Statistical Anomaly Divergence¶
EA0050_Statistical_Anomaly_Divergence_v1.0 ／ 🧪 候補 — 生成済み・検証待ち
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Statistical Anomaly Divergence
基本情報¶
| 項目 | 値 | 項目 | 値 | |
|---|---|---|---|---|
| シンボル | USDJPY | エントリー種別 | rsi_divergence | |
| 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 | rsi_divergence | trending | fixed_sl |
📊 バックテスト結果¶
未実行
📝 仕様書 / Specification¶
🇯🇵 クリックで展開（日本語版）
Research EA Spec: Statistical Anomaly Divergence¶
EA Identity¶
- EA name: REF0504_01_Statistical_Anomaly_Divergence_v1
- Symbol: USDJPY
- Timeframe: H1
- Primary style: mean_reversion
- Entry mechanism: rsi_divergence
- Regime target: trending
- Position logic: fixed_sl
Research Thesis¶
Statistical Anomaly Divergence candidate generated from 1 research source(s). The strategy must preserve the source idea while keeping parameters broad enough to survive out-of-sample testing.
Source Evidence¶
- [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
- [RISK] [SEASONAL] スワップポイントが正/負の通貨ペアで複数日ポジション保有時はスワップを損益計算に必ず含める
- [ANOMALY] [FILTER] G10通貨ペアの相関は実際には高く、複数通貨同時保有は想定リスクの1.5-2倍と考える
- [SEASONAL] [CONTRA] 月曜オープンのギャップ埋め戦略は統計的に確認されているが、ギャップ方向が先週トレンドの延長の場合は失敗率が高い
Tradable Spec¶
- Entry logic: RSI Divergence entry (trend-exhaustion mean reversion, statistically coherent): BUY entry (bullish divergence in downtrend): Step 1 — Downtrend confirmed:
bearishTrend = (sma50[1] < sma50[10])(SMA50 slope negative). Step 2 — Bullish divergence: RSI makes higher low while price makes lower low over InpDivLookback bars (default=5):rsi[1] > rsi[InpDivLookback+1] && low[1] < low[InpDivLookback+1]. This means: current RSI is higher than N bars ago (momentum strengthening), BUT current price low is lower than N bars ago (price weakening) = classic bullish divergence signaling trend exhaustion. Step 3 — Confirmation candle:close[1] > open[1](bullish bar). Full BUY condition:bearishTrend && rsi[1] > rsi[InpDivLookback+1] && low[1] < low[InpDivLookback+1] && close[1] > open[1]. SELL entry (bearish divergence in uptrend): Step 1 — Uptrend confirmed:bullishTrend = (sma50[1] > sma50[10])(SMA50 slope positive). Step 2 — Bearish divergence: RSI makes lower high while price makes higher high:rsi[1] < rsi[InpDivLookback+1] && high[1] > high[InpDivLookback+1]. Current RSI is lower than N bars ago (momentum weakening), BUT current price high is higher than N bars ago (price strengthening) = classic bearish divergence. Step 3 — Confirmation candle:close[1] < open[1](bearish bar). Full SELL condition:bullishTrend && rsi[1] < rsi[InpDivLookback+1] && high[1] > high[InpDivLookback+1] && close[1] < open[1]. CRITICAL — Regime confirms trend direction, completely independent from RSI: SMA50 slope measures trend direction; RSI divergence measures momentum exhaustion. These are fundamentally different concepts — NO statistical contradiction. ONE regime variable only: use ONLYbullishTrendorbearishTrendin the entry condition — do NOT add a second slope check. SAME timeframe rule: NEVER use D1 SMA or higher-timeframe indicators for regime when entry is on H1/H4. Statistical rationale: Divergence works best in established trends (ADX > 20 confirms trend exists to exhaust). Unlike oscillator_reversal + ranging which requires RSI extremes AND weak trend simultaneously (statistically contradictory), rsi_divergence explicitly needs a trend to trade against, making regime and signal naturally aligned. - 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.
- Regime filter: trending regime confirmation using SAME timeframe indicators only
- Invalidation condition: If walk-forward repeatedly shows OOS PF < 1.0 or trades collapse after loosening entry filters, archive the DNA.
Filters¶
- Spread and session filter
- Regime-specific confirmation filter from source evidence
- Minimum ATR activity filter
- Contrarian safety filter: after 3 consecutive losing trades, disable new entries for the next 10 bars
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 fixed historical price levels.
- Special approaches ALLOWED if explicitly justified: broker asymmetry exploitation, martingale-with-withdrawal strategy, contrarian-sentiment fade, geopolitical event arbitrage, structural latency edges, quantum-inspired optimization, swarm-intelligence position sizing, game-theoretic market-making.
- For any special approach, you MUST include: (1) exact risk cap in pips/% per trade and per day, (2) kill-switch condition (when to stop trading), (3) explanation of why the structural edge is believed to exist, (4) fallback to standard rules if the edge disappears.
- Diversity mandate: if previous EAs in registry are mostly TREND, generate MR or BREAKOUT. If mostly technical indicator-based, generate anomaly/seasonal/regime-based or cross-disciplinary (physics/bio/psychology) approaches. Seek the UNEXPLORED angle.
- 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 below 10 trades per held-out window; 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¶
- No prior ledger signal was available for this DNA.
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)
- [RISK] DEAL_POSITION_IDによるトレード集計: 部分決済を含むポジションでは同一ポジション由来の複数DEALが発生する。連敗カウント等のトレード単位集計にはDEAL_COMMENTではなくDEAL_POSITION_IDを使用し、カウント済みIDを配列で管理することで重複計上を防ぐ。 (.clinerules)
- [RISK] 【OnTradeTransactionによる決済検出パターン】ポジションクローズの検出にはOnTradeTransaction(trans.type == TRADE_TRANSACTION_DEAL_ADD && DEAL_ENTRY_OUT)を使用し、DEAL_POSITION_IDでエントリー管理配列と照合する設計が堅牢。HistorySelectによるポーリング方式より確実でリアルタイム性が高い。 (.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)
Story Package¶
- Hook: AIが研究メモから自律発掘した「Statistical Anomaly Divergence」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。
🇬🇧 Click to expand (English version)
Research EA Spec: Statistical Anomaly Divergence¶
EA Identity¶
- EA name: REF0504_01_Statistical_Anomaly_Divergence_v1
- Symbol: USDJPY
- Timeframe: H1
- Primary style: mean_reversion
- Entry mechanism: rsi_divergence
- Regime target: trending
- Position logic: fixed_sl
Research Thesis¶
Statistical Anomaly Divergence candidate generated from 1 research source(s). The strategy must preserve the source idea while keeping parameters broad enough to survive out-of-sample testing.
Source Evidence¶
- [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
- [RISK] [SEASONAL] スワップポイントが正/負の通貨ペアで複数日ポジション保有時はスワップを損益計算に必ず含める
- [ANOMALY] [FILTER] G10通貨ペアの相関は実際には高く、複数通貨同時保有は想定リスクの1.5-2倍と考える
- [SEASONAL] [CONTRA] 月曜オープンのギャップ埋め戦略は統計的に確認されているが、ギャップ方向が先週トレンドの延長の場合は失敗率が高い
Tradable Spec¶
- Entry logic: RSI Divergence entry (trend-exhaustion mean reversion, statistically coherent): BUY entry (bullish divergence in downtrend): Step 1 — Downtrend confirmed:
bearishTrend = (sma50[1] < sma50[10])(SMA50 slope negative). Step 2 — Bullish divergence: RSI makes higher low while price makes lower low over InpDivLookback bars (default=5):rsi[1] > rsi[InpDivLookback+1] && low[1] < low[InpDivLookback+1]. This means: current RSI is higher than N bars ago (momentum strengthening), BUT current price low is lower than N bars ago (price weakening) = classic bullish divergence signaling trend exhaustion. Step 3 — Confirmation candle:close[1] > open[1](bullish bar). Full BUY condition:bearishTrend && rsi[1] > rsi[InpDivLookback+1] && low[1] < low[InpDivLookback+1] && close[1] > open[1]. SELL entry (bearish divergence in uptrend): Step 1 — Uptrend confirmed:bullishTrend = (sma50[1] > sma50[10])(SMA50 slope positive). Step 2 — Bearish divergence: RSI makes lower high while price makes higher high:rsi[1] < rsi[InpDivLookback+1] && high[1] > high[InpDivLookback+1]. Current RSI is lower than N bars ago (momentum weakening), BUT current price high is higher than N bars ago (price strengthening) = classic bearish divergence. Step 3 — Confirmation candle:close[1] < open[1](bearish bar). Full SELL condition:bullishTrend && rsi[1] < rsi[InpDivLookback+1] && high[1] > high[InpDivLookback+1] && close[1] < open[1]. CRITICAL — Regime confirms trend direction, completely independent from RSI: SMA50 slope measures trend direction; RSI divergence measures momentum exhaustion. These are fundamentally different concepts — NO statistical contradiction. ONE regime variable only: use ONLYbullishTrendorbearishTrendin the entry condition — do NOT add a second slope check. SAME timeframe rule: NEVER use D1 SMA or higher-timeframe indicators for regime when entry is on H1/H4. Statistical rationale: Divergence works best in established trends (ADX > 20 confirms trend exists to exhaust). Unlike oscillator_reversal + ranging which requires RSI extremes AND weak trend simultaneously (statistically contradictory), rsi_divergence explicitly needs a trend to trade against, making regime and signal naturally aligned. - 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.
- Regime filter: trending regime confirmation using SAME timeframe indicators only
- Invalidation condition: If walk-forward repeatedly shows OOS PF < 1.0 or trades collapse after loosening entry filters, archive the DNA.
Filters¶
- Spread and session filter
- Regime-specific confirmation filter from source evidence
- Minimum ATR activity filter
- Contrarian safety filter: after 3 consecutive losing trades, disable new entries for the next 10 bars
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 fixed historical price levels.
- Special approaches ALLOWED if explicitly justified: broker asymmetry exploitation, martingale-with-withdrawal strategy, contrarian-sentiment fade, geopolitical event arbitrage, structural latency edges, quantum-inspired optimization, swarm-intelligence position sizing, game-theoretic market-making.
- For any special approach, you MUST include: (1) exact risk cap in pips/% per trade and per day, (2) kill-switch condition (when to stop trading), (3) explanation of why the structural edge is believed to exist, (4) fallback to standard rules if the edge disappears.
- Diversity mandate: if previous EAs in registry are mostly TREND, generate MR or BREAKOUT. If mostly technical indicator-based, generate anomaly/seasonal/regime-based or cross-disciplinary (physics/bio/psychology) approaches. Seek the UNEXPLORED angle.
- 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 below 10 trades per held-out window; 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¶
- No prior ledger signal was available for this DNA.
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)
- [RISK] DEAL_POSITION_IDによるトレード集計: 部分決済を含むポジションでは同一ポジション由来の複数DEALが発生する。連敗カウント等のトレード単位集計にはDEAL_COMMENTではなくDEAL_POSITION_IDを使用し、カウント済みIDを配列で管理することで重複計上を防ぐ。 (.clinerules)
- [RISK] 【OnTradeTransactionによる決済検出パターン】ポジションクローズの検出にはOnTradeTransaction(trans.type == TRADE_TRANSACTION_DEAL_ADD && DEAL_ENTRY_OUT)を使用し、DEAL_POSITION_IDでエントリー管理配列と照合する設計が堅牢。HistorySelectによるポーリング方式より確実でリアルタイム性が高い。 (.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)
Story Package¶
- Hook: AI autonomously discovered "Statistical Anomaly Divergence" 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.
免責事項
本EAは自動生成された検証用コードです。実運用可否はご自身で検証してください。
関連用語¶
- 用語集 - バックテスト
- 用語集 - RSI
- 用語集 - SMA
- 用語集 - ATR
- 用語集 - ADX
- 用語集 - pips
- 用語集 - マルチタイムフレーム
- 用語集 - ボラティリティ
- 用語集 - CopyBuffer
- 用語集 - _Point
- 用語集 - スキャルピング
- 用語集 - スプレッド
- 用語集 - _Digits
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