Extracted algorithm research record
Momentum and Style Rotation Effect
Long the top performing ETF and short the bottom performing ETF based on 12-month momentum.
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
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
- IJJ, IJK, IJS, IJT, IVE, IVW
- Recorded timeframes
- D1
- Recorded sessions
- Not specified
- Recorded regime
- any
Recorded indicators & parameters
| Indicator | Parameters | Applied to |
|---|---|---|
| MOMP | {"lookback": 120} | close |
Extracted strategy rules
Recorded long-entry rules
- Not specified in the extracted record.
Recorded short-entry rules
- Not specified in the extracted record.
Recorded exit rules
- Liquidate ETFs that are no longer selected, rebalance monthly
Recorded filters
- Not specified in the extracted record.
- Stop loss
- null
- Take profit
- null
- Position sizing
- 0.5 for the top performer, -0.5 for the bottom performer
Questions about this record
What entry rules are recorded for Momentum and Style Rotation Effect?
Long: Not specified. Short: Not specified. These are unverified extracted rules.
Which markets and timeframes are recorded?
Markets: IJJ, IJK, IJS, IJT, IVE, IVW. Timeframes: D1. These are source-recorded labels, not verified execution behavior.