Extracted algorithm research record
Short VXX based on ATR
Shorts VXX when the current close is below the previous close minus the daily range, and exits when the close exceeds the previous close plus twice the 2-period ATR.
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
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
- VXX
- Recorded timeframes
- D1
- Recorded sessions
- any
- Recorded regime
- trending|ranging|volatile|breakout|any
Recorded indicators & parameters
| Indicator | Parameters | Applied to |
|---|---|---|
| AverageTrueRange | {"period": 2} | close |
Extracted strategy rules
Recorded long-entry rules
- Not specified in the extracted record.
Recorded short-entry rules
- Close[0] < Close[1] - (High[1] - Low[1])
Recorded exit rules
- Close[0] > Close[1] + (2 * AverageTrueRange[2](close))
Recorded filters
- Not specified in the extracted record.
- Stop loss
- Not specified
- Take profit
- Not specified
- Position sizing
- 50 shares
Questions about this record
What entry rules are recorded for Short VXX based on ATR?
Long: Not specified. Short: Close[0] < Close[1] - (High[1] - Low[1]) These are unverified extracted rules.
Which markets and timeframes are recorded?
Markets: VXX. Timeframes: D1. These are source-recorded labels, not verified execution behavior.