Extracted algorithm research record
Sharpe-ratio-based risk-return strategy
Selects stocks based on recent risk-adjusted performance and dynamically rebalances the portfolio.
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
Claim warnings
- UNSIZED CLAIM: performance figures are published with no trade count, so the sample behind them cannot be judged.
- UNDATED CLAIM: performance figures are published with no test period, so they cannot be checked or reproduced.
Recorded market & execution profile
- Recorded markets
- Not specified
- Recorded timeframes
- Not specified
- Recorded sessions
- Not specified
- Recorded regime
- any
Recorded indicators & parameters
| Indicator | Parameters | Applied to |
|---|---|---|
| rolling returns | {"period": 30} | close |
| rolling volatility | {"period": 30} | close |
Extracted strategy rules
Recorded long-entry rules
- Not specified in the extracted record.
Recorded short-entry rules
- Not specified in the extracted record.
Recorded exit rules
- Not specified in the extracted record.
Recorded filters
- transaction costs 0.1%
- slippage 0.2%
- Stop loss
- total portfolio value falls below 70% of initial capital
- Take profit
- null
- Position sizing
- allocated according to relative Sharpe ratios
Questions about this record
What entry rules are recorded for Sharpe-ratio-based risk-return strategy?
Long: Not specified. Short: Not specified. These are unverified extracted rules.
Which markets and timeframes are recorded?
Markets: Not specified. Timeframes: Not specified. These are source-recorded labels, not verified execution behavior.