Extracted algorithm research record
Statistical Pairs Trading Strategy
A pairs trading strategy based on cointegration and mean reversion using historical market data.
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
- KO-PEP, V-MA, HD-LOW, XOM-CVX, MSFT-ORCL, JPM-BAC, VOO-IVV, GLD-IAU, QQQ-VGT, DIA-SPY, XLE-VDE
- Recorded timeframes
- any
- Recorded sessions
- any
- Recorded regime
- trending|ranging|volatile|breakout|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
- Z-Score < -2
Recorded short-entry rules
- Z-Score > +2
Recorded exit rules
- Z-Score returns near zero
Recorded filters
- cointegration test
- hedge ratio estimation
- Stop loss
- Not specified
- Take profit
- Not specified
- Position sizing
- Not specified
Questions about this record
What entry rules are recorded for Statistical Pairs Trading Strategy?
Long: Z-Score < -2 Short: Z-Score > +2 These are unverified extracted rules.
Which markets and timeframes are recorded?
Markets: KO-PEP, V-MA, HD-LOW, XOM-CVX, MSFT-ORCL, JPM-BAC, VOO-IVV, GLD-IAU, QQQ-VGT, DIA-SPY, XLE-VDE. Timeframes: any. These are source-recorded labels, not verified execution behavior.