Extracted algorithm research record
IMC Prosperity 4 Strategy
Algorithmic trading strategy for IMC Prosperity 4 competition, focusing on market making, drift, and options trading.
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
No automated warnings are recorded in this snapshot. This does not establish that the extraction or system is sound.
Recorded market & execution profile
- Recorded markets
- ASH_COATED_OSMIUM, INTARIAN_PEPPER_ROOT, VELVETFRUIT_EXTRACT, HYDROGEL_PACK, VEV_4000, VEV_4500, VEV_5000, VEV_5500, VEV_6000, VEV_6500
- Recorded timeframes
- M1
- Recorded sessions
- 24/7
- Recorded regime
- trending|volatile
Recorded indicators & parameters
| Indicator | Parameters | Applied to |
|---|---|---|
| EMA | {"period": 6900} | close |
| Z-Score | {"period": 500} | close |
| Imbalance | {"period": 500} | order_book |
Extracted strategy rules
Recorded long-entry rules
- z-score > 2.0
- micro-price > simple mid by 2 ticks
Recorded short-entry rules
- z-score < -2.0
- micro-price < simple mid by 2 ticks
Recorded exit rules
- stop-loss at 25 ticks adverse
- take-profit based on realized volatility
Recorded filters
- news filter
- max spread 2.0 pips
- Stop loss
- 25 ticks adverse
- Take profit
- based on realized volatility
- Position sizing
- 200 per spot product, 300 per option, 1800 total shared delta
Questions about this record
What entry rules are recorded for IMC Prosperity 4 Strategy?
Long: z-score > 2.0 micro-price > simple mid by 2 ticks Short: z-score < -2.0 micro-price < simple mid by 2 ticks These are unverified extracted rules.
Which markets and timeframes are recorded?
Markets: ASH_COATED_OSMIUM, INTARIAN_PEPPER_ROOT, VELVETFRUIT_EXTRACT, HYDROGEL_PACK, VEV_4000, VEV_4500, VEV_5000, VEV_5500, VEV_6000, VEV_6500. Timeframes: M1. These are source-recorded labels, not verified execution behavior.