Extracted algorithm research record
TWAPStrategy
TWAP strategy with entry and exit based on RSI and time-weighted average price slicing.
Source & extraction context
Evidence label: source_code (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
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
- any
- Recorded timeframes
- 15m
- Recorded sessions
- Not specified
- Recorded regime
- any
Recorded indicators & parameters
| Indicator | Parameters | Applied to |
|---|---|---|
| RSI | {} | close |
Extracted strategy rules
Recorded long-entry rules
- (dataframe['rsi'] < 45) & (dataframe['volume'] > 0)
Recorded short-entry rules
- (dataframe['rsi'] > 55) & (dataframe['volume'] > 0)
Recorded exit rules
- trade should be partially exited with slices based on RSI
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 TWAPStrategy?
Long: (dataframe['rsi'] < 45) & (dataframe['volume'] > 0) Short: (dataframe['rsi'] > 55) & (dataframe['volume'] > 0) These are unverified extracted rules.
Which markets and timeframes are recorded?
Markets: any. Timeframes: 15m. These are source-recorded labels, not verified execution behavior.