Extracted algorithm research record
Long when touches VWAP
Buy when the low touches the daily VWAP and only once per day
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
- Not specified
- Recorded timeframes
- DAILY
- Recorded sessions
- Not specified
- Recorded regime
- any
Recorded indicators & parameters
| Indicator | Parameters | Applied to |
|---|---|---|
| VWAP | {} | close |
Extracted strategy rules
Recorded long-entry rules
- low <= dailyVWAP AND flagDailyVWAP = 0
Recorded short-entry rules
- Not specified in the extracted record.
Recorded exit rules
- Not specified in the extracted record.
Recorded filters
- Not specified in the extracted record.
- Stop loss
- null
- Take profit
- null
- Position sizing
- BUY 20 CONTRACT AT MARKET for the first condition, BUY 1 CONTRACT AT MARKET for the second condition
Questions about this record
What entry rules are recorded for Long when touches VWAP?
Long: low <= dailyVWAP AND flagDailyVWAP = 0 Short: Not specified. These are unverified extracted rules.
Which markets and timeframes are recorded?
Markets: Not specified. Timeframes: DAILY. These are source-recorded labels, not verified execution behavior.