Extracted algorithm research record
SentimentAndStyleRotationAlgorithm
Algorithm creates long-short positions based on investor sentiment and performance of value stocks over growth stocks.
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
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.
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
- VIX, PutCallRatio
- Recorded timeframes
- D1
- Recorded sessions
- any
- Recorded regime
- any
Recorded indicators & parameters
| Indicator | Parameters | Applied to |
|---|---|---|
| VIX | {} | index |
| PutCallRatio | {} | index |
Extracted strategy rules
Recorded long-entry rules
- recent monthly average CBOE put-call ratio is lower than its six-month average
- one-month average of VIX is higher than its six-month average
Recorded short-entry rules
- recent monthly average CBOE put-call ratio and the VIX index are both higher than their six-month average
Recorded exit rules
- position holding period is three months, and the portfolio is rebalanced every three months
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 SentimentAndStyleRotationAlgorithm?
Long: recent monthly average CBOE put-call ratio is lower than its six-month average one-month average of VIX is higher than its six-month average Short: recent monthly average CBOE put-call ratio and the VIX index are both higher than their six-month average These are unverified extracted rules.
Which markets and timeframes are recorded?
Markets: VIX, PutCallRatio. Timeframes: D1. These are source-recorded labels, not verified execution behavior.