Stochastic, CCI and Williams %R: does it work?

The stochastic oscillator, the Commodity Channel Index (CCI) and Williams %R all try to flag when a price has stretched too far and is due to snap back.

The rule we tested. Three reversal rules: buying a stochastic %K cross up from below 30 while price is above its 200-day average, on eight large US stocks, holding five days, trading a CCI(20) reading beyond plus or minus 200 on crypto, and trading Williams %R overbought and oversold readings on crypto.

These versions did not pass these tests. US stocks −17.5 pts/yr vs the benchmark (unadjusted p=1.000, BH-adjusted q=1.000); crypto pairs −98.8 pts/yr vs the benchmark (unadjusted p=1.000, BH-adjusted q=1.000); crypto pairs −107.9 pts/yr vs the benchmark (unadjusted p=1.000, BH-adjusted q=1.000). None cleared Tickfloor's Benjamini-Hochberg q<0.10 bar once weighed against every other rule tested alongside it. This describes the tested implementations, the costs and the benchmark stated here, not every version of the rule. These are historical diagnostics, not validation under Testing Standard v2: the backtest harness predates that standard and has not been re-run to meet it.

Scope: Stochastic oversold cross is a Tickfloor research-desk hypothesis, not a rule published by a named source, so it says nothing about any published version.

This is one line in a wider check: Tickfloor's research desk has run 517 strategies, most of them against an equal-weight benchmark of the same assets rebalanced daily that pays no costs (the strategies pay theirs), and after correcting for how many were tested (Benjamini-Hochberg, 598 tests), 0 passed. That does not prove no strategy works, and it says nothing about untested versions of a rule. These are historical diagnostics, not validation under Testing Standard v2: the backtest harness predates that standard and has not been re-run to meet it.

General information only. It doesn't consider your objectives, finances or needs. Tickfloor holds no financial services licence and never places trades.

Do the stochastic oscillator, CCI and Williams %R work?

These versions did not pass these tests. US stocks −17.5 pts/yr vs the benchmark (unadjusted p=1.000, BH-adjusted q=1.000); crypto pairs −98.8 pts/yr vs the benchmark (unadjusted p=1.000, BH-adjusted q=1.000); crypto pairs −107.9 pts/yr vs the benchmark (unadjusted p=1.000, BH-adjusted q=1.000). None cleared Tickfloor's Benjamini-Hochberg q<0.10 bar once weighed against every other rule tested alongside it. This describes the tested implementations, the costs and the benchmark stated here, not every version of the rule. These are historical diagnostics, not validation under Testing Standard v2: the backtest harness predates that standard and has not been re-run to meet it.

What exact rule did Tickfloor test?

Three reversal rules: buying a stochastic %K cross up from below 30 while price is above its 200-day average, on eight large US stocks, holding five days, trading a CCI(20) reading beyond plus or minus 200 on crypto, and trading Williams %R overbought and oversold readings on crypto.

What about the StochRSI?

The StochRSI cross has its own page with a claimed-versus-measured win rate, linked below.

Is this financial advice?

No. This measures a publicly claimed strategy rule, not a recommendation. General information only, not personal advice.

See the full numbers on the Pairs and stat arb, Mean reversion family pages, or the full method and every result.

Other rules we've tested

Terms explained

All the rules we tested