Keltner CCI Mean Reversion¶
EA0052_Keltner_CCI_Mean_Reversion_v1.0 ／ 🧪 候補 — 生成済み・検証待ち
ワンライナー
Keltner CCI 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 | low_vol | 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: Keltner CCI Mean Reversion¶
EA Identity¶
- EA name: REF0502_02_Keltner_CCI_Mean_Reversion_v1
- Symbol: USDJPY
- Timeframe:
- Primary style: mean_reversion
- Entry mechanism: oscillator_reversal
- Regime target: low_vol
- Position logic: fixed_sl
Research Thesis¶
Keltner CCI Mean Reversion 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¶
- [MR] RSI 30/70 は経験則であり、シンボル毎に最適値が異なる (EURUSDは27/73、GBPJPYは20/80優位)
- [MR] [FILTER] 逆張りは「トレンド相場で損失集中」の癖、レジーム判定 (ADX<20等) と必須併用
- [MR] Williams %R は RSI より反応が早いが、ダマシも多い。確定足運用前提
- [MR] [CONTRA] 「リバーサル候補の反転を待ってからエントリー」は機会を逃すが、勝率は10-15%改善
Tradable Spec¶
- Entry logic: Keltner-CCI Mean Reversion entry (low-volatility regime): Step 1 — Keltner squeeze check on bar[1]:
kcUpper = ema20[1] + 1.5*atr14[1],kcLower = ema20[1] - 1.5*atr14[1]. Active only when BB(20,2) width < KC width:(bbUpper[1] - bbLower[1]) < (kcUpper - kcLower)(low-vol squeeze). Step 2 — CCI(14) reversal signal on bar[1]: BUY:cci[1] > InpCCIOversold && cci[2] <= InpCCIOversold(default InpCCIOversold=-100). SELL:cci[1] < InpCCIOverbought && cci[2] >= InpCCIOverbought(default InpCCIOverbought=100). Regime filter (independent):bullishRegime = (close[1] > ema20[1])— uses price vs EMA20, completely separate from the CCI signal. KC squeeze uses ATR; regime uses close vs EMA; entry signal uses CCI — three different indicators, no contradiction risk. ONE regime variable only: use ONLYbullishRegimein the entry condition — do NOT add a second slope check. - 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: low_vol regime confirmation
- Invalidation condition: To be determined during testing or derived from logic
Filters¶
- Spread and session filter
- Minimum ATR activity filter
- Regime-specific confirmation filter from source evidence
- Contrarian safety filter: disable after consecutive false signals
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¶
- 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)
- [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「Keltner CCI 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: Keltner squeeze condition and CCI reversal signal are temporally incompatible when combined with AND logic on the same bar[1]. Keltner squeeze (BB width < KC width) indicates low volatility and price consolidation. CCI reversal crossing (cci[1] > threshold && cci[2] <= threshold) requires price momentum to reverse, which typically occurs after volatility expansion. These conditions are theoretically unlikely to occur simultaneously on bar[1]. More critically, if the squeeze persists into bar[1], CCI is unlikely to have crossed the reversal threshold at that exact moment.
- Fix: Separate the temporal logic: (1) Confirm squeeze condition on bar[2] or earlier (kcUpper[2] - kcLower[2] > bbUpper[2] - bbLower[2]), (2) Detect CCI reversal crossing on bar[1]. Alternatively, use squeeze as a regime filter (squeeze present in last N bars) rather than a bar[1] confirmation, allowing CCI to cross after squeeze begins.
- CONTRADICTION: Regime filter definition 'bullishRegime = (close[1] > ema20[1])' combined with mean reversion entry logic creates a logical inconsistency. Mean reversion strategies typically enter when price is extended from the mean (oversold/overbought), expecting mean reversion. A bullish regime filter (close > EMA20) would exclude entries when price is above the 20-EMA, which contradicts the mean reversion principle of buying oversold conditions in an uptrend. For a BUY signal (CCI oversold), requiring close[1] > ema20[1] means price is already above the mean, reducing the probability of a true oversold reversal. The regime filter should use trend confirmation (e.g., EMA slope, ADX) rather than current price position relative to EMA.
- Fix: Redefine regime filter to use EMA slope (ema20[1] - ema20[10] > 0 for uptrend) or ADX > threshold, which confirms trend direction independently of current price position. Alternatively, allow mean reversion entries in both regimes but adjust position sizing or SL width by regime.
- WARNING: Entry logic specifies 'Active only when BB(20,2) width < KC width' but does not explicitly state this as a hard AND condition in the entry formula. Clarify whether the squeeze check is mandatory (AND) or advisory (soft filter). If mandatory AND, see fatal contradiction above.
- WARNING: Exit logic references 'price returns to N-bar SMA (default N=20)' but entry logic uses EMA20, not SMA20. Confirm whether these are intentionally different or a specification error. If different, document the rationale.
- WARNING: Regime filter section states 'ONE regime variable only: use ONLY
bullishRegime' but does not specify how to handle SELL entries (CCI overbought). Should SELL entries use!bullishRegime(bearish regime) or the samebullishRegimefilter? Ambiguity may lead to asymmetric entry logic. - WARNING: Contrarian safety filter 'disable after consecutive false signals' is mentioned in Filters section but not defined quantitatively (how many consecutive false signals? how long is disable period?). Without precise definition, implementation may vary and backtest results may not be reproducible.
- WARNING: Minimum ATR activity filter is listed but not specified in Entry logic. If ATR[1] < threshold is a hard AND condition, it must be explicitly stated in the entry formula to avoid implementation ambiguity.
- WARNING: Time exit condition 'close at bar InpMaxBars (default=12)' assumes bar counting starts at entry. Clarify whether this is 12 bars after entry or absolute bar index. Off-by-one errors in bar counting can cause unintended early/late exits.
- WARNING: Source evidence states 'Williams %R is faster than RSI but has more false signals' and recommends 'confirmed foot operation', but entry logic uses CCI, not Williams %R. Verify that CCI is the intended signal or update source evidence.
- WARNING: Optimization envelope states 'If no trades: loosen entry confirmation first' but does not define what 'entry confirmation' means in this context (CCI threshold? squeeze strictness?). Provide explicit parameter relaxation sequence.
- WARNING: Backtest acceptance criteria require 'OOS/IS PF ratio ≥ 0.70' but typical mean reversion strategies show high IS PF due to curve-fitting. Verify that 0.70 threshold is realistic for this strategy style or consider stricter OOS criteria (e.g., OOS PF ≥ 1.30).
🇬🇧 Click to expand (English version)
Research EA Spec: Keltner CCI Mean Reversion¶
EA Identity¶
- EA name: REF0502_02_Keltner_CCI_Mean_Reversion_v1
- Symbol: USDJPY
- Timeframe:
- Primary style: mean_reversion
- Entry mechanism: oscillator_reversal
- Regime target: low_vol
- Position logic: fixed_sl
Research Thesis¶
Keltner CCI Mean Reversion 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¶
- [MR] RSI 30/70 は経験則であり、シンボル毎に最適値が異なる (EURUSDは27/73、GBPJPYは20/80優位)
- [MR] [FILTER] 逆張りは「トレンド相場で損失集中」の癖、レジーム判定 (ADX<20等) と必須併用
- [MR] Williams %R は RSI より反応が早いが、ダマシも多い。確定足運用前提
- [MR] [CONTRA] 「リバーサル候補の反転を待ってからエントリー」は機会を逃すが、勝率は10-15%改善
Tradable Spec¶
- Entry logic: Keltner-CCI Mean Reversion entry (low-volatility regime): Step 1 — Keltner squeeze check on bar[1]:
kcUpper = ema20[1] + 1.5*atr14[1],kcLower = ema20[1] - 1.5*atr14[1]. Active only when BB(20,2) width < KC width:(bbUpper[1] - bbLower[1]) < (kcUpper - kcLower)(low-vol squeeze). Step 2 — CCI(14) reversal signal on bar[1]: BUY:cci[1] > InpCCIOversold && cci[2] <= InpCCIOversold(default InpCCIOversold=-100). SELL:cci[1] < InpCCIOverbought && cci[2] >= InpCCIOverbought(default InpCCIOverbought=100). Regime filter (independent):bullishRegime = (close[1] > ema20[1])— uses price vs EMA20, completely separate from the CCI signal. KC squeeze uses ATR; regime uses close vs EMA; entry signal uses CCI — three different indicators, no contradiction risk. ONE regime variable only: use ONLYbullishRegimein the entry condition — do NOT add a second slope check. - 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: low_vol regime confirmation
- Invalidation condition: To be determined during testing or derived from logic
Filters¶
- Spread and session filter
- Minimum ATR activity filter
- Regime-specific confirmation filter from source evidence
- Contrarian safety filter: disable after consecutive false signals
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¶
- 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)
- [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 "Keltner CCI 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: Keltner squeeze condition and CCI reversal signal are temporally incompatible when combined with AND logic on the same bar[1]. Keltner squeeze (BB width < KC width) indicates low volatility and price consolidation. CCI reversal crossing (cci[1] > threshold && cci[2] <= threshold) requires price momentum to reverse, which typically occurs after volatility expansion. These conditions are theoretically unlikely to occur simultaneously on bar[1]. More critically, if the squeeze persists into bar[1], CCI is unlikely to have crossed the reversal threshold at that exact moment.
- Fix: Separate the temporal logic: (1) Confirm squeeze condition on bar[2] or earlier (kcUpper[2] - kcLower[2] > bbUpper[2] - bbLower[2]), (2) Detect CCI reversal crossing on bar[1]. Alternatively, use squeeze as a regime filter (squeeze present in last N bars) rather than a bar[1] confirmation, allowing CCI to cross after squeeze begins.
- CONTRADICTION: Regime filter definition 'bullishRegime = (close[1] > ema20[1])' combined with mean reversion entry logic creates a logical inconsistency. Mean reversion strategies typically enter when price is extended from the mean (oversold/overbought), expecting mean reversion. A bullish regime filter (close > EMA20) would exclude entries when price is above the 20-EMA, which contradicts the mean reversion principle of buying oversold conditions in an uptrend. For a BUY signal (CCI oversold), requiring close[1] > ema20[1] means price is already above the mean, reducing the probability of a true oversold reversal. The regime filter should use trend confirmation (e.g., EMA slope, ADX) rather than current price position relative to EMA.
- Fix: Redefine regime filter to use EMA slope (ema20[1] - ema20[10] > 0 for uptrend) or ADX > threshold, which confirms trend direction independently of current price position. Alternatively, allow mean reversion entries in both regimes but adjust position sizing or SL width by regime.
- WARNING: Entry logic specifies 'Active only when BB(20,2) width < KC width' but does not explicitly state this as a hard AND condition in the entry formula. Clarify whether the squeeze check is mandatory (AND) or advisory (soft filter). If mandatory AND, see fatal contradiction above.
- WARNING: Exit logic references 'price returns to N-bar SMA (default N=20)' but entry logic uses EMA20, not SMA20. Confirm whether these are intentionally different or a specification error. If different, document the rationale.
- WARNING: Regime filter section states 'ONE regime variable only: use ONLY
bullishRegime' but does not specify how to handle SELL entries (CCI overbought). Should SELL entries use!bullishRegime(bearish regime) or the samebullishRegimefilter? Ambiguity may lead to asymmetric entry logic. - WARNING: Contrarian safety filter 'disable after consecutive false signals' is mentioned in Filters section but not defined quantitatively (how many consecutive false signals? how long is disable period?). Without precise definition, implementation may vary and backtest results may not be reproducible.
- WARNING: Minimum ATR activity filter is listed but not specified in Entry logic. If ATR[1] < threshold is a hard AND condition, it must be explicitly stated in the entry formula to avoid implementation ambiguity.
- WARNING: Time exit condition 'close at bar InpMaxBars (default=12)' assumes bar counting starts at entry. Clarify whether this is 12 bars after entry or absolute bar index. Off-by-one errors in bar counting can cause unintended early/late exits.
- WARNING: Source evidence states 'Williams %R is faster than RSI but has more false signals' and recommends 'confirmed foot operation', but entry logic uses CCI, not Williams %R. Verify that CCI is the intended signal or update source evidence.
- WARNING: Optimization envelope states 'If no trades: loosen entry confirmation first' but does not define what 'entry confirmation' means in this context (CCI threshold? squeeze strictness?). Provide explicit parameter relaxation sequence.
- WARNING: Backtest acceptance criteria require 'OOS/IS PF ratio ≥ 0.70' but typical mean reversion strategies show high IS PF due to curve-fitting. Verify that 0.70 threshold is realistic for this strategy style or consider stricter OOS criteria (e.g., OOS PF ≥ 1.30).
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¶
— SPONSORED —