Tickfloor

Mean reversion: 142 Backtests

Data last updated

Rules that bet a stretched price will drift back toward its recent average.

4 of 142 strategies finished ahead of the benchmark on the raw number, and 1 had an unadjusted p-value under 0.05. None cleared the correction for trying 1,774 tests in total (a q-value below 0.10), so no result here is a confirmed edge. Scored 2026-10-31, using data up to 2025-03-15.

Strategies here tested on crypto, ETFs, US stocks. See the full family index, the full method and every result, or download the raw registry (JSON).

Results

RuleMarketVs benchmarkSamplep-valueCorrected qReceipt
TLT and IEF below their yield-implied fair value: rolling 252-day regression residual z-score of -1 or lower receipt
Source: c1031/macro		ETFs+4.7 pts/yr180 trades0.0440.867On-site receipt
Credit ETF reversion after spread-widening underperformance receipt
Source: Prigent, Renault & Scaillet 2001 (mean reversion in credit spreads); Collin-Dufresne, Goldstein & Martin 2001 JF		ETFs+2.3 pts/yr820 rebalances0.1191.000On-site receipt
Treasury butterfly (IEF vs SHY/TLT wings) mean reversion receipt
Source: Litterman & Scheinkman 1991 J. Fixed Income (curvature factor); relative-value butterfly practice (Tuckman & Serrat 2011)		ETFs+2.3 pts/yr602 rebalances0.1781.000On-site receipt
Buy Treasuries after a 5-day real-yield spike receipt
Source: c1022/macro		ETFs+1.9 pts/yr48 trades0.2601.000On-site receipt
Intraday-return reversal: long the lowest cumulative open-to-close return over the past month (Lou-Polk-Skouras) receipt
Source: c1022/acad		US stocks−1.1 pts/yr101 rebalances1.0001.000On-site receipt
Cross-sectional IBS reversal: the 8 large caps that closed nearest their lows on average over the past 5 sessions, weekly receipt
Source: c1031/stockxs		US stocks−1.8 pts/yr437 rebalances1.0001.000On-site receipt
Sector long-term reversal: hold the 3 of 11 sector ETFs with the worst 36-to-1-month return, monthly (De Bondt-Thaler; AMP value) receipt
Source: c1024/acad3		ETFs−2.1 pts/yr66 rebalances1.0001.000On-site receipt
Pairs-trading divergence, long leg only (wide US stocks) receipt
Source: Gatev, Goetzmann & Rouwenhorst 2006 RFS 'Pairs trading' (minimum-distance matching); Do & Faff 2010 FAJ. Long leg only		US stocks−2.2 pts/yr102 rebalances1.0001.000On-site receipt
Full test: Pairs Trading
Stretched below the 21-session VWAP band (wide US stocks) receipt
Source: u/Square-Middle-4474, r/Trading 1wop3th (anchored VWAP with standard-deviation bands, used with skill); Berkowitz, Logue & Noser 1988 JF (VWAP); Lehmann 1990. A discretionary anchor can't be tested, so the anchor is fixed 21 sessions back		US stocks−2.4 pts/yr443 rebalances1.0001.000On-site receipt
Relative-price dip in an uptrend: buy the 3 sectors most oversold versus the sector average (60-day z-score) that are above their 200-day SMA, weekly receipt
Source: c1031/etfxs		ETFs−3.1 pts/yr356 rebalances1.0001.000On-site receipt
Weekly within-industry reversal (wide US stocks) receipt
Source: Da, Liu & Schaumburg 2014 Management Science 'A closer look at the short-term return reversal' (weekly reversal is a within-industry effect); Lehmann 1990 QJE		US stocks−3.5 pts/yr443 rebalances1.0001.000On-site receipt
Long-term reversal: buy the bottom quintile by 36-to-13-month-ago return (De Bondt-Thaler) receipt
Source: c1022/acad		US stocks−3.6 pts/yr66 rebalances1.0001.000On-site receipt
Buy the 10% correction in equity ETFs, sell at the next 1-year high receipt
Source: c1023/pop		ETFs−3.7 pts/yr100 trades1.0001.000On-site receipt
Cross-asset long-term reversal (value proxy) receipt
Source: De Bondt & Thaler 1985 JF; Asness, Moskowitz & Pedersen 2013 JF (5-year reversal as value everywhere)		ETFs−4.0 pts/yr66 rebalances1.0001.000On-site receipt
Down-streak reversal: buy up to 5 large caps that have closed lower for at least 3 days in a row, daily receipt
Source: c1031/stockxs		US stocks−4.3 pts/yr1,704 rebalances1.0001.000On-site receipt
Connors %b strategy: Bollinger %b < 0.2 three days running above the 200-day, exit %b > 0.8 (ETFs) receipt
Source: c1023/pop		ETFs−4.5 pts/yr467 trades1.0001.000On-site receipt
Internal Bar Strength (IBS) daily reversion, single asset receipt
Source: Connors & Alvarez 'Short Term Trading Strategies That Work'; Quantpedia IBS writeup		ETFs−4.7 pts/yr557 trades1.0001.000On-site receipt
Full test: IBS Mean Reversion
IBS mean reversion, ETF universe, 2x ATR intrabar (low-touch) stop receipt
Source: none published (Tickfloor research-desk test)		ETFs−5.3 pts/yr6,709 trades1.0001.000On-site receipt
IBS mean reversion, ETF universe, no stop (matched control arm) receipt
Source: none published (Tickfloor research-desk test)		ETFs−5.4 pts/yr6,590 trades1.0001.000On-site receipt
Cumulative RSI(2) (Connors): two-day RSI(2) sum below 35 above the 200-day SMA receipt
Source: c1031/retailta		ETFs−5.6 pts/yr1,493 trades1.0001.000On-site receipt
Bollinger lower-band MR on ETFs, no stop (matched control) receipt
Source: none published (Tickfloor research-desk test)		ETFs−5.6 pts/yr515 trades1.0001.000On-site receipt
Full test: Bollinger Band Bounce
Long-horizon intraday reversal: the 8 large caps with the lowest cumulative open-to-close return over 12-1 months, monthly receipt
Source: c1031/stockxs		US stocks−5.6 pts/yr89 rebalances1.0001.000On-site receipt
Linear regression channel: buy the -2 sigma line in a rising channel receipt
Source: c1022/retail		ETFs−5.8 pts/yr518 trades1.0001.000On-site receipt
Bollinger lower-band MR on ETFs with a 2.5xATR close-based stop receipt
Source: none published (Tickfloor research-desk test)		ETFs−5.8 pts/yr534 trades1.0001.000On-site receipt
Variance-ratio reversal: among large caps whose 5-day variance ratio is below one, buy the 8 with the weakest last 5 days, weekly receipt
Source: c1031/stockxs		US stocks−6.5 pts/yr385 rebalances1.0001.000On-site receipt
Precious metals below their real-yield fair value receipt
Source: Erb & Harvey 2013 FAJ ('The golden dilemma': gold vs real yields)		ETFs−6.7 pts/yr29 trades1.0001.000On-site receipt
TD Sequential setup-9 exhaustion receipt
Source: DeMark 1994 'The New Science of Technical Analysis' (TD Sequential setup)		ETFs−6.7 pts/yr1,742 trades1.0001.000On-site receipt
Keltner channel pullback buy in an uptrend (Raschke-style) receipt
Source: c1022/retail		ETFs−6.7 pts/yr300 trades1.0001.000On-site receipt
Control: 20d relative-gap reversion on fixed ETF pairs, no correlation condition receipt
Source: none published (Tickfloor research-desk test)		ETFs−7.0 pts/yr1,326 rebalances1.0001.000On-site receipt
Bollinger lower-band dip gated by ADX < 20 (range-only mean reversion) receipt
Source: c1022/retail		ETFs−7.1 pts/yr680 trades1.0001.000On-site receipt
Correlation-breakdown re-convergence on fixed ETF pairs receipt
Source: Correlation-breakdown variant of Gatev/Goetzmann/Rouwenhorst 2006 pairs trading		ETFs−7.1 pts/yr50 rebalances1.0001.000On-site receipt
Full test: Pairs Trading
RSI 30 dip only in a ranging market (ADX < 20 gate) receipt
Source: c1022/retail		ETFs−7.3 pts/yr101 trades1.0001.000On-site receipt
Confirmed dip buy: 7% off the 63-day high while the VIX curve is inverted, 15-bar hold receipt
Source: c1031/macro		ETFs−7.3 pts/yr81 trades1.0001.000On-site receipt
Turtle Soup: failed 20-day breakdown recovered the same day receipt
Source: Raschke & Connors 1995 'Street Smarts' (Turtle Soup)		ETFs−7.4 pts/yr687 trades1.0001.000On-site receipt
Volume-conditioned weekly reversal: last-week losers only when the week's volume was high (Conrad-Hameed-Niden) receipt
Source: c1022/acad		US stocks−7.4 pts/yr429 rebalances1.0001.000On-site receipt
Sector ETF one-month residual reversal vs QQQ receipt
Source: Blitz, Huij, Lansdorp & Verbeek 2013 JFM (short-term residual reversal), applied to sector ETFs		ETFs−8.1 pts/yr391 rebalances1.0001.000On-site receipt
Williams VIX Fix spike on equity ETFs receipt
Source: Larry Williams 2007 Active Trader ('The VIX Fix')		ETFs−8.3 pts/yr831 trades1.0001.000On-site receipt
Macro-driver pullback buying: RSI(5) under 30 in XLE, XLU, XLF or GLD only when its own macro driver is in a supportive 100-day trend receipt
Source: c1031/macro		ETFs−8.3 pts/yr220 trades1.0001.000On-site receipt
Three red days above the 200-day: buy after three consecutive down closes, sell on the first up close (equity ETFs) receipt
Source: c1023/pop		ETFs−9.2 pts/yr932 trades1.0001.000On-site receipt
Pullback in an uptrend: among large caps above their 200-day mean, buy the 8 with the weakest last 5 days, weekly receipt
Source: c1031/stockxs		US stocks−9.6 pts/yr396 rebalances1.0001.000On-site receipt
Overnight gap fade on equity index ETF (QQQ/DIA proxy) receipt
Source: Connors gap-trading research; Quantpedia 'Overnight Gap Reversal'		ETFs−9.9 pts/yr303 trades1.0001.000On-site receipt
Full test: Overnight Gap Fade
Connors-style VIX stretch: buy when VIX closes 10% above its 10-day average in an index uptrend, exit above the 5-day average receipt
Source: c1031/macro		ETFs−10.3 pts/yr219 trades1.0001.000On-site receipt
Internal Bar Strength (IBS) daily reversion, single asset (wide US stocks) receipt
Source: Connors & Alvarez 'Short Term Trading Strategies That Work'; Quantpedia IBS writeup		US stocks−10.5 pts/yr42,151 trades1.0001.000On-site receipt
Connors RSI(2) buys on ETFs only during VIX backwardation receipt
Source: c1022/macro		ETFs−11.2 pts/yr39 trades1.0001.000On-site receipt
Crypto long-term reversal: bottom 6 by 52-week return skipping the last 4 weeks, weekly receipt
Source: c1022/acad		crypto−12.4 pts/yr326 rebalances1.0001.000On-site receipt
Bollinger mean-reversion gated by HMM regime (combined ML overlay) (wide US stocks) receipt
Source: Ang & Bekaert (2002) Review of Financial Studies; Bollinger Bands (John Bollinger)		US stocks−12.4 pts/yr4,278 trades1.0001.000On-site receipt
Overnight gap fade on equity index ETF (QQQ/DIA proxy) (wide US stocks) receipt
Source: Connors gap-trading research; Quantpedia 'Overnight Gap Reversal'		US stocks−12.5 pts/yr29,448 trades1.0001.000On-site receipt
'Gaps get filled': buy an unfilled 1%+ down gap at the close, exit when the pre-gap close is reclaimed or after 10 bars receipt
Source: c1023/pop		US stocks−12.6 pts/yr3,007 trades1.0001.000On-site receipt
Wyckoff spring: undercut of the 30-day low on sub-1.5x volume, close back inside within 3 bars, target the range top receipt
Source: c1023/pop		US stocks−12.6 pts/yr1,780 trades1.0001.000On-site receipt
Connors TPS (Time-Price-Sequence) triple pullback (wide US stocks) receipt
Source: Larry Connors TPS strategy		US stocks−13.0 pts/yr26,969 trades1.0001.000On-site receipt
Connors RSI(2) pullback on BTC daily (wide US stocks) receipt
Source: Connors & Alvarez 2008, Short Term Trading Strategies That Work		US stocks−13.2 pts/yr8,481 trades1.0001.000On-site receipt
Bottom fishing: buy a new 52-week closing low, hold 60 bars receipt
Source: c1023/pop		US stocks−13.6 pts/yr186 trades1.0001.000On-site receipt
Bullish Gartley harmonic (0.618 B, 0.786 D) on fractal pivots receipt
Source: c1022/retail		US stocks−14.1 pts/yr83 trades1.0001.000On-site receipt
Cross-sectional reversal, crypto universe, weekly (wide US stocks) receipt
Source: Liu & Tsyvinski 2021 JF 'Risks and Returns of Cryptocurrency' (extrapolated to reversal)		US stocks−14.1 pts/yr442 rebalances1.0001.000On-site receipt
One-day drop reversal: buy after a close-to-close fall of 7% or more, 5-bar hold, wide US stocks receipt
Source: c1031/acad4		US stocks−14.2 pts/yr1,524 trades1.0001.000On-site receipt
Fade large no-news moves: short or buy 5%+ one-day moves that came on under 1.5x normal volume, hold 10 sessions (Chan) receipt
Source: c1031/acad4		US stocks−14.2 pts/yr2,709 trades1.0001.000On-site receipt
Death cross as a contrarian buy: long the day the 50-day crosses below the 200-day, hold 60 bars receipt
Source: c1023/pop		US stocks−14.3 pts/yr225 trades1.0001.000On-site receipt
Failed-gap carryover (intraday sign overrides overnight gap sign) receipt
Source: none published (Tickfloor research-desk test)		ETFs−14.7 pts/yr1,941 trades1.0001.000On-site receipt
Anchored VWAP from the 52-week high: reclaim buy receipt
Source: c1022/retail		US stocks−15.2 pts/yr2,844 trades1.0001.000On-site receipt
Connors TPS (Time-Price-Sequence) triple pullback receipt
Source: Larry Connors TPS strategy		US stocks−15.5 pts/yr6,695 trades1.0001.000On-site receipt
Hikkake bullish (failed inside-bar breakdown) receipt
Source: c1022/retail		US stocks−15.9 pts/yr1,117 trades1.0001.000On-site receipt
Bollinger %b below 0.05 confirmed by MFI(10) below 20 (Bollinger's own indicator pairing) receipt
Source: c1031/retailta		US stocks−15.9 pts/yr582 trades1.0001.000On-site receipt
MACD histogram uptick below zero (Elder) receipt
Source: c1022/retail		US stocks−16.0 pts/yr4,969 trades1.0001.000On-site receipt
Bollinger lower band + Stochastic cross-up (classic combo) receipt
Source: c1022/retail		US stocks−16.2 pts/yr773 trades1.0001.000On-site receipt
RSI(2) pullbacks on 40 large caps, allowed only while VIX sits between 15 and 30 receipt
Source: c1031/macro		US stocks−16.2 pts/yr1,404 trades1.0001.000On-site receipt
RSI failure swing bottom (Wilder 1978) receipt
Source: c1022/retail		US stocks−16.2 pts/yr488 trades1.0001.000On-site receipt
ConnorsRSI < 10 above the 200-day SMA receipt
Source: c1022/retail		US stocks−16.5 pts/yr616 trades1.0001.000On-site receipt
Keltner channel lower-band reversal: re-entry through the lower band after a close below it receipt
Source: c1031/retailta		US stocks−16.5 pts/yr1,075 trades1.0001.000On-site receipt
Crypto intermediate-horizon reversal: long the 6 worst coins by their week-2-to-week-8 return, weekly (Jia-Goodell-Shen) receipt
Source: c1023/acad2		crypto−16.7 pts/yr369 rebalances1.0001.000On-site receipt
STARC bands (Stoller): buy a close below SMA(6) minus 2 ATR(15), exit at the SMA(6) receipt
Source: c1031/retailta		US stocks−16.7 pts/yr683 trades1.0001.000On-site receipt
Larry Williams bearish 'Smash Day' reversal buy, 3-day hold receipt
Source: c1023/pop		US stocks−16.9 pts/yr3,051 trades1.0001.000On-site receipt
Piercing line after a 5-day decline receipt
Source: c1022/retail		US stocks−17.4 pts/yr329 trades1.0001.000On-site receipt
Bollinger W-bottom (Bollinger's own setup) receipt
Source: c1022/retail		US stocks−17.5 pts/yr204 trades1.0001.000On-site receipt
200-day EMA touch-and-hold in an established uptrend receipt
Source: c1022/retail		US stocks−17.7 pts/yr378 trades1.0001.000On-site receipt
Stochastic bullish divergence (price lower low, %K higher low) receipt
Source: c1022/retail		US stocks−17.7 pts/yr96 trades1.0001.000On-site receipt
Larry Williams 'Oops!' gap-down reversal, 2-day hold receipt
Source: c1023/pop		US stocks−18.0 pts/yr3,892 trades1.0001.000On-site receipt
Williams %R overbought/oversold reversal (wide US stocks) receipt
Source: r/Daytrading and TikTok Williams %R strategy posts		US stocks−18.1 pts/yr29,859 trades1.0001.000On-site receipt
Raschke 80-20 (Wilder) reversal receipt
Source: Linda Raschke / Wilder 80-20 rule		US stocks−18.3 pts/yr417 trades1.0001.000On-site receipt
Raschke 80-20 (Wilder) reversal (wide US stocks) receipt
Source: Linda Raschke / Wilder 80-20 rule		US stocks−18.3 pts/yr417 trades1.0001.000On-site receipt
VSA stopping volume (ultra-high volume down bar closing in the upper half) receipt
Source: c1022/retail		US stocks−18.3 pts/yr191 trades1.0001.000On-site receipt
CCI(20) extreme reversal (±200) (wide US stocks) receipt
Source: YouTube 'CCI indicator secret strategy' videos		US stocks−19.2 pts/yr2,081 trades1.0001.000On-site receipt
Volatility-conditioned index autocorrelation: continue moves in calm regimes, reverse them in turbulent regimes, 13 equity ETFs (Sentana-Wadhwani) receipt
Source: c1031/acad4		ETFs−19.4 pts/yr10,973 trades1.0001.000On-site receipt
Fixed same-industry pairs, 60-day z-score reversion receipt
Source: Gatev, Goetzmann & Rouwenhorst 2006 RFS (pairs trading); Do & Faff 2010 FAJ (same-industry pairs work best)		US stocks−19.5 pts/yr1,933 rebalances1.0001.000On-site receipt
Full test: Pairs Trading
Volume-conditioned index autocorrelation: reverse high-volume moves, extend low-volume moves, 13 equity ETFs (Campbell-Grossman-Wang) receipt
Source: c1031/acad4		ETFs−20.4 pts/yr11,950 trades1.0001.000On-site receipt
Three-sigma idiosyncratic down-shock rebound receipt
Source: Savor 2012 JFE ('Stock returns after major price shocks: the impact of information'); Chan 2003 JFE (no-news reversals)		US stocks−21.2 pts/yr1,447 rebalances1.0001.000On-site receipt
Earnings-day realized-volatility mean reversion (keyless proxy) (wide US stocks) receipt
Source: De Bondt & Thaler (1985) Journal of Finance		US stocks−21.3 pts/yr1,286 rebalances1.0001.000On-site receipt
Earnings-day realized-volatility mean reversion (keyless proxy) receipt
Source: De Bondt & Thaler (1985) Journal of Finance		US stocks−21.6 pts/yr545 rebalances1.0001.000On-site receipt
Connors RSI(2) pullback on BTC daily receipt
Source: Connors & Alvarez 2008, Short Term Trading Strategies That Work		crypto−43.2 pts/yr60 trades1.0001.000On-site receipt
Full test: RSI(2) Mean Reversion
Fibonacci weekly pivot S2 reversion: buy a close at or below P - 0.618*range of last week, sell at P receipt
Source: c1031/retailta		crypto−48.9 pts/yr1,036 trades1.0001.000On-site receipt
Alt/BTC ratio z-score reversion, long-short receipt
Source: c1022/crypto		crypto−50.0 pts/yr172 rebalances1.0001.000On-site receipt
Three red days above the 200-day on crypto: buy after three consecutive down closes, sell on the first up close receipt
Source: c1023/pop		crypto−50.9 pts/yr859 trades1.0001.000On-site receipt
Weekly reversal among coins with abnormal volume receipt
Source: Bianchi, Babiak & Dickerson 2022 JBF ('Trading volume and liquidity provision in cryptocurrency markets')		crypto−53.0 pts/yr312 rebalances1.0001.000On-site receipt
Conditioned crypto crash rebound: drop <= -15%, relative loss <= -10%, liquid half receipt
Source: Fehle & Zdorovtsov via SSRN top-20 #13		crypto−55.2 pts/yr12 rebalances1.0001.000On-site receipt
Bullish/bearish engulfing candle reversal receipt
Source: r/Daytrading candlestick threads, TradingView engulfing-pattern scripts		crypto−57.9 pts/yr226 trades1.0001.000On-site receipt
Full test: Candlestick Patterns
Funding reset after a leverage washout receipt
Source: Schmeling, Schrimpf & Todorov 2023 (funding spikes precede crashes); CryptoQuant/Glassnode 'funding reset' deleveraging commentary		crypto−59.8 pts/yr96 trades1.0001.000On-site receipt
Full test: Funding Rate and Open Interest
Bollinger mean-reversion gated by HMM regime (combined ML overlay) receipt
Source: Ang & Bekaert (2002) Review of Financial Studies; Bollinger Bands (John Bollinger)		crypto−61.9 pts/yr496 trades1.0001.000On-site receipt
Tweezer bottom at a 20-day low receipt
Source: c1022/retail		crypto−62.4 pts/yr44 trades1.0001.000On-site receipt
RSI(3) oversold dip bought only in fear receipt
Source: c1031/cryptoderiv		crypto−62.6 pts/yr724 trades1.0001.000On-site receipt
Percent envelope (SMA20, 10%) lower-band buy receipt
Source: c1022/retail		crypto−62.7 pts/yr689 trades1.0001.000On-site receipt
Buy the dip in a bull market: 10% off the 20-day high while above the 200-day SMA, exit on a new 20-day high or trend break (crypto) receipt
Source: c1023/pop		crypto−64.3 pts/yr759 trades1.0001.000On-site receipt
Funding z-score reversion gated to low realised volatility receipt
Source: c1022/crypto		crypto−66.1 pts/yr405 trades1.0001.000On-site receipt
Fade volume-confirmed one-day pumps receipt
Source: Li, Shin & Wang 2021 'Cryptocurrency pump-and-dump schemes' (SSRN); Hamrick et al. 2021 (pump signals and reversals)		crypto−68.4 pts/yr103 trades1.0001.000On-site receipt
Bipower-detected daily price jumps fade over three days receipt
Source: Barndorff-Nielsen & Shephard 2004 J. Fin. Econometrics (bipower variation jump test); Scaillet, Treccani & Trevisan 2020 J. Fin. Econometrics (high-frequency jumps in Bitcoin)		crypto−68.9 pts/yr331 trades1.0001.000On-site receipt
Single extreme funding print fade (both sides) receipt
Source: c1022/crypto		crypto−70.8 pts/yr368 trades1.0001.000On-site receipt
Grid-bot exposure around the 50-day SMA (Pionex/3Commas style) receipt
Source: c1022/retail		crypto−71.4 pts/yr2,532 rebalances1.0001.000On-site receipt
Weekend move reversal on Monday-Wednesday receipt
Source: c1022/crypto		crypto−73.3 pts/yr2,555 trades1.0001.000On-site receipt
Connors RSI(2) < 10 above the 200 EMA on hourly crypto, exit RSI(2) > 65 receipt
Source: c1023/pop		crypto−74.5 pts/yr8,989 trades1.0001.000On-site receipt
24h long-liquidation bottom: price and open interest both drop, buy receipt
Source: c1031/cryptoderiv		crypto−79.4 pts/yr1,615 trades1.0001.000On-site receipt
RSI(3) overbought spike shorted only in greed receipt
Source: c1031/cryptoderiv		crypto−79.8 pts/yr440 trades1.0001.000On-site receipt
Weekend-to-weekday volume ratio as a retail-participation fade receipt
Source: c1022/crypto		crypto−80.3 pts/yr717 trades1.0001.000On-site receipt
Saturday move fade into Sunday receipt
Source: c1031/intraday		crypto−81.4 pts/yr149 trades1.0001.000On-site receipt
Hourly oversold bounce when funding is non-positive receipt
Source: c1031/cryptoderiv		crypto−82.5 pts/yr457 trades1.0001.000On-site receipt
Open-interest flush bounce (forced deleveraging reversal) receipt
Source: Brunnermeier & Pedersen 2009 RFS (liquidity spirals / forced selling reverts); Glassnode & Kaiko OI-flush research notes		crypto−83.3 pts/yr275 trades1.0001.000On-site receipt
UTC daily-close spike fade receipt
Source: c1031/intraday		crypto−84.3 pts/yr399 trades1.0001.000On-site receipt
Hourly RSI 30 reclaim above the 200 EMA (crypto) receipt
Source: c1022/retail		crypto−84.9 pts/yr381 trades1.0001.000On-site receipt
Short leveraged longs piling into a stalled price receipt
Source: Schmeling, Schrimpf & Todorov 2023 (high funding = crowded longs, crash risk); He, Manela, Ross & von Wachter 2022		crypto−85.0 pts/yr22 trades1.0001.000On-site receipt
Open interest shrinking while price breaks a 10-day high receipt
Source: c1031/cryptoderiv		crypto−85.2 pts/yr26 trades1.0001.000On-site receipt
Orderly deleveraging: OI down sharply while price holds receipt
Source: c1022/crypto		crypto−85.7 pts/yr164 trades1.0001.000On-site receipt
Weekend OI build on a flat price, fade on Monday receipt
Source: c1022/crypto		crypto−86.4 pts/yr73 trades1.0001.000On-site receipt
Bollinger(48, 2.5) reversion against the 14-day trend receipt
Source: c1031/intraday		crypto−86.5 pts/yr1,326 trades1.0001.000On-site receipt
Liquidation cascade mean-reversion receipt
Source: CryptoQuant/Glassnode liquidation research notes		crypto−89.1 pts/yr905 trades1.0001.000On-site receipt
Hourly crypto RSI(14) dip buys only in calm equity vol receipt
Source: c1022/macro		crypto−89.8 pts/yr3,034 trades1.0001.000On-site receipt
Three-day BTC-residual reversal among alts receipt
Source: Blitz, Huij, Lansdorp & Verbeek 2013 JFM (short-term residual reversal), with BTC as the market factor		crypto−90.7 pts/yr2,092 rebalances1.0001.000On-site receipt
US cash-open hour spike fade receipt
Source: c1031/intraday		crypto−91.8 pts/yr1,111 trades1.0001.000On-site receipt
Short-squeeze exhaustion: price up on falling OI, fade it receipt
Source: c1022/crypto		crypto−94.4 pts/yr1,371 trades1.0001.000On-site receipt
Pin bar rejection at a 168-hour extreme receipt
Source: c1031/intraday		crypto−96.3 pts/yr2,123 trades1.0001.000On-site receipt
US-session extreme move reversed into the Asia session receipt
Source: c1031/intraday		crypto−96.8 pts/yr1,072 trades1.0001.000On-site receipt
Dalton 80% rule: re-entry into the prior-day value area receipt
Source: c1031/intraday		crypto−97.1 pts/yr3,409 trades1.0001.000On-site receipt
Hourly bullish RSI divergence receipt
Source: Wilder 1978 'New Concepts in Technical Trading Systems' (RSI divergence); Murphy 1999 'Technical Analysis of the Financial Markets'		crypto−98.1 pts/yr3,602 trades1.0001.000On-site receipt
Full test: RSI Trading Strategy
Full test: RSI Divergence
Quiet-hours Bollinger reversion in the Asia session receipt
Source: c1031/intraday		crypto−98.3 pts/yr4,528 trades1.0001.000On-site receipt
CCI(20) extreme reversal (±200) receipt
Source: YouTube 'CCI indicator secret strategy' videos		crypto−98.8 pts/yr1,064 trades1.0001.000On-site receipt
Full test: Stochastic, CCI and Williams %R
Six consecutive hourly closes in one direction: fade receipt
Source: c1031/intraday		crypto−99.7 pts/yr4,264 trades1.0001.000On-site receipt
Fade six-hour moves made on below-average volume receipt
Source: Granville 1963 (volume confirms price); Campbell, Grossman & Wang 1993 QJE (volume and serial correlation) as the competing view		crypto−103.7 pts/yr8,024 trades1.0001.000On-site receipt
Cross-sectional reversal, crypto universe, weekly receipt
Source: Liu & Tsyvinski 2021 JF 'Risks and Returns of Cryptocurrency' (extrapolated to reversal)		crypto−104.1 pts/yr351 rebalances1.0001.000On-site receipt
Turtle Soup: failed breakdown of the 120-bar extreme receipt
Source: c1031/intraday		crypto−106.8 pts/yr4,078 trades1.0001.000On-site receipt
Williams %R overbought/oversold reversal receipt
Source: r/Daytrading and TikTok Williams %R strategy posts		crypto−107.9 pts/yr2,973 trades1.0001.000On-site receipt
Full test: Stochastic, CCI and Williams %R
CME-gap fill: trade back toward the Friday 21:00 UTC close receipt
Source: c1022/crypto		crypto−109.3 pts/yr2,201 trades1.0001.000On-site receipt
24-hour realized skewness reversal receipt
Source: Amaya, Christoffersen, Jacobs & Vasquez 2015 JFE (realized skewness negatively predicts returns), applied as a time-series signal		crypto−126.8 pts/yr7,975 trades1.0001.000On-site receipt
Camarilla L3 bounce with L4 stop (Ochoa) receipt
Source: c1022/retail		crypto−131.0 pts/yr16,089 trades1.0001.000On-site receipt
VWAP mean-reversion bounce (intraday) receipt
Source: YouTube/TikTok day-trading content		crypto−134.5 pts/yr16,833 trades1.0001.000On-site receipt
Full test: VWAP Bounce
Classic daily pivot point support/resistance bounce receipt
Source: r/Daytrading pivot point threads, YouTube 'pivot point strategy' videos		crypto−160.1 pts/yr27,041 trades1.0001.000On-site receipt
Full test: Support and Resistance
Volume-conditioned hourly autocorrelation in crypto: fade high-volume 1.5-sigma hours, follow low-volume ones (Campbell-Grossman-Wang transfer) receipt
Source: c1031/acad4		crypto−164.3 pts/yr43,410 trades1.0001.000On-site receipt
  • TLT and IEF below their yield-implied fair value: rolling 252-day regression residual z-score of -1 or lower

    ETFs · +4.7 pts/yr · 180 trades · corrected q 0.867

    Source, p-value and result file
    Source
    c1031/macro
    p-value
    0.044
    Corrected q
    0.867
  • Credit ETF reversion after spread-widening underperformance

    ETFs · +2.3 pts/yr · 820 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Prigent, Renault & Scaillet 2001 (mean reversion in credit spreads); Collin-Dufresne, Goldstein & Martin 2001 JF
    p-value
    0.119
    Corrected q
    1.000
  • Treasury butterfly (IEF vs SHY/TLT wings) mean reversion

    ETFs · +2.3 pts/yr · 602 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Litterman & Scheinkman 1991 J. Fixed Income (curvature factor); relative-value butterfly practice (Tuckman & Serrat 2011)
    p-value
    0.178
    Corrected q
    1.000
  • Buy Treasuries after a 5-day real-yield spike

    ETFs · +1.9 pts/yr · 48 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/macro
    p-value
    0.260
    Corrected q
    1.000
  • Intraday-return reversal: long the lowest cumulative open-to-close return over the past month (Lou-Polk-Skouras)

    US stocks · −1.1 pts/yr · 101 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    1.000
    Corrected q
    1.000
  • Cross-sectional IBS reversal: the 8 large caps that closed nearest their lows on average over the past 5 sessions, weekly

    US stocks · −1.8 pts/yr · 437 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/stockxs
    p-value
    1.000
    Corrected q
    1.000
  • Sector long-term reversal: hold the 3 of 11 sector ETFs with the worst 36-to-1-month return, monthly (De Bondt-Thaler; AMP value)

    ETFs · −2.1 pts/yr · 66 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1024/acad3
    p-value
    1.000
    Corrected q
    1.000
  • Pairs-trading divergence, long leg only (wide US stocks)

    US stocks · −2.2 pts/yr · 102 rebalances · corrected q 1.000

    Full test: Pairs Trading

    Source, p-value and result file
    Source
    Gatev, Goetzmann & Rouwenhorst 2006 RFS 'Pairs trading' (minimum-distance matching); Do & Faff 2010 FAJ. Long leg only
    p-value
    1.000
    Corrected q
    1.000
  • Stretched below the 21-session VWAP band (wide US stocks)

    US stocks · −2.4 pts/yr · 443 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    u/Square-Middle-4474, r/Trading 1wop3th (anchored VWAP with standard-deviation bands, used with skill); Berkowitz, Logue & Noser 1988 JF (VWAP); Lehmann 1990. A discretionary anchor can't be tested, so the anchor is fixed 21 sessions back
    p-value
    1.000
    Corrected q
    1.000
  • Relative-price dip in an uptrend: buy the 3 sectors most oversold versus the sector average (60-day z-score) that are above their 200-day SMA, weekly

    ETFs · −3.1 pts/yr · 356 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/etfxs
    p-value
    1.000
    Corrected q
    1.000
  • Weekly within-industry reversal (wide US stocks)

    US stocks · −3.5 pts/yr · 443 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Da, Liu & Schaumburg 2014 Management Science 'A closer look at the short-term return reversal' (weekly reversal is a within-industry effect); Lehmann 1990 QJE
    p-value
    1.000
    Corrected q
    1.000
  • Long-term reversal: buy the bottom quintile by 36-to-13-month-ago return (De Bondt-Thaler)

    US stocks · −3.6 pts/yr · 66 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    1.000
    Corrected q
    1.000
  • Buy the 10% correction in equity ETFs, sell at the next 1-year high

    ETFs · −3.7 pts/yr · 100 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • Cross-asset long-term reversal (value proxy)

    ETFs · −4.0 pts/yr · 66 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    De Bondt & Thaler 1985 JF; Asness, Moskowitz & Pedersen 2013 JF (5-year reversal as value everywhere)
    p-value
    1.000
    Corrected q
    1.000
  • Down-streak reversal: buy up to 5 large caps that have closed lower for at least 3 days in a row, daily

    US stocks · −4.3 pts/yr · 1,704 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/stockxs
    p-value
    1.000
    Corrected q
    1.000
  • Connors %b strategy: Bollinger %b < 0.2 three days running above the 200-day, exit %b > 0.8 (ETFs)

    ETFs · −4.5 pts/yr · 467 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • Internal Bar Strength (IBS) daily reversion, single asset

    ETFs · −4.7 pts/yr · 557 trades · corrected q 1.000

    Full test: IBS Mean Reversion

    Source, p-value and result file
    Source
    Connors & Alvarez 'Short Term Trading Strategies That Work'; Quantpedia IBS writeup
    p-value
    1.000
    Corrected q
    1.000
  • IBS mean reversion, ETF universe, 2x ATR intrabar (low-touch) stop

    ETFs · −5.3 pts/yr · 6,709 trades · corrected q 1.000

    Source, p-value and result file
    Source
    none published (Tickfloor research-desk test)
    p-value
    1.000
    Corrected q
    1.000
  • IBS mean reversion, ETF universe, no stop (matched control arm)

    ETFs · −5.4 pts/yr · 6,590 trades · corrected q 1.000

    Source, p-value and result file
    Source
    none published (Tickfloor research-desk test)
    p-value
    1.000
    Corrected q
    1.000
  • Cumulative RSI(2) (Connors): two-day RSI(2) sum below 35 above the 200-day SMA

    ETFs · −5.6 pts/yr · 1,493 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/retailta
    p-value
    1.000
    Corrected q
    1.000
  • Bollinger lower-band MR on ETFs, no stop (matched control)

    ETFs · −5.6 pts/yr · 515 trades · corrected q 1.000

    Full test: Bollinger Band Bounce

    Source, p-value and result file
    Source
    none published (Tickfloor research-desk test)
    p-value
    1.000
    Corrected q
    1.000
  • Long-horizon intraday reversal: the 8 large caps with the lowest cumulative open-to-close return over 12-1 months, monthly

    US stocks · −5.6 pts/yr · 89 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/stockxs
    p-value
    1.000
    Corrected q
    1.000
  • Linear regression channel: buy the -2 sigma line in a rising channel

    ETFs · −5.8 pts/yr · 518 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Bollinger lower-band MR on ETFs with a 2.5xATR close-based stop

    ETFs · −5.8 pts/yr · 534 trades · corrected q 1.000

    Source, p-value and result file
    Source
    none published (Tickfloor research-desk test)
    p-value
    1.000
    Corrected q
    1.000
  • Variance-ratio reversal: among large caps whose 5-day variance ratio is below one, buy the 8 with the weakest last 5 days, weekly

    US stocks · −6.5 pts/yr · 385 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/stockxs
    p-value
    1.000
    Corrected q
    1.000
  • Precious metals below their real-yield fair value

    ETFs · −6.7 pts/yr · 29 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Erb & Harvey 2013 FAJ ('The golden dilemma': gold vs real yields)
    p-value
    1.000
    Corrected q
    1.000
  • TD Sequential setup-9 exhaustion

    ETFs · −6.7 pts/yr · 1,742 trades · corrected q 1.000

    Source, p-value and result file
    Source
    DeMark 1994 'The New Science of Technical Analysis' (TD Sequential setup)
    p-value
    1.000
    Corrected q
    1.000
  • Keltner channel pullback buy in an uptrend (Raschke-style)

    ETFs · −6.7 pts/yr · 300 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Control: 20d relative-gap reversion on fixed ETF pairs, no correlation condition

    ETFs · −7.0 pts/yr · 1,326 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    none published (Tickfloor research-desk test)
    p-value
    1.000
    Corrected q
    1.000
  • Bollinger lower-band dip gated by ADX < 20 (range-only mean reversion)

    ETFs · −7.1 pts/yr · 680 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Correlation-breakdown re-convergence on fixed ETF pairs

    ETFs · −7.1 pts/yr · 50 rebalances · corrected q 1.000

    Full test: Pairs Trading

    Source, p-value and result file
    Source
    Correlation-breakdown variant of Gatev/Goetzmann/Rouwenhorst 2006 pairs trading
    p-value
    1.000
    Corrected q
    1.000
  • RSI 30 dip only in a ranging market (ADX < 20 gate)

    ETFs · −7.3 pts/yr · 101 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Confirmed dip buy: 7% off the 63-day high while the VIX curve is inverted, 15-bar hold

    ETFs · −7.3 pts/yr · 81 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/macro
    p-value
    1.000
    Corrected q
    1.000
  • Turtle Soup: failed 20-day breakdown recovered the same day

    ETFs · −7.4 pts/yr · 687 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Raschke & Connors 1995 'Street Smarts' (Turtle Soup)
    p-value
    1.000
    Corrected q
    1.000
  • Volume-conditioned weekly reversal: last-week losers only when the week's volume was high (Conrad-Hameed-Niden)

    US stocks · −7.4 pts/yr · 429 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    1.000
    Corrected q
    1.000
  • Sector ETF one-month residual reversal vs QQQ

    ETFs · −8.1 pts/yr · 391 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Blitz, Huij, Lansdorp & Verbeek 2013 JFM (short-term residual reversal), applied to sector ETFs
    p-value
    1.000
    Corrected q
    1.000
  • Williams VIX Fix spike on equity ETFs

    ETFs · −8.3 pts/yr · 831 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Larry Williams 2007 Active Trader ('The VIX Fix')
    p-value
    1.000
    Corrected q
    1.000
  • Macro-driver pullback buying: RSI(5) under 30 in XLE, XLU, XLF or GLD only when its own macro driver is in a supportive 100-day trend

    ETFs · −8.3 pts/yr · 220 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/macro
    p-value
    1.000
    Corrected q
    1.000
  • Three red days above the 200-day: buy after three consecutive down closes, sell on the first up close (equity ETFs)

    ETFs · −9.2 pts/yr · 932 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • Pullback in an uptrend: among large caps above their 200-day mean, buy the 8 with the weakest last 5 days, weekly

    US stocks · −9.6 pts/yr · 396 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/stockxs
    p-value
    1.000
    Corrected q
    1.000
  • Overnight gap fade on equity index ETF (QQQ/DIA proxy)

    ETFs · −9.9 pts/yr · 303 trades · corrected q 1.000

    Full test: Overnight Gap Fade

    Source, p-value and result file
    Source
    Connors gap-trading research; Quantpedia 'Overnight Gap Reversal'
    p-value
    1.000
    Corrected q
    1.000
  • Connors-style VIX stretch: buy when VIX closes 10% above its 10-day average in an index uptrend, exit above the 5-day average

    ETFs · −10.3 pts/yr · 219 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/macro
    p-value
    1.000
    Corrected q
    1.000
  • Internal Bar Strength (IBS) daily reversion, single asset (wide US stocks)

    US stocks · −10.5 pts/yr · 42,151 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Connors & Alvarez 'Short Term Trading Strategies That Work'; Quantpedia IBS writeup
    p-value
    1.000
    Corrected q
    1.000
  • Connors RSI(2) buys on ETFs only during VIX backwardation

    ETFs · −11.2 pts/yr · 39 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/macro
    p-value
    1.000
    Corrected q
    1.000
  • Crypto long-term reversal: bottom 6 by 52-week return skipping the last 4 weeks, weekly

    crypto · −12.4 pts/yr · 326 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    1.000
    Corrected q
    1.000
  • Bollinger mean-reversion gated by HMM regime (combined ML overlay) (wide US stocks)

    US stocks · −12.4 pts/yr · 4,278 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Ang & Bekaert (2002) Review of Financial Studies; Bollinger Bands (John Bollinger)
    p-value
    1.000
    Corrected q
    1.000
  • Overnight gap fade on equity index ETF (QQQ/DIA proxy) (wide US stocks)

    US stocks · −12.5 pts/yr · 29,448 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Connors gap-trading research; Quantpedia 'Overnight Gap Reversal'
    p-value
    1.000
    Corrected q
    1.000
  • 'Gaps get filled': buy an unfilled 1%+ down gap at the close, exit when the pre-gap close is reclaimed or after 10 bars

    US stocks · −12.6 pts/yr · 3,007 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • Wyckoff spring: undercut of the 30-day low on sub-1.5x volume, close back inside within 3 bars, target the range top

    US stocks · −12.6 pts/yr · 1,780 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • Connors TPS (Time-Price-Sequence) triple pullback (wide US stocks)

    US stocks · −13.0 pts/yr · 26,969 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Larry Connors TPS strategy
    p-value
    1.000
    Corrected q
    1.000
  • Connors RSI(2) pullback on BTC daily (wide US stocks)

    US stocks · −13.2 pts/yr · 8,481 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Connors & Alvarez 2008, Short Term Trading Strategies That Work
    p-value
    1.000
    Corrected q
    1.000
  • Bottom fishing: buy a new 52-week closing low, hold 60 bars

    US stocks · −13.6 pts/yr · 186 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • Bullish Gartley harmonic (0.618 B, 0.786 D) on fractal pivots

    US stocks · −14.1 pts/yr · 83 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Cross-sectional reversal, crypto universe, weekly (wide US stocks)

    US stocks · −14.1 pts/yr · 442 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Liu & Tsyvinski 2021 JF 'Risks and Returns of Cryptocurrency' (extrapolated to reversal)
    p-value
    1.000
    Corrected q
    1.000
  • One-day drop reversal: buy after a close-to-close fall of 7% or more, 5-bar hold, wide US stocks

    US stocks · −14.2 pts/yr · 1,524 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/acad4
    p-value
    1.000
    Corrected q
    1.000
  • Fade large no-news moves: short or buy 5%+ one-day moves that came on under 1.5x normal volume, hold 10 sessions (Chan)

    US stocks · −14.2 pts/yr · 2,709 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/acad4
    p-value
    1.000
    Corrected q
    1.000
  • Death cross as a contrarian buy: long the day the 50-day crosses below the 200-day, hold 60 bars

    US stocks · −14.3 pts/yr · 225 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • Failed-gap carryover (intraday sign overrides overnight gap sign)

    ETFs · −14.7 pts/yr · 1,941 trades · corrected q 1.000

    Source, p-value and result file
    Source
    none published (Tickfloor research-desk test)
    p-value
    1.000
    Corrected q
    1.000
  • Anchored VWAP from the 52-week high: reclaim buy

    US stocks · −15.2 pts/yr · 2,844 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Connors TPS (Time-Price-Sequence) triple pullback

    US stocks · −15.5 pts/yr · 6,695 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Larry Connors TPS strategy
    p-value
    1.000
    Corrected q
    1.000
  • Hikkake bullish (failed inside-bar breakdown)

    US stocks · −15.9 pts/yr · 1,117 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Bollinger %b below 0.05 confirmed by MFI(10) below 20 (Bollinger's own indicator pairing)

    US stocks · −15.9 pts/yr · 582 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/retailta
    p-value
    1.000
    Corrected q
    1.000
  • MACD histogram uptick below zero (Elder)

    US stocks · −16.0 pts/yr · 4,969 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Bollinger lower band + Stochastic cross-up (classic combo)

    US stocks · −16.2 pts/yr · 773 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • RSI(2) pullbacks on 40 large caps, allowed only while VIX sits between 15 and 30

    US stocks · −16.2 pts/yr · 1,404 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/macro
    p-value
    1.000
    Corrected q
    1.000
  • RSI failure swing bottom (Wilder 1978)

    US stocks · −16.2 pts/yr · 488 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • ConnorsRSI < 10 above the 200-day SMA

    US stocks · −16.5 pts/yr · 616 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Keltner channel lower-band reversal: re-entry through the lower band after a close below it

    US stocks · −16.5 pts/yr · 1,075 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/retailta
    p-value
    1.000
    Corrected q
    1.000
  • Crypto intermediate-horizon reversal: long the 6 worst coins by their week-2-to-week-8 return, weekly (Jia-Goodell-Shen)

    crypto · −16.7 pts/yr · 369 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/acad2
    p-value
    1.000
    Corrected q
    1.000
  • STARC bands (Stoller): buy a close below SMA(6) minus 2 ATR(15), exit at the SMA(6)

    US stocks · −16.7 pts/yr · 683 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/retailta
    p-value
    1.000
    Corrected q
    1.000
  • Larry Williams bearish 'Smash Day' reversal buy, 3-day hold

    US stocks · −16.9 pts/yr · 3,051 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • Piercing line after a 5-day decline

    US stocks · −17.4 pts/yr · 329 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Bollinger W-bottom (Bollinger's own setup)

    US stocks · −17.5 pts/yr · 204 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • 200-day EMA touch-and-hold in an established uptrend

    US stocks · −17.7 pts/yr · 378 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Stochastic bullish divergence (price lower low, %K higher low)

    US stocks · −17.7 pts/yr · 96 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Larry Williams 'Oops!' gap-down reversal, 2-day hold

    US stocks · −18.0 pts/yr · 3,892 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • Williams %R overbought/oversold reversal (wide US stocks)

    US stocks · −18.1 pts/yr · 29,859 trades · corrected q 1.000

    Source, p-value and result file
    Source
    r/Daytrading and TikTok Williams %R strategy posts
    p-value
    1.000
    Corrected q
    1.000
  • Raschke 80-20 (Wilder) reversal

    US stocks · −18.3 pts/yr · 417 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Linda Raschke / Wilder 80-20 rule
    p-value
    1.000
    Corrected q
    1.000
  • Raschke 80-20 (Wilder) reversal (wide US stocks)

    US stocks · −18.3 pts/yr · 417 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Linda Raschke / Wilder 80-20 rule
    p-value
    1.000
    Corrected q
    1.000
  • VSA stopping volume (ultra-high volume down bar closing in the upper half)

    US stocks · −18.3 pts/yr · 191 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • CCI(20) extreme reversal (±200) (wide US stocks)

    US stocks · −19.2 pts/yr · 2,081 trades · corrected q 1.000

    Source, p-value and result file
    Source
    YouTube 'CCI indicator secret strategy' videos
    p-value
    1.000
    Corrected q
    1.000
  • Volatility-conditioned index autocorrelation: continue moves in calm regimes, reverse them in turbulent regimes, 13 equity ETFs (Sentana-Wadhwani)

    ETFs · −19.4 pts/yr · 10,973 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/acad4
    p-value
    1.000
    Corrected q
    1.000
  • Fixed same-industry pairs, 60-day z-score reversion

    US stocks · −19.5 pts/yr · 1,933 rebalances · corrected q 1.000

    Full test: Pairs Trading

    Source, p-value and result file
    Source
    Gatev, Goetzmann & Rouwenhorst 2006 RFS (pairs trading); Do & Faff 2010 FAJ (same-industry pairs work best)
    p-value
    1.000
    Corrected q
    1.000
  • Volume-conditioned index autocorrelation: reverse high-volume moves, extend low-volume moves, 13 equity ETFs (Campbell-Grossman-Wang)

    ETFs · −20.4 pts/yr · 11,950 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/acad4
    p-value
    1.000
    Corrected q
    1.000
  • Three-sigma idiosyncratic down-shock rebound

    US stocks · −21.2 pts/yr · 1,447 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Savor 2012 JFE ('Stock returns after major price shocks: the impact of information'); Chan 2003 JFE (no-news reversals)
    p-value
    1.000
    Corrected q
    1.000
  • Earnings-day realized-volatility mean reversion (keyless proxy) (wide US stocks)

    US stocks · −21.3 pts/yr · 1,286 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    De Bondt & Thaler (1985) Journal of Finance
    p-value
    1.000
    Corrected q
    1.000
  • Earnings-day realized-volatility mean reversion (keyless proxy)

    US stocks · −21.6 pts/yr · 545 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    De Bondt & Thaler (1985) Journal of Finance
    p-value
    1.000
    Corrected q
    1.000
  • Connors RSI(2) pullback on BTC daily

    crypto · −43.2 pts/yr · 60 trades · corrected q 1.000

    Full test: RSI(2) Mean Reversion

    Source, p-value and result file
    Source
    Connors & Alvarez 2008, Short Term Trading Strategies That Work
    p-value
    1.000
    Corrected q
    1.000
  • Fibonacci weekly pivot S2 reversion: buy a close at or below P - 0.618*range of last week, sell at P

    crypto · −48.9 pts/yr · 1,036 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/retailta
    p-value
    1.000
    Corrected q
    1.000
  • Alt/BTC ratio z-score reversion, long-short

    crypto · −50.0 pts/yr · 172 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • Three red days above the 200-day on crypto: buy after three consecutive down closes, sell on the first up close

    crypto · −50.9 pts/yr · 859 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • Weekly reversal among coins with abnormal volume

    crypto · −53.0 pts/yr · 312 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Bianchi, Babiak & Dickerson 2022 JBF ('Trading volume and liquidity provision in cryptocurrency markets')
    p-value
    1.000
    Corrected q
    1.000
  • Conditioned crypto crash rebound: drop <= -15%, relative loss <= -10%, liquid half

    crypto · −55.2 pts/yr · 12 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Fehle & Zdorovtsov via SSRN top-20 #13
    p-value
    1.000
    Corrected q
    1.000
  • Bullish/bearish engulfing candle reversal

    crypto · −57.9 pts/yr · 226 trades · corrected q 1.000

    Full test: Candlestick Patterns

    Source, p-value and result file
    Source
    r/Daytrading candlestick threads, TradingView engulfing-pattern scripts
    p-value
    1.000
    Corrected q
    1.000
  • Funding reset after a leverage washout

    crypto · −59.8 pts/yr · 96 trades · corrected q 1.000

    Full test: Funding Rate and Open Interest

    Source, p-value and result file
    Source
    Schmeling, Schrimpf & Todorov 2023 (funding spikes precede crashes); CryptoQuant/Glassnode 'funding reset' deleveraging commentary
    p-value
    1.000
    Corrected q
    1.000
  • Bollinger mean-reversion gated by HMM regime (combined ML overlay)

    crypto · −61.9 pts/yr · 496 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Ang & Bekaert (2002) Review of Financial Studies; Bollinger Bands (John Bollinger)
    p-value
    1.000
    Corrected q
    1.000
  • Tweezer bottom at a 20-day low

    crypto · −62.4 pts/yr · 44 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • RSI(3) oversold dip bought only in fear

    crypto · −62.6 pts/yr · 724 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/cryptoderiv
    p-value
    1.000
    Corrected q
    1.000
  • Percent envelope (SMA20, 10%) lower-band buy

    crypto · −62.7 pts/yr · 689 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Buy the dip in a bull market: 10% off the 20-day high while above the 200-day SMA, exit on a new 20-day high or trend break (crypto)

    crypto · −64.3 pts/yr · 759 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • Funding z-score reversion gated to low realised volatility

    crypto · −66.1 pts/yr · 405 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • Fade volume-confirmed one-day pumps

    crypto · −68.4 pts/yr · 103 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Li, Shin & Wang 2021 'Cryptocurrency pump-and-dump schemes' (SSRN); Hamrick et al. 2021 (pump signals and reversals)
    p-value
    1.000
    Corrected q
    1.000
  • Bipower-detected daily price jumps fade over three days

    crypto · −68.9 pts/yr · 331 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Barndorff-Nielsen & Shephard 2004 J. Fin. Econometrics (bipower variation jump test); Scaillet, Treccani & Trevisan 2020 J. Fin. Econometrics (high-frequency jumps in Bitcoin)
    p-value
    1.000
    Corrected q
    1.000
  • Single extreme funding print fade (both sides)

    crypto · −70.8 pts/yr · 368 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • Grid-bot exposure around the 50-day SMA (Pionex/3Commas style)

    crypto · −71.4 pts/yr · 2,532 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Weekend move reversal on Monday-Wednesday

    crypto · −73.3 pts/yr · 2,555 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • Connors RSI(2) < 10 above the 200 EMA on hourly crypto, exit RSI(2) > 65

    crypto · −74.5 pts/yr · 8,989 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • 24h long-liquidation bottom: price and open interest both drop, buy

    crypto · −79.4 pts/yr · 1,615 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/cryptoderiv
    p-value
    1.000
    Corrected q
    1.000
  • RSI(3) overbought spike shorted only in greed

    crypto · −79.8 pts/yr · 440 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/cryptoderiv
    p-value
    1.000
    Corrected q
    1.000
  • Weekend-to-weekday volume ratio as a retail-participation fade

    crypto · −80.3 pts/yr · 717 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • Saturday move fade into Sunday

    crypto · −81.4 pts/yr · 149 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/intraday
    p-value
    1.000
    Corrected q
    1.000
  • Hourly oversold bounce when funding is non-positive

    crypto · −82.5 pts/yr · 457 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/cryptoderiv
    p-value
    1.000
    Corrected q
    1.000
  • Open-interest flush bounce (forced deleveraging reversal)

    crypto · −83.3 pts/yr · 275 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Brunnermeier & Pedersen 2009 RFS (liquidity spirals / forced selling reverts); Glassnode & Kaiko OI-flush research notes
    p-value
    1.000
    Corrected q
    1.000
  • UTC daily-close spike fade

    crypto · −84.3 pts/yr · 399 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/intraday
    p-value
    1.000
    Corrected q
    1.000
  • Hourly RSI 30 reclaim above the 200 EMA (crypto)

    crypto · −84.9 pts/yr · 381 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Short leveraged longs piling into a stalled price

    crypto · −85.0 pts/yr · 22 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Schmeling, Schrimpf & Todorov 2023 (high funding = crowded longs, crash risk); He, Manela, Ross & von Wachter 2022
    p-value
    1.000
    Corrected q
    1.000
  • Open interest shrinking while price breaks a 10-day high

    crypto · −85.2 pts/yr · 26 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/cryptoderiv
    p-value
    1.000
    Corrected q
    1.000
  • Orderly deleveraging: OI down sharply while price holds

    crypto · −85.7 pts/yr · 164 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • Weekend OI build on a flat price, fade on Monday

    crypto · −86.4 pts/yr · 73 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • Bollinger(48, 2.5) reversion against the 14-day trend

    crypto · −86.5 pts/yr · 1,326 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/intraday
    p-value
    1.000
    Corrected q
    1.000
  • Liquidation cascade mean-reversion

    crypto · −89.1 pts/yr · 905 trades · corrected q 1.000

    Source, p-value and result file
    Source
    CryptoQuant/Glassnode liquidation research notes
    p-value
    1.000
    Corrected q
    1.000
  • Hourly crypto RSI(14) dip buys only in calm equity vol

    crypto · −89.8 pts/yr · 3,034 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/macro
    p-value
    1.000
    Corrected q
    1.000
  • Three-day BTC-residual reversal among alts

    crypto · −90.7 pts/yr · 2,092 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Blitz, Huij, Lansdorp & Verbeek 2013 JFM (short-term residual reversal), with BTC as the market factor
    p-value
    1.000
    Corrected q
    1.000
  • US cash-open hour spike fade

    crypto · −91.8 pts/yr · 1,111 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/intraday
    p-value
    1.000
    Corrected q
    1.000
  • Short-squeeze exhaustion: price up on falling OI, fade it

    crypto · −94.4 pts/yr · 1,371 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • Pin bar rejection at a 168-hour extreme

    crypto · −96.3 pts/yr · 2,123 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/intraday
    p-value
    1.000
    Corrected q
    1.000
  • US-session extreme move reversed into the Asia session

    crypto · −96.8 pts/yr · 1,072 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/intraday
    p-value
    1.000
    Corrected q
    1.000
  • Dalton 80% rule: re-entry into the prior-day value area

    crypto · −97.1 pts/yr · 3,409 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/intraday
    p-value
    1.000
    Corrected q
    1.000
  • Hourly bullish RSI divergence

    crypto · −98.1 pts/yr · 3,602 trades · corrected q 1.000

    Full test: RSI Trading Strategy

    Full test: RSI Divergence

    Source, p-value and result file
    Source
    Wilder 1978 'New Concepts in Technical Trading Systems' (RSI divergence); Murphy 1999 'Technical Analysis of the Financial Markets'
    p-value
    1.000
    Corrected q
    1.000
  • Quiet-hours Bollinger reversion in the Asia session

    crypto · −98.3 pts/yr · 4,528 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/intraday
    p-value
    1.000
    Corrected q
    1.000
  • CCI(20) extreme reversal (±200)

    crypto · −98.8 pts/yr · 1,064 trades · corrected q 1.000

    Full test: Stochastic, CCI and Williams %R

    Source, p-value and result file
    Source
    YouTube 'CCI indicator secret strategy' videos
    p-value
    1.000
    Corrected q
    1.000
  • Six consecutive hourly closes in one direction: fade

    crypto · −99.7 pts/yr · 4,264 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/intraday
    p-value
    1.000
    Corrected q
    1.000
  • Fade six-hour moves made on below-average volume

    crypto · −103.7 pts/yr · 8,024 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Granville 1963 (volume confirms price); Campbell, Grossman & Wang 1993 QJE (volume and serial correlation) as the competing view
    p-value
    1.000
    Corrected q
    1.000
  • Cross-sectional reversal, crypto universe, weekly

    crypto · −104.1 pts/yr · 351 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Liu & Tsyvinski 2021 JF 'Risks and Returns of Cryptocurrency' (extrapolated to reversal)
    p-value
    1.000
    Corrected q
    1.000
  • Turtle Soup: failed breakdown of the 120-bar extreme

    crypto · −106.8 pts/yr · 4,078 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/intraday
    p-value
    1.000
    Corrected q
    1.000
  • Williams %R overbought/oversold reversal

    crypto · −107.9 pts/yr · 2,973 trades · corrected q 1.000

    Full test: Stochastic, CCI and Williams %R

    Source, p-value and result file
    Source
    r/Daytrading and TikTok Williams %R strategy posts
    p-value
    1.000
    Corrected q
    1.000
  • CME-gap fill: trade back toward the Friday 21:00 UTC close

    crypto · −109.3 pts/yr · 2,201 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • 24-hour realized skewness reversal

    crypto · −126.8 pts/yr · 7,975 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Amaya, Christoffersen, Jacobs & Vasquez 2015 JFE (realized skewness negatively predicts returns), applied as a time-series signal
    p-value
    1.000
    Corrected q
    1.000
  • Camarilla L3 bounce with L4 stop (Ochoa)

    crypto · −131.0 pts/yr · 16,089 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • VWAP mean-reversion bounce (intraday)

    crypto · −134.5 pts/yr · 16,833 trades · corrected q 1.000

    Full test: VWAP Bounce

    Source, p-value and result file
    Source
    YouTube/TikTok day-trading content
    p-value
    1.000
    Corrected q
    1.000
  • Classic daily pivot point support/resistance bounce

    crypto · −160.1 pts/yr · 27,041 trades · corrected q 1.000

    Full test: Support and Resistance

    Source, p-value and result file
    Source
    r/Daytrading pivot point threads, YouTube 'pivot point strategy' videos
    p-value
    1.000
    Corrected q
    1.000
  • Volume-conditioned hourly autocorrelation in crypto: fade high-volume 1.5-sigma hours, follow low-volume ones (Campbell-Grossman-Wang transfer)

    crypto · −164.3 pts/yr · 43,410 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/acad4
    p-value
    1.000
    Corrected q
    1.000
How to read these results

"Vs benchmark" is the strategy's annualized return minus an equal-weight benchmark, rebalanced daily, on the same assets and days. Strategies are charged trading costs; the benchmark pays none. Ahead is not a confirmed edge: the p-value is the unadjusted chance of a gap this large by luck, and the corrected q allows for how many strategies were tried, because testing hundreds of ideas throws up lucky winners. Every strategy saw only data up to the same cutoff date. The receipt is the frozen result file for that rule.

"Sample" is trades for rules that enter and exit a position, and rebalances for portfolio rules. A rebalance is a scheduled date on which a portfolio rule re-ranks and held at least one position. It is the sample size for portfolio rules. A holdings change is a rebalance where what the portfolio held, or its weights, differed from the previous one. Only these cost money to trade. The two are different counts and are never swapped. Definitions.

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