Extracted algorithm research record
US500ZSignalPro
Cross-asset mean reversion strategy using the JP225 / US500 spread Z-score
Source & extraction context
Evidence label: backtest_shown (source claim, not independent verification). Recorded completeness: 85.0/100. 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
- IMPLAUSIBLE PROFIT FACTOR: claimed 14.74. Over any real sample this is far outside what retail FX sustains.
- THIN SAMPLE: 30 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.
Recorded market & execution profile
- Recorded markets
- US500
- Recorded timeframes
- H2
- Recorded sessions
- Not specified
- Recorded regime
- any
Recorded indicators & parameters
| Indicator | Parameters | Applied to |
|---|---|---|
| Z-Score | {"lookback_period": 20} | JP225 / US500 spread |
Extracted strategy rules
Recorded long-entry rules
- Z ≥ 2.2 for 2 consecutive bars
Recorded short-entry rules
- Z ≤ -2.2 for 2 consecutive bars
Recorded exit rules
- |Z| ≤ 1.0 (mean reversion confirmed)
Recorded filters
- Consecutive Bar Confirmation 2
- Realized drawdown circuit breaker
- Weekend risk control (optional)
- Stop loss
- |Z| ≥ 3.8 (further expansion — invalidation)
- Take profit
- Not specified
- Position sizing
- Capital-based dynamic lot sizing — risk % per trade scales with current equity
Questions about this record
What entry rules are recorded for US500ZSignalPro?
Long: Z ≥ 2.2 for 2 consecutive bars Short: Z ≤ -2.2 for 2 consecutive bars These are unverified extracted rules.
Which markets and timeframes are recorded?
Markets: US500. Timeframes: H2. These are source-recorded labels, not verified execution behavior.