Extracted algorithm research record
pairs-pipeline
Pairs trading strategy using cointegration and Bollinger Bands for entry and exit.
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
- 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.
Build warnings
- DAILY_LOW_COUNT: daily-or-slower timeframe on a single instrument. Expect well under 100 trades in five years, so a backtest will rarely reach statistical significance on its own.
Recorded market & execution profile
- Recorded markets
- all US ETFs
- Recorded timeframes
- daily
- Recorded sessions
- any
- Recorded regime
- any
Recorded indicators & parameters
| Indicator | Parameters | Applied to |
|---|---|---|
| Johansen test | {} | close |
| Bollinger Bands | {} | close |
Extracted strategy rules
Recorded long-entry rules
- not explicitly stated
Recorded short-entry rules
- not explicitly stated
Recorded exit rules
- not explicitly stated
Recorded filters
- cointegration using Johansen test
- Bollinger Bands for entry and exit
- Stop loss
- not explicitly stated
- Take profit
- not explicitly stated
- Position sizing
- not explicitly stated
Questions about this record
What entry rules are recorded for pairs-pipeline?
Long: not explicitly stated Short: not explicitly stated These are unverified extracted rules.
Which markets and timeframes are recorded?
Markets: all US ETFs. Timeframes: daily. These are source-recorded labels, not verified execution behavior.