Extracted algorithm research record
Rank Space Strategy
A parametric strategy that trades on rank returns in the US equity market, using an Ornstein-Uhlenbeck model.
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
Signal warnings
- TIME-ONLY ENTRY: the entry conditions reference only clock time or session, with no market condition. This opens positions on a schedule.
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
- 100 largest US primary shares
- Recorded timeframes
- D1
- Recorded sessions
- Daily, based on the previous trading day's close
- Recorded regime
- any
Recorded indicators & parameters
| Indicator | Parameters | Applied to |
|---|---|---|
| No indicator stack was recorded. This does not establish a price-action-only strategy. | ||
Extracted strategy rules
Recorded long-entry rules
- s < -1.25 and τ < 30 days
Recorded short-entry rules
- s > 1.25 and τ < 30 days
Recorded exit rules
- |s| < 0.5
Recorded filters
- news filter
- max spread 2 basis points
- Stop loss
- not specified
- Take profit
- not specified
- Position sizing
- 2.5% of equity per open rank, plus one SPY position
Questions about this record
What entry rules are recorded for Rank Space Strategy?
Long: s < -1.25 and τ < 30 days Short: s > 1.25 and τ < 30 days These are unverified extracted rules.
Which markets and timeframes are recorded?
Markets: 100 largest US primary shares. Timeframes: D1. These are source-recorded labels, not verified execution behavior.