Statistical Mean Reversion¶
EA0040_Statistical_Mean_Reversion_v1.0 ／ 🧪 候補 — 生成済み・検証待ち
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Statistical Mean Reversion
基本情報¶
| 項目 | 値 | 項目 | 値 | |
|---|---|---|---|---|
| シンボル | USDJPY | エントリー種別 | oscillator_reversal | |
| 時間足 | H1 | エグジット | fixed_sl | |
| 方向 | both | 主要インジケータ | — |
🧬 DNA 4軸¶
| primary_style | entry_mechanism | regime_target | position_logic |
|---|---|---|---|
mean_reversion | oscillator_reversal | ranging | fixed_sl |
📊 バックテスト結果¶
判定: ❌ FAIL ／ 期間: 2024.08.15 〜 2026.02.06
| PF | 損益率 | 勝率 | 最大DD | シャープ | 取引数 |
|---|---|---|---|---|---|
| 0.89 | -4.15% | 49.0% | 12.00% | -2.27 | 90 |
📝 仕様書 / Specification¶
🇯🇵 クリックで展開（日本語版）
Research EA Spec: Statistical Mean Reversion¶
EA Identity¶
- EA name: REF0501_01_Statistical_Mean_Reversion_v1
- Symbol: USDJPY
- Timeframe: H1
- Primary style: mean_reversion
- Entry mechanism: oscillator_reversal
- Regime target: ranging
- Position logic: fixed_sl
Research Thesis¶
Statistical Mean Reversion candidate generated from 2 research source(s). The strategy must preserve the source idea while keeping parameters broad enough to survive out-of-sample testing.
Source Evidence¶
- [FILTER] [MR] 市場クローズ前後 (23:00-01:30 JST) は日次決算ポジション調整で流動性低下、スキャルは避ける
- [SEASONAL] [MR] 月初の週 (1-5営業日) は機関の月次リバランスでドルが買われやすい傾向
- Mean Reversion Patterns
- [MR] Bollinger Bands σ=2 では統計的エッジがほぼない、σ=2.5以上で初めて意味を持つ (Aronson 2007)
Tradable Spec¶
- Entry logic: Mean-reversion oscillator entry: BUY entry: RSI(14) on bar[1] recovers from oversold —
rsi[1] > InpOversold && rsi[2] <= InpOversold(input default InpOversold=35). A near-zone recovery is also allowed for activity:rsi[1] > rsi[2] && rsi[2] <= InpOversold + InpRSIReentryBuffer(default buffer=5). SELL entry: RSI rolls down from overbought —rsi[1] < InpOverbought && rsi[2] >= InpOverbought(default InpOverbought=65), orrsi[1] < rsi[2] && rsi[2] >= InpOverbought - InpRSIReentryBuffer. Mean-zone filter: use a separate 50-bar SMA as the mean anchor, but DO NOT require BUY above SMA or SELL below SMA. That inverts a mean-reversion entry and can produce NO_TRADE. Instead definebuyZone = close[1] <= sma50[1] + atr[1] * InpMeanZoneATRandsellZone = close[1] >= sma50[1] - atr[1] * InpMeanZoneATR(default InpMeanZoneATR=1.0). BUY requiresbuyZone; SELL requiressellZone. ONE zone/regime variable per side only: do NOT also add a trend slope or price-vs-SMA direction filter. - Exit logic: Take profit: (1) price returns to N-bar SMA (default N=20), OR (2) RSI crosses back through midline (from oversold: RSI[1] > 50; from overbought: RSI[1] < 50) — whichever fires first. Stop loss: ATR(14)*1.5 beyond entry bar, FIXED (never trail — trailing converts reversion to trend trade). Time exit: close at bar InpMaxBars (default=12) if neither TP nor SL triggered (stale reversion = structural failure, not an opportunity). Do NOT hold mean reversion trades past session boundary.
- Risk management: Fixed fractional risk per trade, no martingale, no grid expansion, max one position per symbol, and hard daily loss guard.
Filters¶
- Spread and session filter
- Minimum ATR activity filter
- Regime-specific confirmation filter from source evidence
Logic Independence Requirements¶
必須チェック（実装前に確認すること）:
- エントリーシグナル変数とレジームフィルター変数は独立したデータ源または独立したlookbackから計算すること
- 悪い例:
bullishCross = fastMA[1] > slowMA[1]とisBearishRegime = fastMA[1] < slowMA[1]を AND 結合 → 同一バーで両立不可、取引ゼロになる - 正しいレジーム定義:
slowMA[1] - slowMA[10]の傾き、上位足のMA方向、長い lookback（50本以上）の傾き - 全フィルターを AND 結合した時に、理論上発火できるバーが存在することをスケッチで確認すること
- 逆張り戦略では「エントリー条件の否定 ≠ レジーム条件」になっているか必ず確認すること
- RSI・BB・ATR など同一インジケーターを「シグナル源」と「フィルター源」の両方に使う場合、同じバーで矛盾する不等式を要求していないか確認すること
- レジーム変数は1本のみ:
bullishRegime(またはuptrend等) という bool 変数を1つ定義し、エントリー条件の AND に使うのはその1変数のみにすること。bullishRegime && regimeUpのように2本のレジーム変数を AND 結合することを禁止する。スロープ・価格位置・ADX など複数軸で判断したい場合は、それらを統合した1本の bool 変数にまとめてから AND に組み込むこと。
Optimization Envelope¶
- Relaxable: confirmation thresholds, ATR activity threshold, session window, signal confirmation bars.
- Not relaxable: stop-loss discipline, max one position, no martingale, no fixed historical price levels.
- Initial optimization scope: 3-5 parameters only.
- If no trades: loosen entry confirmation first, then session restriction, then ATR threshold.
- If too many trades: strengthen regime filter and minimum signal distance.
Backtest Acceptance¶
- Backtest at least 18 months with the latest 3 months held out.
- Use walk-forward setting 6:2 when MT5 runner is available.
- Reject if OOS/IS PF ratio is below 0.70 or if OOS PF min is below 1.10.
- Reject if OOS trade count is too low; first loosen entry filters before optimizing profit targets.
Overfitting Controls¶
- Keep each numeric parameter in a wide theory-backed range; do not tune to a single date range.
- Limit optimization to 3-5 core parameters in the first pass.
- Prefer regime filters with clear market meaning over curve-fitted thresholds.
- Stop improving the candidate after repeated NO_TRADE/LOW_SAMPLE failures.
Learning Feedback¶
- ledger: 1 prior tick-model mismatch hit(s) for this DNA
- ledger: improve: loosen entry confirmation or session restriction before touching exits
- ledger: improve: rerun with every-tick backtest before loosening entries because bar-based tests may miss tick-sensitive triggers
- ledger: improve: signal_candidates / entry_blocked_count 等の診断、同一バー内の矛盾、session/spread/cooldown/filter のブロックを優先確認する。
- ledger: learned: NO_TRADEが連続する場合、期間を小刻みに変えるより入口条件・到達不能条件・ガードブロックを先に調べる。
Implementation Guardrails¶
- [META] [RISK] [CONTRA] MT5 Strategy Testerは同名EAのinput値をキャッシュすることがあり、mq5側のinputデフォルトを変更して再コンパイルしても、BTでは前回値が使われる場合がある。inputデフォルト変更の検証では、別EA名/別ファイル名にするか、tester.ini/ExpertParametersで明示的に値を渡し、Testerログの「started with inputs」を必ず確認する。 (.clinerules)
- [RISK] [META] [CONTRA] 【部分決済後のコメント管理パターン】MQL5ではPositionModifyでコメントを変更できないため、TP1部分決済後の状態管理にコメントプレフィックスを使う設計は「二重部分決済」リスクを内包する。対策として: (1)グローバルなulong配列でTP1済みチケットを管理する、(2)部分決済後に残りを即クローズ→新コメントで再エントリーする、のいずれかのパターンを採用すること。 (.clinerules)
- [TREND] [BREAKOUT] [FILTER] [META] マルチタイムフレームEAでATR等のボラティリティ指標をCopyBufferする際、エントリー判定用の価格・MA（start_pos=1で確定足参照）とATR（start_pos=0で未確定バー参照）でstart_posが混在しやすい。設計方針として「全バッファのstart_posを統一する」か「ATRのみ最新値を使う理由をコメントで明記する」かを決めておくべき。 (.clinerules)
- [FILTER] SYMBOL_SPREADはポイント単位のlong値を返すため、価格単位に変換するには
* _Pointを直接使用する (.clinerules) - [FILTER] スキャルピングEAでXAUUSD等のスプレッド変動が大きい銘柄を扱う場合、pips単位ではなく価格単位（ドル）でスプレッド閾値・トレランスを指定する設計が適切。_Digits==2環境ではpips×_Pointが意図しない極小値になる (.clinerules)
- [TREND] [FILTER] スプレッドリトライパターン（予約エントリーのスプレッド不良時リトライ）: 予約フラグ方式でスプレッド不良時に即破棄せず、MAX_SPREAD_RETRY回まで次バーで再試行する設計。リトライカウンターは予約フラグと同時にリセットし、クールダウンや金曜制限等の他条件で予約破棄する際もリセットを忘れないこと。リトライの粒度（ティック単位 vs バー単位）を設計時に明確にすべき。 (.clinerules)
- [META] HistorySelect(0, TimeCurrent()) は全取引履歴を走査対象にするため、長期運用や多数の取引がある口座ではパフォーマンスに影響する。連敗カウント等の直近履歴のみが必要な場合は、開始時刻を限定する（例: TimeCurrent() - 30243600）か、最後のチェック時刻を記録して差分走査にする。 (.clinerules)
- [META] MQL5のOnTradeTransactionではDEAL_ENTRY_INOUTも処理対象に含めないと、ネッティング口座での約定イベントを捕捉できない場合がある (.clinerules)
Story Package¶
- Hook: AIが研究メモから自律発掘した「Statistical Mean Reversion」をEA化して検証。
- Blog angle: 研究アイデアは本当にMT5で再現できるのか、OOSで崩れるかまで公開する。
- Failure angle: 失敗時は NO_TRADE / LOW_SAMPLE / OVERFIT / HIGH_DD に分類して次の研究候補へ進む。
Spec Validation Warnings (auto-generated)¶
- CONTRADICTION: Mean-zone filter definition creates logical impossibility for BUY entries. The spec states: 'DO NOT require BUY above SMA or SELL below SMA. That inverts a mean-reversion entry and can produce NO_TRADE.' However, the buyZone definition
close[1] <= sma50[1] + atr[1] * InpMeanZoneATRcombined with RSI oversold recovery entryrsi[1] > InpOversold && rsi[2] <= InpOversolddoes not guarantee simultaneous satisfaction. More critically, the spec explicitly warns against adding 'trend slope or price-vs-SMA direction filter' to the mean-zone, yet the buyZone itself IS a price-vs-SMA directional constraint (close must be at or below SMA + buffer). This creates an internal contradiction: the zone filter is simultaneously required AND prohibited. - Fix: Clarify whether buyZone is a mandatory filter or merely a reference zone. If mandatory, remove the prohibition against price-vs-SMA filters. If optional, explicitly state 'buyZone is informational only' and define entry as RSI condition alone. Current wording creates ambiguity that will cause implementation deadlock.
- WARNING: RSI entry condition logic is over-constrained with redundant AND branches. The spec defines BUY as:
(rsi[1] > InpOversold && rsi[2] <= InpOversold) OR (rsi[1] > rsi[2] && rsi[2] <= InpOversold + InpRSIReentryBuffer). With default InpOversold=35 and InpRSIReentryBuffer=5, the second condition requires rsi[2] <= 40. However, if rsi[2] <= 35 (first condition true), then rsi[2] <= 40 is automatically true, making the second condition redundant when the first fires. More problematically, if rsi[2] is between 35 and 40, ONLY the second condition can fire. This creates a narrow band where entry is possible. Combined with the buyZone constraint, the probability of all conditions aligning on the same bar becomes very low, risking NO_TRADE. - Fix: Simplify to single RSI entry condition: either use primary oversold recovery only, or clearly define when the buffer-zone reentry is preferred. If both are needed, verify with historical data that bars exist where both conditions can fire independently. Current dual-condition design with overlapping ranges may cause excessive filtering.
- WARNING: Exit logic contains a potential logical conflict: 'Take profit: (1) price returns to N-bar SMA (default N=20), OR (2) RSI crosses back through midline'. For a BUY entry from oversold, RSI crossing above 50 is the exit trigger. However, mean-reversion trades by definition expect price to revert toward SMA. If RSI exits at 50 before price reaches SMA, the trade closes at a suboptimal level. Conversely, if price reaches SMA before RSI reaches 50, the trade closes early. The spec does not define priority or which condition takes precedence, creating ambiguity. More critically, if InpMaxBars=12 is very short and neither TP nor SL triggers, the trade is force-closed as 'stale reversion = structural failure'. This means the EA will close trades that haven't reached either TP condition, which contradicts the mean-reversion thesis that price SHOULD reach SMA.
- Fix: Define explicit priority: 'whichever fires first' is stated but implementation must specify which buffer to check first in code. Additionally, clarify whether InpMaxBars=12 is appropriate for mean-reversion (typically requires 20-50 bars for reversion to complete). If force-close at 12 bars is intended as a risk guard, document that this will exit many valid reversions prematurely.
- WARNING: Spec states 'ONE zone/regime variable per side only' and prohibits adding 'trend slope or price-vs-SMA direction filter', but buyZone/sellZone ARE price-vs-SMA filters. Ensure implementation does not add additional regime variables (e.g., uptrend bool, ADX filter) on top of the zone filter, or entry will become over-constrained.
- WARNING: Session filter (23:00-01:30 JST) and minimum ATR activity filter are mentioned in Filters section but no specific thresholds are provided. Implementation must define these explicitly or risk ambiguous entry blocking.
- WARNING: Ledger notes 'NO_TRADE が連続する場合' and recommends checking 'entry_blocked_count'. This suggests prior versions of this EA have experienced NO_TRADE failures. Current spec should be validated with tick-level backtest before deployment.
- WARNING: InpMeanZoneATR default=1.0 means buyZone = close[1] <= sma50[1] + atr[1]. On low-volatility bars, this zone may be very tight; on high-volatility bars, very wide. No guidance on how to adjust this parameter if entry frequency is too low or too high.
- WARNING: Spec prohibits trailing stop ('never trail — trailing converts reversion to trend trade') but uses fixed ATR*1.5 SL. On mean-reversion entries, ATR may spike at entry, causing SL to be placed far from entry. Verify that ATR[1] (entry bar) is the correct reference, not ATR[2] or ATR[3].
- WARNING: Optimization envelope states 'If no trades: loosen entry confirmation first, then session restriction, then ATR threshold.' This implies the current parameter defaults may be too tight. Backtest with relaxed defaults before final submission.
🇬🇧 Click to expand (English version)
Research EA Spec: Statistical Mean Reversion¶
EA Identity¶
- EA name: REF0501_01_Statistical_Mean_Reversion_v1
- Symbol: USDJPY
- Timeframe: H1
- Primary style: mean_reversion
- Entry mechanism: oscillator_reversal
- Regime target: ranging
- Position logic: fixed_sl
Research Thesis¶
Statistical Mean Reversion candidate generated from 2 research source(s). The strategy must preserve the source idea while keeping parameters broad enough to survive out-of-sample testing.
Source Evidence¶
- [FILTER] [MR] 市場クローズ前後 (23:00-01:30 JST) は日次決算ポジション調整で流動性低下、スキャルは避ける
- [SEASONAL] [MR] 月初の週 (1-5営業日) は機関の月次リバランスでドルが買われやすい傾向
- Mean Reversion Patterns
- [MR] Bollinger Bands σ=2 では統計的エッジがほぼない、σ=2.5以上で初めて意味を持つ (Aronson 2007)
Tradable Spec¶
- Entry logic: Mean-reversion oscillator entry: BUY entry: RSI(14) on bar[1] recovers from oversold —
rsi[1] > InpOversold && rsi[2] <= InpOversold(input default InpOversold=35). A near-zone recovery is also allowed for activity:rsi[1] > rsi[2] && rsi[2] <= InpOversold + InpRSIReentryBuffer(default buffer=5). SELL entry: RSI rolls down from overbought —rsi[1] < InpOverbought && rsi[2] >= InpOverbought(default InpOverbought=65), orrsi[1] < rsi[2] && rsi[2] >= InpOverbought - InpRSIReentryBuffer. Mean-zone filter: use a separate 50-bar SMA as the mean anchor, but DO NOT require BUY above SMA or SELL below SMA. That inverts a mean-reversion entry and can produce NO_TRADE. Instead definebuyZone = close[1] <= sma50[1] + atr[1] * InpMeanZoneATRandsellZone = close[1] >= sma50[1] - atr[1] * InpMeanZoneATR(default InpMeanZoneATR=1.0). BUY requiresbuyZone; SELL requiressellZone. ONE zone/regime variable per side only: do NOT also add a trend slope or price-vs-SMA direction filter. - Exit logic: Take profit: (1) price returns to N-bar SMA (default N=20), OR (2) RSI crosses back through midline (from oversold: RSI[1] > 50; from overbought: RSI[1] < 50) — whichever fires first. Stop loss: ATR(14)*1.5 beyond entry bar, FIXED (never trail — trailing converts reversion to trend trade). Time exit: close at bar InpMaxBars (default=12) if neither TP nor SL triggered (stale reversion = structural failure, not an opportunity). Do NOT hold mean reversion trades past session boundary.
- Risk management: Fixed fractional risk per trade, no martingale, no grid expansion, max one position per symbol, and hard daily loss guard.
Filters¶
- Spread and session filter
- Minimum ATR activity filter
- Regime-specific confirmation filter from source evidence
Logic Independence Requirements¶
Mandatory check (must verify before implementation):
- Entry signal variables and regime filter variables must be calculated from independent data sources or independent lookback periods.
- Bad example:
bullishCross = fastMA[1] > slowMA[1]ANDisBearishRegime = fastMA[1] < slowMA[1]— these cannot both be true on the same bar, resulting in zero trades. - Correct regime definition: slope of
slowMA[1] - slowMA[10], higher timeframe MA direction, or slope over a long lookback (50+ bars). - When all filters are AND-combined, sketch-verify that at least one bar can theoretically trigger.
- For mean-reversion strategies, always verify that "negation of entry condition ≠ regime condition".
- When using the same indicator (RSI, BB, ATR, etc.) as both "signal source" and "filter source", confirm you are not demanding contradictory inequalities on the same bar.
- Single regime variable only: Define exactly one bool variable (e.g.,
bullishRegimeoruptrend) and use only that one variable in the entry AND condition. Ban combining two regime variables with AND (e.g.,bullishRegime && regimeUp). If you need to judge across multiple axes (slope, price position, ADX), merge them into a single composite bool variable before AND-combining.
Optimization Envelope¶
- Relaxable: confirmation thresholds, ATR activity threshold, session window, signal confirmation bars.
- Not relaxable: stop-loss discipline, max one position, no martingale, no fixed historical price levels.
- Initial optimization scope: 3-5 parameters only.
- If no trades: loosen entry confirmation first, then session restriction, then ATR threshold.
- If too many trades: strengthen regime filter and minimum signal distance.
Backtest Acceptance¶
- Backtest at least 18 months with the latest 3 months held out.
- Use walk-forward setting 6:2 when MT5 runner is available.
- Reject if OOS/IS PF ratio is below 0.70 or if OOS PF min is below 1.10.
- Reject if OOS trade count is too low; first loosen entry filters before optimizing profit targets.
Overfitting Controls¶
- Keep each numeric parameter in a wide theory-backed range; do not tune to a single date range.
- Limit optimization to 3-5 core parameters in the first pass.
- Prefer regime filters with clear market meaning over curve-fitted thresholds.
- Stop improving the candidate after repeated NO_TRADE/LOW_SAMPLE failures.
Learning Feedback¶
- ledger: 1 prior tick-model mismatch hit(s) for this DNA
- ledger: improve: loosen entry confirmation or session restriction before touching exits
- ledger: improve: rerun with every-tick backtest before loosening entries because bar-based tests may miss tick-sensitive triggers
- ledger: improve: signal_candidates / entry_blocked_count 等の診断、同一バー内の矛盾、session/spread/cooldown/filter のブロックを優先確認する。
- ledger: learned: NO_TRADEが連続する場合、期間を小刻みに変えるより入口条件・到達不能条件・ガードブロックを先に調べる。
Implementation Guardrails¶
- [META] [RISK] [CONTRA] MT5 Strategy Testerは同名EAのinput値をキャッシュすることがあり、mq5側のinputデフォルトを変更して再コンパイルしても、BTでは前回値が使われる場合がある。inputデフォルト変更の検証では、別EA名/別ファイル名にするか、tester.ini/ExpertParametersで明示的に値を渡し、Testerログの「started with inputs」を必ず確認する。 (.clinerules)
- [RISK] [META] [CONTRA] 【部分決済後のコメント管理パターン】MQL5ではPositionModifyでコメントを変更できないため、TP1部分決済後の状態管理にコメントプレフィックスを使う設計は「二重部分決済」リスクを内包する。対策として: (1)グローバルなulong配列でTP1済みチケットを管理する、(2)部分決済後に残りを即クローズ→新コメントで再エントリーする、のいずれかのパターンを採用すること。 (.clinerules)
- [TREND] [BREAKOUT] [FILTER] [META] マルチタイムフレームEAでATR等のボラティリティ指標をCopyBufferする際、エントリー判定用の価格・MA（start_pos=1で確定足参照）とATR（start_pos=0で未確定バー参照）でstart_posが混在しやすい。設計方針として「全バッファのstart_posを統一する」か「ATRのみ最新値を使う理由をコメントで明記する」かを決めておくべき。 (.clinerules)
- [FILTER] SYMBOL_SPREADはポイント単位のlong値を返すため、価格単位に変換するには
* _Pointを直接使用する (.clinerules) - [FILTER] スキャルピングEAでXAUUSD等のスプレッド変動が大きい銘柄を扱う場合、pips単位ではなく価格単位（ドル）でスプレッド閾値・トレランスを指定する設計が適切。_Digits==2環境ではpips×_Pointが意図しない極小値になる (.clinerules)
- [TREND] [FILTER] スプレッドリトライパターン（予約エントリーのスプレッド不良時リトライ）: 予約フラグ方式でスプレッド不良時に即破棄せず、MAX_SPREAD_RETRY回まで次バーで再試行する設計。リトライカウンターは予約フラグと同時にリセットし、クールダウンや金曜制限等の他条件で予約破棄する際もリセットを忘れないこと。リトライの粒度（ティック単位 vs バー単位）を設計時に明確にすべき。 (.clinerules)
- [META] HistorySelect(0, TimeCurrent()) は全取引履歴を走査対象にするため、長期運用や多数の取引がある口座ではパフォーマンスに影響する。連敗カウント等の直近履歴のみが必要な場合は、開始時刻を限定する（例: TimeCurrent() - 30243600）か、最後のチェック時刻を記録して差分走査にする。 (.clinerules)
- [META] MQL5のOnTradeTransactionではDEAL_ENTRY_INOUTも処理対象に含めないと、ネッティング口座での約定イベントを捕捉できない場合がある (.clinerules)
Story Package¶
- Hook: AI autonomously discovered "Statistical Mean Reversion" from research notes and converted it into an EA for verification.
- Blog angle: Can a research idea truly be reproduced on MT5? We publish results all the way through to OOS decay.
- Failure angle: Failures are classified as NO_TRADE / LOW_SAMPLE / OVERFIT / HIGH_DD and fed into the next research candidate pipeline.
Spec Validation Warnings (auto-generated)¶
- CONTRADICTION: Mean-zone filter definition creates logical impossibility for BUY entries. The spec states: 'DO NOT require BUY above SMA or SELL below SMA. That inverts a mean-reversion entry and can produce NO_TRADE.' However, the buyZone definition
close[1] <= sma50[1] + atr[1] * InpMeanZoneATRcombined with RSI oversold recovery entryrsi[1] > InpOversold && rsi[2] <= InpOversolddoes not guarantee simultaneous satisfaction. More critically, the spec explicitly warns against adding 'trend slope or price-vs-SMA direction filter' to the mean-zone, yet the buyZone itself IS a price-vs-SMA directional constraint (close must be at or below SMA + buffer). This creates an internal contradiction: the zone filter is simultaneously required AND prohibited. - Fix: Clarify whether buyZone is a mandatory filter or merely a reference zone. If mandatory, remove the prohibition against price-vs-SMA filters. If optional, explicitly state 'buyZone is informational only' and define entry as RSI condition alone. Current wording creates ambiguity that will cause implementation deadlock.
- WARNING: RSI entry condition logic is over-constrained with redundant AND branches. The spec defines BUY as:
(rsi[1] > InpOversold && rsi[2] <= InpOversold) OR (rsi[1] > rsi[2] && rsi[2] <= InpOversold + InpRSIReentryBuffer). With default InpOversold=35 and InpRSIReentryBuffer=5, the second condition requires rsi[2] <= 40. However, if rsi[2] <= 35 (first condition true), then rsi[2] <= 40 is automatically true, making the second condition redundant when the first fires. More problematically, if rsi[2] is between 35 and 40, ONLY the second condition can fire. This creates a narrow band where entry is possible. Combined with the buyZone constraint, the probability of all conditions aligning on the same bar becomes very low, risking NO_TRADE. - Fix: Simplify to single RSI entry condition: either use primary oversold recovery only, or clearly define when the buffer-zone reentry is preferred. If both are needed, verify with historical data that bars exist where both conditions can fire independently. Current dual-condition design with overlapping ranges may cause excessive filtering.
- WARNING: Exit logic contains a potential logical conflict: 'Take profit: (1) price returns to N-bar SMA (default N=20), OR (2) RSI crosses back through midline'. For a BUY entry from oversold, RSI crossing above 50 is the exit trigger. However, mean-reversion trades by definition expect price to revert toward SMA. If RSI exits at 50 before price reaches SMA, the trade closes at a suboptimal level. Conversely, if price reaches SMA before RSI reaches 50, the trade closes early. The spec does not define priority or which condition takes precedence, creating ambiguity. More critically, if InpMaxBars=12 is very short and neither TP nor SL triggers, the trade is force-closed as 'stale reversion = structural failure'. This means the EA will close trades that haven't reached either TP condition, which contradicts the mean-reversion thesis that price SHOULD reach SMA.
- Fix: Define explicit priority: 'whichever fires first' is stated but implementation must specify which buffer to check first in code. Additionally, clarify whether InpMaxBars=12 is appropriate for mean-reversion (typically requires 20-50 bars for reversion to complete). If force-close at 12 bars is intended as a risk guard, document that this will exit many valid reversions prematurely.
- WARNING: Spec states 'ONE zone/regime variable per side only' and prohibits adding 'trend slope or price-vs-SMA direction filter', but buyZone/sellZone ARE price-vs-SMA filters. Ensure implementation does not add additional regime variables (e.g., uptrend bool, ADX filter) on top of the zone filter, or entry will become over-constrained.
- WARNING: Session filter (23:00-01:30 JST) and minimum ATR activity filter are mentioned in Filters section but no specific thresholds are provided. Implementation must define these explicitly or risk ambiguous entry blocking.
- WARNING: Ledger notes 'NO_TRADE が連続する場合' and recommends checking 'entry_blocked_count'. This suggests prior versions of this EA have experienced NO_TRADE failures. Current spec should be validated with tick-level backtest before deployment.
- WARNING: InpMeanZoneATR default=1.0 means buyZone = close[1] <= sma50[1] + atr[1]. On low-volatility bars, this zone may be very tight; on high-volatility bars, very wide. No guidance on how to adjust this parameter if entry frequency is too low or too high.
- WARNING: Spec prohibits trailing stop ('never trail — trailing converts reversion to trend trade') but uses fixed ATR*1.5 SL. On mean-reversion entries, ATR may spike at entry, causing SL to be placed far from entry. Verify that ATR[1] (entry bar) is the correct reference, not ATR[2] or ATR[3].
- WARNING: Optimization envelope states 'If no trades: loosen entry confirmation first, then session restriction, then ATR threshold.' This implies the current parameter defaults may be too tight. Backtest with relaxed defaults before final submission.
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