Extracted algorithm research record
Kalman Filter-Based Pairs Trading
A pairs trading strategy using Kalman Filter to dynamically adjust hedge ratio between two ETFs.
Source & extraction context
Evidence label: backtest_shown (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
Claim warnings
- UNSIZED CLAIM: performance figures are published with no trade count, so the sample behind them cannot be judged.
Opacity warnings
- OPAQUE ENTRY: every entry condition reads a value out of something the source never defined -- a custom-indicator buffer, an iCustom() call, or an author-named score. The rule names the signal without specifying it, so it cannot be reproduced bar-for-bar from this record.
Recorded market & execution profile
- Recorded markets
- TLT, IEI
- Recorded timeframes
- daily
- Recorded sessions
- any
- 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
- e_t < -sqrt(Q_t)
Recorded short-entry rules
- e_t > sqrt(Q_t)
Recorded exit rules
- e_t > -sqrt(Q_t) for long positions
- e_t < sqrt(Q_t) for short positions
Recorded filters
- Not specified in the extracted record.
- Stop loss
- Not specified
- Take profit
- Not specified
- Position sizing
- fixed absolute value of N units
Questions about this record
What entry rules are recorded for Kalman Filter-Based Pairs Trading?
Long: e_t < -sqrt(Q_t) Short: e_t > sqrt(Q_t) These are unverified extracted rules.
Which markets and timeframes are recorded?
Markets: TLT, IEI. Timeframes: daily. These are source-recorded labels, not verified execution behavior.