# US500ZSignalPro

Cross-asset mean reversion strategy using the JP225 / US500 spread Z-score

Canonical: https://prismaticalgos.com/compendium/algo/12622-us500zsignalpro
Record ID: 12622
Catalog rank: 1126 (reading order, not performance)
Snapshot: 2026-10-31 15:46 UTC
Family: Risk, Money Management & Portfolio Overlays (J)
Source: https://ctrader.com/products/4376
Evidence label (unverified): backtest_shown

## Scope and limitations

These are machine-extracted research records, not verified trading systems. Catalog rank measures specification detail and claimed evidence, not profitability. The catalog extraction pipeline did not independently backtest these records. Its separate selected testing ledger does not validate the wider corpus. Rules, labels and parameters can be incomplete or wrong; consult the original source and its reuse terms.

No endorsement, ownership claim or source-code reuse permission is implied.

## 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 profile

- symbols: US500
- timeframes: H2
- sessions: Not specified
- market_regime: any

## Indicators

- Z-Score: {"lookback_period": 20}; applied to: JP225 / US500 spread

## 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)

## Risk controls

- 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