Extracted algorithm research record
Sectoral Intramonth Momentum Cycle
A strategy that exploits intramonth momentum in U.S. sector ETFs, with three distinct phases: D+1 momentum, D+2–D+3 reversal, and D–10 to D–5 momentum.
Source & extraction context
Evidence label: backtest_shown (source claim, not independent verification). Recorded completeness: 50.0/100. 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
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
- SPY, XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV, XLY
- Recorded timeframes
- D+1, D+2, D+3, D–10 to D–5
- Recorded sessions
- Close of each month’s final trading day, Close of day D+1, Close of day D+3, Close of day D–10 to D–5
- Recorded regime
- any
Recorded indicators & parameters
| Indicator | Parameters | Applied to |
|---|---|---|
| No indicator stack was recorded. This does not establish a price-action-only strategy. | ||
Extracted strategy rules
Recorded long-entry rules
- On D–10 to D–5, go long the top-3 sector ETFs and short SPY or the bottom-3 sector ETFs
Recorded short-entry rules
- On D–10 to D–5, go short the bottom-3 sector ETFs and long SPY or the top-3 sector ETFs
Recorded exit rules
- On D–5, exit all positions and sit in cash until the next D–10 signal
Recorded filters
- Not specified in the extracted record.
- Stop loss
- Not specified
- Take profit
- Not specified
- Position sizing
- Not specified
Questions about this record
What entry rules are recorded for Sectoral Intramonth Momentum Cycle?
Long: On D–10 to D–5, go long the top-3 sector ETFs and short SPY or the bottom-3 sector ETFs Short: On D–10 to D–5, go short the bottom-3 sector ETFs and long SPY or the top-3 sector ETFs These are unverified extracted rules.
Which markets and timeframes are recorded?
Markets: SPY, XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV, XLY. Timeframes: D+1, D+2, D+3, D–10 to D–5. These are source-recorded labels, not verified execution behavior.