Extracted algorithm research record
Machine Learning Z-Score
A mean-reversion strategy with automatic lookback selection and optional detrending, using z-scores and regime filters.
Source & extraction context
Evidence label: backtest_shown (source claim, not independent verification). Recorded completeness: 50.0/100. Neither is a performance result.
Names identify source records. Inclusion is not an endorsement or a claim of authorship, ownership or reuse permission. Check the source license before reusing any implementation.
Extraction warnings
Opacity warnings
- PARTLY OPAQUE ENTRY: 2.0 of 4 entry conditions reference a value the source never published. The rest is specified.
Recorded market & execution profile
- Recorded markets
- any
- Recorded timeframes
- any
- Recorded sessions
- any
- Recorded regime
- ranging
Recorded indicators & parameters
| Indicator | Parameters | Applied to |
|---|---|---|
| LinearRegression | {"period": 14} | close |
| R2 | {"period": 50} | close |
| Average | {"period": 100} | src |
| Std | {"period": 100} | src |
Extracted strategy rules
Recorded long-entry rules
- buyCross = (z[1] <= -zthreshold) AND (z > -zthreshold)
- allowLong = 1 AND z < 0 AND rrLong >= minRR AND barssincebuy >= cooldownBars
Recorded short-entry rules
- sellCross = (z[1] >= zthreshold) AND (z < zthreshold)
- allowShort = 1 AND z > 0 AND rrShort >= minRR AND barssincesell >= cooldownBars
Recorded exit rules
- IF inLong = 1 THEN
- IF low <= slLevelLong THEN
- inLong = 0
- ELSIF high >= tpLevelLong THEN
- inLong = 0
- ENDIF
- IF inShort = 1 THEN
- IF high >= slLevelShort THEN
- inShort = 0
- ELSIF low <= tpLevelShort THEN
- inShort = 0
- ENDIF
Recorded filters
- regimeFilter
- useDetrend
- max spread 2.0 pips
- Stop loss
- slLong = close - slMult * atr
- Take profit
- tpRef = meanSrc
- Position sizing
- Not specified
Questions about this record
What entry rules are recorded for Machine Learning Z-Score?
Long: buyCross = (z[1] <= -zthreshold) AND (z > -zthreshold) allowLong = 1 AND z < 0 AND rrLong >= minRR AND barssincebuy >= cooldownBars Short: sellCross = (z[1] >= zthreshold) AND (z < zthreshold) allowShort = 1 AND z > 0 AND rrShort >= minRR AND barssincesell >= cooldownBars These are unverified extracted rules.
Which markets and timeframes are recorded?
Markets: any. Timeframes: any. These are source-recorded labels, not verified execution behavior.