Extracted algorithm research record
put credit spread with LSTM
Trades SPY put credit spreads based on LSTM-predicted volatility changes.
Source & extraction context
Evidence label: backtest_shown (source claim, not independent verification). Recorded completeness: 80.0/100. 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
Claim warnings
- THIN SAMPLE: 39 trades - below the ~100 needed before a win rate or profit factor carries much information.
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
- SPY
- Recorded timeframes
- D1
- Recorded sessions
- any
- Recorded regime
- volatile
Recorded indicators & parameters
| Indicator | Parameters | Applied to |
|---|---|---|
| SPY close | {} | close |
| VIX close | {} | close |
| MACD | {} | close |
| Bollinger Bands | {} | close |
| Realized Volatility | {"period": 20} | close |
Extracted strategy rules
Recorded long-entry rules
- model forecasts rising volatility
- model accuracy >= 50%
Recorded short-entry rules
- Not specified in the extracted record.
Recorded exit rules
- model forecasts falling volatility
- model accuracy drops below 50%
Recorded filters
- model accuracy >= 50%
- strike within ±15 of underlying
- expiration between 50 and 100 days
- Stop loss
- -2.5% unrealized P&L triggers full liquidation
- Take profit
- Not specified
- Position sizing
- min net premium as % of max risk: 0.05
Questions about this record
What entry rules are recorded for put credit spread with LSTM?
Long: model forecasts rising volatility model accuracy >= 50% Short: Not specified. These are unverified extracted rules.
Which markets and timeframes are recorded?
Markets: SPY. Timeframes: D1. These are source-recorded labels, not verified execution behavior.