close) |
Extracted strategy rules
Recorded long-entry rules
- z > 2.0
Recorded short-entry rules
- z < -2.0
Recorded exit rules
- z = 0
- max holding time 25 bars
- Stop Loss hit
Recorded filters
- correlation filter
- max drawdown 15%
- daily loss 3%
- Stop loss
- ATR(14) * 1.5
- Take profit
- z-score return to 0
- Position sizing
- risk percentage * ATR * tick value * tick size
Questions about this record
What entry rules are recorded for RA Mean Reversion Portfolio?
Long: z > 2.0 Short: z < -2.0 These are unverified extracted rules.
Which markets and timeframes are recorded?
Markets: EURGBP, AUDUSD. Timeframes: D1. These are source-recorded labels, not verified execution behavior.