Hypotheses
Chaos TqSdk z_score: faithful daily long-short mean-reversion reproduction
This is executable trading strategy code, not a display utility. Preserve its numerical defaults and ordered branches. Original settings are SYMBOL=SHFE.au2106, POSITION_SIZE=50 contracts, START_DATE=2020-11-01,…
Hypothesis
This is executable trading strategy code, not a display utility. Preserve its numerical defaults and ordered branches. Original settings are SYMBOL=SHFE.au2106, POSITION_SIZE=50 contracts, START_DATE=2020-11-01, END_DATE=2020-12-15, daily bars of 86400 seconds, WINDOW_SIZE=14, ENTRY_THRESHOLD=1.8, EXIT_THRESHOLD=0.4, STOP_LOSS_THRESHOLD=2.5 and TIME_STOP_DAYS=8. The comment mentioning 20 days is inaccurate: the executable slice uses 14. A proposed platform-market adaptation is LTCUSD.HYPERLIQUID, long-short, with daily observations and fixed 20% equity notional at entry, leverage 1.0. This changes the instrument and sizing, so it is not a reproduction of the original gold-contract results. Exact signal timing also needs support: the source evaluates when the newest daily bar's datetime changes, using that developing bar's current close, rather than waiting for its completed daily close. A completed-daily-close implementation must be recorded as a separate adaptation.
Analysis
z_score
Backtest and paper results are hypothetical. Trading involves risk of loss.