Extracted algorithm research record
DeepMomentum v2
A hybrid momentum strategy using XGBoost reclassification with risk management overlays.
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.
Recorded market & execution profile
- Recorded markets
- IWM constituents
- Recorded timeframes
- any
- Recorded sessions
- any
- 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
- not explicitly stated
Recorded short-entry rules
- not explicitly stated
Recorded exit rules
- not explicitly stated
Recorded filters
- price ≥ $5
- ADV ≥ $1M
- sector = Russell 2000
- bar window = 273 bars
- warmup = 24 rebalances
- Stop loss
- not explicitly stated
- Take profit
- not explicitly stated
- Position sizing
- scaled by realized_vol_21d, capped at 1.2x (1.5x in strong bull markets)
Questions about this record
What entry rules are recorded for DeepMomentum v2?
Long: not explicitly stated Short: not explicitly stated These are unverified extracted rules.
Which markets and timeframes are recorded?
Markets: IWM constituents. Timeframes: any. These are source-recorded labels, not verified execution behavior.