Extracted algorithm research record
Strategy mini S&P
Enters long if the low of the second bar is greater than the open of the first bar and RSI is below 50, or if the close is greater than the previous two closes and the daily close is less than the previous day's close. Enters short if the high of the second bar is less than the open of the first bar and RSI is above 50, or if the close is less than the previous two closes and the daily close is greater than the previous day's close.
Source & extraction context
Evidence label: source_code (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
No automated warnings are recorded in this snapshot. This does not establish that the extraction or system is sound.
Recorded market & execution profile
- Recorded markets
- @ES.D, @MES.D
- Recorded timeframes
- 5 Minute
- Recorded sessions
- Regular session 08:30-15:15 GMT
- Recorded regime
- trending|ranging|volatile|breakout|any
Recorded indicators & parameters
| Indicator | Parameters | Applied to |
|---|---|---|
| RSI | {"period": 5} | close |
Extracted strategy rules
Recorded long-entry rules
- low > openp and (RSI(close,5)<50 or (c>c[1] and c>c[2])) and close of data2 < Close[2] of data2
Recorded short-entry rules
- high < openp and (RSI(close,5)>50 or (c<c[1] and c<c[2])) and close of data2 > Close[2] of data2
Recorded exit rules
- time >= 110000 AND PositionPerf > 0
Recorded filters
- True Range of the daily bar is greater than the average true range of the last 5 daily bars
- news filter
- Stop loss
- stopl points from entry
- Take profit
- not explicitly stated
- Position sizing
- 1 Contract
Questions about this record
What entry rules are recorded for Strategy mini S&P?
Long: low > openp and (RSI(close,5)<50 or (c>c[1] and c>c[2])) and close of data2 < Close[2] of data2 Short: high < openp and (RSI(close,5)>50 or (c<c[1] and c<c[2])) and close of data2 > Close[2] of data2 These are unverified extracted rules.
Which markets and timeframes are recorded?
Markets: @ES.D, @MES.D. Timeframes: 5 Minute. These are source-recorded labels, not verified execution behavior.