Section 1 — General Evaluation Criteria

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Trading algorithms should be evaluated on more than headline returns. A credible assessment must consider not only growth, but also drawdown severity, backtest integrity, execution realism, transaction costs, and parameter stability. The objective is not merely to identify strong historical performance, but to judge whether that performance can remain meaningful under live conditions.

The principal evaluation criteria include:

• Maximum Drawdown (MDD): the clearest measure of capital stress and durability.

• Curve-Fitting / Overfitting Risk: the risk that historical optimization weakens real-world reliability.

• Backtest Biases: including look-ahead effects, survivorship bias, information leakage, and data snooping.

• CAGR: a useful summary of long-term growth, but incomplete when viewed without risk.

• CAGR / MDD: a compact proxy for risk-adjusted performance.

• Liquidity and Market Impact: execution quality can deteriorate materially under adverse market conditions.

• Trade Statistics: win rate, expectancy, holding time, and loss-streak behavior help reveal structural strengths and weaknesses.

• Turnover and Trading Frequency: elevated trading intensity generally increases cost sensitivity.

• Parameter Stability: performance should remain credible under small parameter variation.

• Transaction Costs and Execution Validity: commissions matter, but spreads, liquidity, and real execution conditions often matter more.

• Leverage and Broker Constraints: leverage is dynamic, broker-dependent, and must be handled with disciplined adaptability.

 

Section 2 — Pair Trading Through Fixed-Parity Ratio Construction

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The pair-trading framework used here is no longer built around custom spread structures such as x·A − y·B. Instead, it is expressed through a fixed-parity ratio:

A / B (To minimize signal drift and preserve the required analytical precision, the ticker should be entered in the format A/B * 100.)

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This approach is more compatible with TradingView-based charting, backtesting, and alert workflows. It offers a cleaner and more standardized way to evaluate relative-value behavior through the ratio series itself.

That said, this simplification comes with a trade-off. Compared with true spread-form pair construction, the fixed-parity A/B approach reduces structural precision, execution realism, and analytical depth. It does not directly capture leg-level financing, weighted hedge mechanics, or full multi-leg execution behavior.

Even within this simplified framework, important residual risks remain, including divergence between the instruments, liquidity asymmetry, regime shifts, and differences between chart logic and broker reality.

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Section 3 — Strategic Relevance

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For pair-trading structures and directional instruments, the framework is built for TradingView under a 0.045% commission assumption. It is not designed around static full-capital deployment, but around capital flexibility. In margin and portfolio-margin settings, debit-credit mechanics and available leverage across pair structures and selective single-instrument exposures can materially expand portfolio flexibility and introduce an additional layer of diversification.

Because of its quantitative structure, such a framework may also prove more resilient to major market dislocations than conventional directional allocations. In capable hands, it can serve as a meaningful complement to traditional portfolios, including as a hedge-balancing mechanism for non-derivative equity exposure.

The volatility-focused script is designed primarily for the U.S. options market. Its Substantial threshold is intended to filter for moves that are more capable of overcoming practical trading costs. Profitable Trades also reflects a meaningful and internally consistent success profile, but Substantial should be read as the stronger measure of practical effect. The script is meaningful on its own, yet its impact can improve materially when used alongside an informed external source of market or event-driven context.

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Section 4 — Beyond the Initial Release

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The two TradingView scripts presented on this website should be understood as an initial release, not as the full scope of the research vision. The broader objective extends toward larger, AI-compatible ideas that would require higher-quality data, stronger platform access, custom infrastructure, coordinated team capability, and materially greater financial resources.

These ideas are AI-compatible, but their foundation is not AI-generated. Their core is shaped by high-level engineering, system design, and disciplined research thinking. AI may later serve as an accelerative layer, but it is not the originating basis of the work.

The central purpose of both this website and these two initial scripts is overwhelmingly to prove quality, demonstrate seriousness, and attract the attention of high-level institutional counterparts. That objective represents approximately 99% of the present intention.

By contrast, renting out the scripts or generating direct licensing income remains only a marginal consideration—closer to 1% of the overall intent.

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Section 5 — Legal Notice and Non-Association Statement

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My name, identity, research, products, methodologies, and strategy structures may not be referenced, represented, marketed, copied, reproduced, distributed, or associated with any third-party developer, platform, script, or distribution channel without my prior explicit written authorization. Any unauthorized association, implication of endorsement, attribution, copying, reproduction, or derivative use is expressly rejected.