Extracted algorithm research record
AlmgrenChrissStrategy
Balances market impact and volatility risk using adaptive order slices.
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
- any
- Recorded regime
- any
Recorded indicators & parameters
| Indicator | Parameters | Applied to |
|---|---|---|
| RSI | {} | close |
| kappa | {} | close |
Extracted strategy rules
Recorded long-entry rules
- rsi < 45 and volume > 0
Recorded short-entry rules
- rsi > 55 and volume > 0
Recorded exit rules
- trade has open orders
- trade is exiting partially
Recorded filters
- Not specified in the extracted record.
- Stop loss
- -0.10
- Take profit
- Not specified
- Position sizing
- custom_stake_amount
Questions about this record
What entry rules are recorded for AlmgrenChrissStrategy?
Long: rsi < 45 and volume > 0 Short: rsi > 55 and 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.