Tickfloor

Trend following: 194 Backtests

Data last updated

Rules that follow the direction of price, such as moving-average crossovers and channel breakouts.

43 of 194 strategies finished ahead of the benchmark on the raw number, and 13 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
Crypto trend exposure scaled in over 20/50/100-day averages receipt
Source: u/IndependentCause9435, r/ASX_Bets 1wo5lrs (split an entry into several smaller orders); Hurst, Ooi & Pedersen 2017 (graded multi-horizon trend positions); Zarattini, Pagani & Barbon 2025		crypto+26.1 pts/yr2,707 rebalances0.1771.000On-site receipt
Full test: Crypto Trend Following
Crypto 2-of-3 horizon time-series momentum vote receipt
Source: Hurst, Ooi & Pedersen 2017 JPM (1-, 3- and 12-month blend, scaled here to crypto horizons); Liu & Tsyvinski 2021 RFS (TSMOM at 1-8 weeks)		crypto+25.8 pts/yr1,695 trades0.2131.000On-site receipt
Full test: Crypto Trend Following
Crypto 4-week time-series momentum filter receipt
Source: Liu & Tsyvinski 2021 RFS 'Risks and Returns of Cryptocurrency' (time-series momentum at 1-4 week horizons); Moskowitz, Ooi & Pedersen 2012 JFE		crypto+22.8 pts/yr1,557 trades0.2211.000On-site receipt
Full test: Crypto Trend Following
RSI 60/40 range-shift hysteresis (Cardwell) receipt
Source: c1022/retail		crypto+21.7 pts/yr406 trades0.2391.000On-site receipt
Crypto 2-of-3 indicator agreement (momentum, 50-day average, RSI) receipt
Source: u/Stitch426, r/Daytrading 1wnw9xf ('not using the best combo of indicators'); Neely, Rapach, Tu & Zhou 2014 Management Science (combining technical indicators)		crypto+20.8 pts/yr1,509 trades0.2491.000On-site receipt
Relative-strength breakout versus BTC: alts making a 50-day high in their BTC ratio receipt
Source: c1022/crypto		crypto+20.1 pts/yr395 rebalances0.2961.000On-site receipt
Crypto alts only in BTC booms, else BTC only receipt
Source: u/ImNotSelling, r/Trading 1wop3th (specialise in one condition, 'only trading booms'); Liu & Tsyvinski 2021 RFS (BTC time-series momentum); Liu, Tsyvinski & Wu 2022 JF (alts load more than 1 on the crypto market factor)		crypto+18.2 pts/yr395 rebalances0.1541.000On-site receipt
Crypto five-lookback channel-position vote receipt
Source: Zarattini, Pagani & Barbon 2025 SSRN 'Catching Crypto Trends: A Tactical Approach for Bitcoin and Altcoins' (Donchian-channel ensemble over many lookbacks); Hurst, Ooi & Pedersen 2017 JPM (multi-horizon trend blends)		crypto+17.2 pts/yr1,690 trades0.2941.000On-site receipt
Equal-weight crypto basket gated by BTC's own SMA grid (market-level trend only) receipt
Source: c1022/redteam		crypto+14.4 pts/yr2,265 rebalances0.2981.000On-site receipt
Donchian 20-day breakout on BTC (crypto trend variant) receipt
Source: Turtle Trader Donchian methodology adapted to crypto		crypto+12.6 pts/yr34 trades0.3381.000On-site receipt
Full test: Crypto Trend Following
Smoothed Heikin-Ashi: green run on candles built from EMA(6)-smoothed OHLC receipt
Source: c1031/retailta		crypto+11.4 pts/yr2,384 trades0.3491.000On-site receipt
Hourly golden cross on crypto: long while the 50 EMA is above the 200 EMA receipt
Source: c1023/pop		crypto+8.5 pts/yr1,393 trades0.3921.000On-site receipt
9-ETF dual momentum with the absolute-momentum hurdle set to SHY's 12-month return (textbook GEM), monthly receipt
Source: c1024/r3		ETFs+8.1 pts/yr242 rebalances0.0110.692On-site receipt
Crypto 4-week trend with volume-confirmed re-entry receipt
Source: Lee & Swaminathan 2000 JF (volume and momentum); Bianchi, Babiak & Dickerson 2022 JBF (trading volume and cryptocurrency returns); Granville 1963		crypto+7.8 pts/yr741 trades0.3721.000On-site receipt
Crypto 4-week trend that only switches when the move is efficient receipt
Source: u/GemeriCorp, r/Trading 1wop3th (regime drift: rules work in one regime and stop in another; our reply asked for the regime filter itself to be tested); Kaufman 2013 'Trading Systems and Methods' (efficiency ratio)		crypto+7.4 pts/yr241 trades0.3731.000On-site receipt
Second 9-ETF dual momentum: XLK, XLV, XLE, GLD, VNQ vs AGG, IEF, TLT with the SHY hurdle, monthly receipt
Source: c1031/r4		ETFs+7.2 pts/yr242 rebalances0.0150.692On-site receipt
Dual momentum across five risk ETFs (QQQ, DIA, GLD, DBC, VNQ) versus four safe ETFs (AGG, IEF, TLT, SHY), monthly receipt
Source: c1023/r2		ETFs+7.1 pts/yr242 rebalances0.0230.744On-site receipt
9-ETF dual momentum with a 20% volatility-managed overlay on the risk holding, remainder in the best safe ETF, monthly receipt
Source: c1024/r3		ETFs+6.9 pts/yr242 rebalances0.0120.692On-site receipt
9-ETF dual momentum with the SHY hurdle and the 20% volatility overlay together, remainder in the best bond, monthly receipt
Source: c1031/r4		ETFs+6.8 pts/yr242 rebalances0.0110.692On-site receipt
Crypto weekly close vs 10-week average receipt
Source: Detzel, Liu, Strauss, Zhou & Zhu 2021 Financial Management (price over 1-20 week moving averages predicts bitcoin returns); Brock, Lakonishok & LeBaron 1992 JF; u/VettaQ, r/CryptoMarkets 1wp3tyi (the zero-fee rerun: costs are the first objection, so decide weekly)		crypto+6.5 pts/yr448 trades0.3901.000On-site receipt
Second 9-ETF set with the 3/6/12-month vote and the SHY hurdle together, monthly receipt
Source: c1031/r4		ETFs+6.4 pts/yr242 rebalances0.0220.744On-site receipt
9-ETF dual momentum with the 3/6/12-month vote and the SHY hurdle together, monthly receipt
Source: c1031/r4		ETFs+6.1 pts/yr242 rebalances0.0360.830On-site receipt
Second 9-ETF set with the SHY hurdle and the 20% volatility overlay together, remainder in the best bond, monthly receipt
Source: c1031/r4		ETFs+5.1 pts/yr242 rebalances0.0160.692On-site receipt
9-ETF dual momentum with the lookback decided by a 3/6/12-month majority vote (QQQ, DIA, GLD, DBC, VNQ vs AGG, IEF, TLT, SHY), monthly receipt
Source: c1024/r3		ETFs+4.9 pts/yr242 rebalances0.0791.000On-site receipt
Crypto 4-week momentum with a 21-day minimum hold receipt
Source: u/Incon4ormista, r/ASX_Bets 1wo5lrs ('the ones that work out often take way longer than planned'); Kaufman 2013 (minimum holding periods cut whipsaw)		crypto+4.6 pts/yr540 trades0.3911.000On-site receipt
Half-Kelly QQQ with a duration-momentum bond sleeve (QQQ + TLT/IEF/SHY) receipt
Source: Yu et al. via SSRN top-20 #15 (sizing layer only)		ETFs+4.5 pts/yr242 rebalances0.0220.744On-site receipt
Technical analysis pays in high-volatility stocks: buy the top-volatility fifth that closes above its 20-day average, weekly (Han-Yang-Zhou) receipt
Source: c1031/acad4		US stocks+4.3 pts/yr417 rebalances0.2621.000On-site receipt
Defensive sectors instead of cash when the index loses its 200d receipt
Source: c1022/macro		ETFs+4.2 pts/yr1,053 rebalances0.0060.618On-site receipt
Efficiency ratio leaders: the 8 large caps with the smoothest uphill price path over 126 days, monthly receipt
Source: c1031/stockxs		US stocks+3.9 pts/yr94 rebalances0.2181.000On-site receipt
Dual momentum QQQ/AGG, bond instead of cash (2005+) receipt
Source: Antonacci 2014 (dual momentum); Moskowitz, Ooi & Pedersen 2012 JFE		ETFs+3.8 pts/yr242 rebalances0.0440.867On-site receipt
9-ETF dual momentum with the SHY hurdle holding the top 2 risk assets (equal weight, unfilled slots in the best bond), monthly receipt
Source: c1031/r4		ETFs+3.5 pts/yr242 rebalances0.0230.744On-site receipt
60/40 with a duration-momentum bond sleeve (QQQ + TLT/IEF/SHY) receipt
Source: Moskowitz, Ooi & Pedersen 2012 JFE; Asness, Moskowitz & Pedersen 2013 JF (bond momentum)		ETFs+3.3 pts/yr242 rebalances0.0020.445On-site receipt
ALMA 9/50 crossover receipt
Source: c1022/retail		crypto+2.8 pts/yr1,132 trades0.4661.000On-site receipt
Long-bond trend taken only in disinflation (breakevens not rising) receipt
Source: c1022/macro		ETFs+2.5 pts/yr82 trades0.1771.000On-site receipt
Moving Average Distance 21 200 receipt
Source: Avramov, Kaplanski & Subrahmanyam 2021 (moving average distance)		US stocks+2.4 pts/yr102 rebalances0.2721.000On-site receipt
Turtle 20/55 Donchian breakout receipt
Source: Curtis Faith, 'The Complete TurtleTrader' (2007); original 1983 rules		crypto+2.3 pts/yr89 trades0.4521.000On-site receipt
Full test: Donchian / Turtle Breakout
Wilder extreme point rule: after a +DI/-DI cross buy the break of that day's high receipt
Source: c1031/retailta		crypto+2.1 pts/yr761 trades0.4631.000On-site receipt
Moving-average distance 21/200 with a 3-month scaled entry (wide US stocks), monthly receipt
Source: c1023/r2		US stocks+1.4 pts/yr102 rebalances0.3211.000On-site receipt
New-high frequency: the 8 large caps with the most 20-day closing highs in the past 6 months, monthly receipt
Source: c1031/stockxs		US stocks+0.9 pts/yr94 rebalances0.4141.000On-site receipt
Dollar-deflated oil above its 150-day mean: hold energy equities and commodity ETFs receipt
Source: c1031/macro		ETFs+0.7 pts/yr120 trades0.4281.000On-site receipt
Time above the 50-day average: the 8 large caps that have spent the most of the past 126 days above their 50-day mean, monthly receipt
Source: c1031/stockxs		US stocks+0.5 pts/yr92 rebalances0.4651.000On-site receipt
Nominal-yield trend duration: hold Treasury and credit-duration ETFs while the 10y yield proxy is below its 100-day mean receipt
Source: c1031/macro		ETFs+0.3 pts/yr227 trades0.3851.000On-site receipt
Credit-confirmed trend: index above 200d only counts if HYG is too receipt
Source: c1022/macro		ETFs+0.1 pts/yr4,237 rebalances0.4941.000On-site receipt
Darvas box breakout receipt
Source: Nicolas Darvas box method, 1960 book		US stocks−0.6 pts/yr105 trades1.0001.000On-site receipt
200d exit honoured only after a yield-curve inversion in the past year receipt
Source: c1022/macro		ETFs−0.7 pts/yr234 trades1.0001.000On-site receipt
200d exit honoured only while the broad dollar is rising receipt
Source: c1022/macro		ETFs−0.9 pts/yr459 trades1.0001.000On-site receipt
Equal weight among names above the 200d SMA, renormalised to full exposure (ETF monthly) - L2 timing only receipt
Source: none published (Tickfloor research-desk test)		ETFs−1.0 pts/yr227 rebalances1.0001.000On-site receipt
Chande Kroll Stop (10/1/9) used stop-and-reverse receipt
Source: Chande & Kroll, The New Technical Trader (1994); TradingView built-in 'Chande Kroll Stop' defaults p=10 x=1 q=9		crypto−1.1 pts/yr1,847 trades1.0001.000On-site receipt
Time-series momentum QQQ/GLD with AGG as the safe sleeve (2005+) receipt
Source: Moskowitz, Ooi & Pedersen 2012 JFE; Hurst, Ooi & Pedersen 2017 (a century of evidence on trend-following); Faber 2007		ETFs−1.2 pts/yr242 rebalances1.0001.000On-site receipt
Dual moving average crossover (50/200 SMA) on SPY receipt
Source: Faber 2007 SSRN 962461		ETFs−1.4 pts/yr13 trades1.0001.000On-site receipt
Full test: Golden Cross / Death Cross
Does Dow Theory confirmation using DIA and XLI work? receipt
Source: retail trading content: Dow Theory industrial ETF confirmation DIA XLI		ETFs−1.7 pts/yr2,116 rebalances1.0001.000On-site receipt
Trend factor from normalised moving averages, 12-month average slopes (wide US stocks) receipt
Source: Han, Zhou & Zhu 2016 JFE (a trend factor); lags above 200 dropped so warm-up fits the window		US stocks−2.0 pts/yr102 rebalances1.0001.000On-site receipt
Triple MA alignment filter (GLD) receipt
Source: Common retail trend-stacking heuristic		ETFs−2.3 pts/yr23 trades1.0001.000On-site receipt
Full test: Moving Average Crossover
Trend gate + equal weight (ETF monthly) receipt
Source: Faber 2007 GTAA timing-only cell		ETFs−2.4 pts/yr227 rebalances1.0001.000On-site receipt
Supertrend computed on Heikin Ashi candles receipt
Source: c1022/retail		crypto−2.8 pts/yr311 trades1.0001.000On-site receipt
Inverse-vol among names above the 200d SMA, renormalised to full exposure (ETF monthly) - L3 timing + sizing receipt
Source: none published (Tickfloor research-desk test)		ETFs−2.8 pts/yr227 rebalances1.0001.000On-site receipt
200-day SMA trend filter on QQQ receipt
Source: Faber 2007, A Quantitative Approach to Tactical Asset Allocation		ETFs−2.9 pts/yr59 trades1.0001.000On-site receipt
Faber GTAA 10-month SMA timing across 5 asset classes receipt
Source: Faber 2007 SSRN 962461		ETFs−2.9 pts/yr222 rebalances1.0001.000On-site receipt
Filter rule: 8% swing trend filter, long-only, 25 ETFs receipt
Source: c1031/acad4		ETFs−3.0 pts/yr489 trades1.0001.000On-site receipt
Classic MACD(12,26,9) crossover (GLD) receipt
Source: Appel, 'Technical Analysis: Power Tools for Active Investors'		ETFs−3.0 pts/yr203 trades1.0001.000On-site receipt
Full test: MACD Crossover
Inverse-vol sizing, no trend gate (ETF monthly): matched control receipt
Source: none published (Tickfloor research-desk test)		ETFs−3.6 pts/yr233 rebalances1.0001.000On-site receipt
Weekly floor pivot as a trend line (above P long, below S1 flat) receipt
Source: c1022/retail		ETFs−3.6 pts/yr3,058 trades1.0001.000On-site receipt
MACD zero-line cross (Murphy) receipt
Source: c1022/retail		ETFs−3.6 pts/yr1,042 trades1.0001.000On-site receipt
Brock-Lakonishok-LeBaron trading-range break on crypto: close 1% above the 50-day closing high, exit 1% below the 50-day closing low receipt
Source: c1031/acad4		crypto−3.7 pts/yr228 trades1.0001.000On-site receipt
Golden cross long with an RSI(14) overbought profit-take: out at RSI 75, back in at RSI 55 (equity ETFs) receipt
Source: c1023/pop		ETFs−3.7 pts/yr185 trades1.0001.000On-site receipt
Momentum turning points: slow 12-month + fast 1-month state machine, 25 ETFs (Goulding-Harvey-Mazzoleni) receipt
Source: c1022/acad		ETFs−3.8 pts/yr229 rebalances1.0001.000On-site receipt
200d trend with a VIX-scaled hysteresis band receipt
Source: c1022/macro		ETFs−4.0 pts/yr183 trades1.0001.000On-site receipt
Weekly Heikin-Ashi trend: long while the last completed weekly HA candle is green receipt
Source: c1031/retailta		ETFs−4.1 pts/yr1,580 trades1.0001.000On-site receipt
AQR composite time-series momentum, vol-sized, long-only (25 discovery ETFs) receipt
Source: Hurst, Ooi & Pedersen 2017 (AQR), via Till-Eagleeye SSRN top-20 #20		ETFs−4.3 pts/yr226 rebalances1.0001.000On-site receipt
200-day SMA with a fixed 3% envelope (whipsaw filter): in above +3%, out below -3% (equity ETFs) receipt
Source: c1023/pop		ETFs−4.4 pts/yr107 trades1.0001.000On-site receipt
Trend gate + inverse-vol sizing (ETF monthly) receipt
Source: Baltas & Kosowski 2013 / Faber 2007		ETFs−4.5 pts/yr227 rebalances1.0001.000On-site receipt
Kijun-sen cross: long when the close crosses above the 26-bar midpoint line receipt
Source: c1031/retailta		ETFs−4.5 pts/yr2,832 trades1.0001.000On-site receipt
Parabolic SAR flip confirmed by the MACD histogram within three bars receipt
Source: c1031/retailta		crypto−4.6 pts/yr1,205 trades1.0001.000On-site receipt
Hold only self-trending stocks when the index is below its 200-day average receipt
Source: O'Neil 1988 (leaders resist bear markets); Moskowitz, Ooi & Pedersen 2012 (time-series trend at the name level)		US stocks−4.7 pts/yr360 rebalances1.0001.000On-site receipt
Short-horizon time-series momentum: 1-month lookback, 1-month hold, 25 ETFs, long-only (MOP 2012) receipt
Source: c1022/acad		ETFs−4.8 pts/yr730 trades1.0001.000On-site receipt
VIX-adaptive trend lookback: 50-day average when VIX is 20 or more, 200-day average when it is below receipt
Source: c1031/macro		ETFs−4.8 pts/yr460 trades1.0001.000On-site receipt
Weinstein stage analysis on weekly bars: Stage 2 above a rising 30-week MA, exit only when price is below a flat-or-falling MA (Stage 4) receipt
Source: c1023/pop		ETFs−4.9 pts/yr93 trades1.0001.000On-site receipt
OBV above its 20-day average with price above the 50-day SMA (Granville) receipt
Source: c1022/retail		ETFs−5.2 pts/yr3,163 trades1.0001.000On-site receipt
Trend t-statistic ranking: top 6 of 25 ETFs by the t-stat of the 126-day log-price slope, monthly receipt
Source: c1031/etfxs		ETFs−5.5 pts/yr96 rebalances1.0001.000On-site receipt
Zweig four-percent model on weekly closes receipt
Source: Zweig 1986 'Winning on Wall Street' (Ned Davis / Zweig four-percent model)		ETFs−5.5 pts/yr433 trades1.0001.000On-site receipt
Risk-adjusted time-series momentum: weight by the trailing 1-year Sharpe, vol-targeted (Dudler-Gmuer-Malamud) receipt
Source: c1022/acad		ETFs−5.6 pts/yr992 rebalances1.0001.000On-site receipt
52-week high breakout, 20-week trailing stop (QQQ) receipt
Source: Darvas box / O'Neil CANSLIM breakout tradition		ETFs−5.7 pts/yr8 trades1.0001.000On-site receipt
Minervini trend template screen receipt
Source: Minervini 2013 'Trade Like a Stock Market Wizard' (trend template)		US stocks−5.7 pts/yr379 rebalances1.0001.000On-site receipt
RSI crosses its own 14-period SMA (TradingView default RSI-based MA) receipt
Source: c1022/retail		ETFs−6.1 pts/yr3,234 trades1.0001.000On-site receipt
Commodity trend taken only when the broad dollar is falling receipt
Source: c1022/macro		ETFs−6.2 pts/yr277 trades1.0001.000On-site receipt
CTA-style MACD ensemble trend (3 EMA pairs, response-shaped), vol-targeted, 25 ETFs (Baz et al.) receipt
Source: c1022/acad		ETFs−6.2 pts/yr948 rebalances1.0001.000On-site receipt
Classic MACD(12,26,9) crossover (GLD) (wide US stocks) receipt
Source: Appel, 'Technical Analysis: Power Tools for Active Investors'		US stocks−6.3 pts/yr14,068 trades1.0001.000On-site receipt
Full test: MACD Crossover
Variance-ratio trending filter on momentum: 12-1 leaders among the ETFs whose 5-day variance ratio exceeds 1 (trending), monthly receipt
Source: c1031/etfxs		ETFs−6.5 pts/yr79 rebalances1.0001.000On-site receipt
Year-to-date anchored VWAP trend filter (Shannon) receipt
Source: c1022/retail		US stocks−6.6 pts/yr1,666 trades1.0001.000On-site receipt
Cyclical sector trend gated by the yield-curve sign: XLF, XLI, XLB, XLE and XLY held above their 100-day average only while 2s10s is positive receipt
Source: c1031/macro		ETFs−6.7 pts/yr201 trades1.0001.000On-site receipt
EMA 20/50 cross accepted only when ADX(14) is above 25 receipt
Source: c1031/retailta		ETFs−6.9 pts/yr52 trades1.0001.000On-site receipt
Chaikin money-flow accumulation rank: 4 of 13 equity ETFs with the highest 63-day CMF above their 100-day SMA, monthly receipt
Source: c1031/etfxs		ETFs−7.0 pts/yr90 rebalances1.0001.000On-site receipt
Crypto 20% four-week stop-loss with trend re-entry receipt
Source: u/Jorg4e, r/Daytrading 1wnxeh8 (size stops from maximum adverse excursion); Kaminski & Lo 2014 J. Financial Markets 'When do stop-loss rules stop losses?'		crypto−7.1 pts/yr499 trades1.0001.000On-site receipt
Fixed-length MA band breakout: 1% band above SMA50, 10-bar hold, 13 equity ETFs receipt
Source: c1031/acad4		ETFs−7.3 pts/yr727 trades1.0001.000On-site receipt
10% trailing stop on buy-and-hold with re-entry on a new 20-day closing high receipt
Source: c1023/pop		US stocks−7.7 pts/yr848 trades1.0001.000On-site receipt
McClellan oscillator on the 40-stock breadth receipt
Source: McClellan & McClellan 1970s ('Patterns for Profit'; McClellan Oscillator)		US stocks−8.5 pts/yr1,103 rebalances1.0001.000On-site receipt
Protective Asset Allocation (breadth-based crash protection) receipt
Source: Keller & Keuning 2016 SSRN ('Protective Asset Allocation (PAA)')		ETFs−8.8 pts/yr90 rebalances1.0001.000On-site receipt
200-day SMA trend filter on QQQ (wide US stocks) receipt
Source: Faber 2007, A Quantitative Approach to Tactical Asset Allocation		US stocks−8.8 pts/yr5,843 trades1.0001.000On-site receipt
Dual moving average crossover (50/200 SMA) on SPY (wide US stocks) receipt
Source: Faber 2007 SSRN 962461		US stocks−8.9 pts/yr1,132 trades1.0001.000On-site receipt
Long-short index by VIX curve and 200d trend agreement receipt
Source: c1022/macro		ETFs−9.0 pts/yr199 trades1.0001.000On-site receipt
Previous-week-high breakout with previous-week-low exit receipt
Source: c1022/retail		US stocks−9.2 pts/yr2,712 trades1.0001.000On-site receipt
Turtle 20/10 Donchian breakout gated by ADX >= 25 receipt
Source: c1022/retail		crypto−9.5 pts/yr305 trades1.0001.000On-site receipt
Anchored VWAP from the latest confirmed swing low: long on the cross above it receipt
Source: c1031/retailta		US stocks−9.6 pts/yr3,527 trades1.0001.000On-site receipt
Turnover-participation filter on a trend receipt
Source: c1022/crypto		crypto−9.7 pts/yr871 trades1.0001.000On-site receipt
Chandelier Exit flip (LeBeau 22/3): long when the ratcheting ATR stop system turns long receipt
Source: c1031/retailta		US stocks−10.5 pts/yr2,362 trades1.0001.000On-site receipt
Donchian 20-day breakout on BTC (crypto trend variant) (wide US stocks) receipt
Source: Turtle Trader Donchian methodology adapted to crypto		US stocks−10.5 pts/yr6,056 trades1.0001.000On-site receipt
Triple MA alignment filter (GLD) (wide US stocks) receipt
Source: Common retail trend-stacking heuristic		US stocks−10.7 pts/yr1,583 trades1.0001.000On-site receipt
Volume-augmented moving average rule: close above the 50-day average while 10-day volume exceeds 50-day volume, 13 equity ETFs receipt
Source: c1031/acad4		ETFs−10.7 pts/yr1,055 trades1.0001.000On-site receipt
O'Neil follow-through day market buy receipt
Source: c1022/retail		ETFs−10.8 pts/yr115 trades1.0001.000On-site receipt
Monthly 200-day SMA check: hold each coin above its 200-day average, checked only at month-end receipt
Source: c1022/redteam		crypto−10.8 pts/yr88 rebalances1.0001.000On-site receipt
Tillson T3(20) trend line receipt
Source: c1022/retail		US stocks−11.0 pts/yr2,901 trades1.0001.000On-site receipt
50-day trend with a 10-day stand-down after an equity VIX shock receipt
Source: Corbet, Larkin & Lucey 2020 FRL and Kristoufek 2023 (crypto-equity contagion rises in stress); VIX-shock risk-off practice		crypto−11.0 pts/yr1,155 trades1.0001.000On-site receipt
52-week high breakout, 20-week trailing stop (QQQ) (wide US stocks) receipt
Source: Darvas box / O'Neil CANSLIM breakout tradition		US stocks−11.5 pts/yr679 trades1.0001.000On-site receipt
Matched control: plain 18-bar Donchian channel flip (stop-and-reverse) receipt
Source: none published (Tickfloor research-desk test)		crypto−11.8 pts/yr863 trades1.0001.000On-site receipt
Double Bollinger Bands (Lien): buy a close entering the +1 to +2 sigma buy zone, exit at the mean receipt
Source: c1031/retailta		US stocks−11.9 pts/yr2,513 trades1.0001.000On-site receipt
Vortex directional movement receipt
Source: none published (Tickfloor research-desk test)		US stocks−12.0 pts/yr803 trades1.0001.000On-site receipt
Ripster EMA clouds (5/12 over 34/50) stacked long receipt
Source: c1022/retail		US stocks−12.1 pts/yr1,444 trades1.0001.000On-site receipt
Turtle System 1 on US stocks: 20-day breakout taken only after a losing breakout, 55-day fail-safe, 2N stop, 10/20-day exits receipt
Source: c1023/pop		US stocks−12.1 pts/yr1,190 trades1.0001.000On-site receipt
Full test: Donchian / Turtle Breakout
ADX turning up from below 20 with +DI leading (Wilder trend-start) receipt
Source: c1022/retail		US stocks−12.3 pts/yr1,404 trades1.0001.000On-site receipt
Ichimoku full five-line confirmation (price, TK, cloud, future cloud, Chikou) receipt
Source: c1022/retail		crypto−12.7 pts/yr1,145 trades1.0001.000On-site receipt
Does the Keltner channel breakout work on stocks? receipt
Source: Chester Keltner / Linda Raschke; retail trading content: keltner channel breakout strategy 20 2		US stocks−12.8 pts/yr1,205 trades1.0001.000On-site receipt
Full test: Keltner Channel Breakout
Kaufman adaptive moving average receipt
Source: none published (Tickfloor research-desk test)		US stocks−13.2 pts/yr1,097 trades1.0001.000On-site receipt
CTA-style MACD ensemble trend, vol-targeted, wide US stocks (Baz et al.) receipt
Source: c1022/acad		US stocks−13.3 pts/yr359 rebalances1.0001.000On-site receipt
Supertrend(10,3) flip filtered by the 200 EMA receipt
Source: c1022/retail		US stocks−13.4 pts/yr830 trades1.0001.000On-site receipt
55-day Donchian breakout on large-cap stocks, entries allowed only when VIX is below its 126-day mean receipt
Source: c1031/macro		US stocks−13.6 pts/yr631 trades1.0001.000On-site receipt
TEMA(10)/TEMA(30) cross: triple exponential moving averages receipt
Source: c1031/retailta		crypto−13.7 pts/yr1,445 trades1.0001.000On-site receipt
Aroon trend persistence receipt
Source: none published (Tickfloor research-desk test)		US stocks−14.1 pts/yr377 trades1.0001.000On-site receipt
Elder Triple Screen on daily stocks: weekly MACD histogram rising, daily 2-day Force Index dip, buy the break of the prior day's high receipt
Source: c1023/pop		US stocks−14.3 pts/yr1,608 trades1.0001.000On-site receipt
Fixed 2:1 reward-to-risk bracket on a 20-day breakout above the 200-day: stop 2 ATR, target 4 ATR receipt
Source: c1023/pop		US stocks−14.9 pts/yr1,493 trades1.0001.000On-site receipt
Ichimoku Kumo twist: long when Senkou A crosses above Senkou B (future cloud turns bullish) receipt
Source: c1031/retailta		crypto−15.5 pts/yr491 trades1.0001.000On-site receipt
O'Neil sell rules: 52-week-high breakout on volume with a 7% stop and a 20% profit target receipt
Source: c1023/pop		US stocks−15.8 pts/yr317 trades1.0001.000On-site receipt
Heikin Ashi strong candles (no lower wick) continuation (Valcu) receipt
Source: c1022/retail		US stocks−16.1 pts/yr5,456 trades1.0001.000On-site receipt
Alexander filter rule at 20% on crypto: buy after a 20% rise from the trough, sell after a 20% fall from the peak, 18 coins receipt
Source: c1031/acad4		crypto−16.5 pts/yr637 trades1.0001.000On-site receipt
Volatility-scaled time-series momentum (constant vol target) (wide US stocks) receipt
Source: Baltas & Kosowski 2013 SSRN 2140091		US stocks−16.6 pts/yr1,884 rebalances1.0001.000On-site receipt
52-week-high breakout on double volume receipt
Source: O'Neil 1988 'How to Make Money in Stocks' (breakouts on volume); Gervais, Kaniel & Mingelgrin 2001 JF (volume shocks)		US stocks−16.6 pts/yr261 trades1.0001.000On-site receipt
Inside bar breakout (wide US stocks) receipt
Source: classic price-action inside-bar breakout pattern		US stocks−17.0 pts/yr40,456 trades1.0001.000On-site receipt
MACD signal cross taken only above the zero line receipt
Source: c1022/retail		crypto−17.0 pts/yr471 trades1.0001.000On-site receipt
Walking the upper Bollinger band (expanding-band continuation) receipt
Source: Bollinger 2001 'Bollinger on Bollinger Bands' (walking the bands)		crypto−17.1 pts/yr358 trades1.0001.000On-site receipt
Bulkowski double bottom (Adam & Adam): two fractal lows within 3% at least 15 bars apart, 10% middle rise, buy the neckline break, measured-move target receipt
Source: c1023/pop		US stocks−17.2 pts/yr52 trades1.0001.000On-site receipt
O'Neil distribution-day market model on the 40-stock index receipt
Source: O'Neil 1988 'How to Make Money in Stocks' (distribution days and follow-through days)		US stocks−17.2 pts/yr338 rebalances1.0001.000On-site receipt
Parabolic SAR flip trend-follow (wide US stocks) receipt
Source: YouTube 'top 5 indicators' compilations featuring Parabolic SAR		US stocks−17.6 pts/yr7,555 trades1.0001.000On-site receipt
Volatility-scaled time-series momentum (constant vol target) receipt
Source: Baltas & Kosowski 2013 SSRN 2140091		US stocks−17.6 pts/yr1,884 rebalances1.0001.000On-site receipt
Ascending triangle breakout (Bulkowski) receipt
Source: c1022/retail		US stocks−17.9 pts/yr173 trades1.0001.000On-site receipt
Five rising lows receipt
Source: none published (Tickfloor research-desk test)		US stocks−18.6 pts/yr385 trades1.0001.000On-site receipt
Weinstein Stage 2 breakout (wide US stocks) receipt
Source: Stan Weinstein stage analysis		US stocks−18.7 pts/yr1,549 trades1.0001.000On-site receipt
DI-cross trend with ADX peak exit (exhaustion above 40) receipt
Source: c1022/retail		crypto−19.2 pts/yr509 trades1.0001.000On-site receipt
Weinstein Stage 2 breakout receipt
Source: Stan Weinstein stage analysis		US stocks−19.9 pts/yr356 trades1.0001.000On-site receipt
Donchian 20 breakout with a 1.618 Fibonacci extension target receipt
Source: c1022/retail		crypto−22.1 pts/yr702 trades1.0001.000On-site receipt
Monthly anchored VWAP with a 0.3% band (hourly crypto) receipt
Source: c1022/retail		crypto−24.6 pts/yr4,825 trades1.0001.000On-site receipt
Donchian Channel 20-bar breakout (turtle-lite) receipt
Source: YouTube 'Turtle Trading breakout strategy' tutorials, Curtis Faith's 'Way of the Turtle'		crypto−24.8 pts/yr950 trades1.0001.000On-site receipt
Realised-price proxy: 90-day VWAP as cost basis receipt
Source: c1022/crypto		crypto−25.2 pts/yr673 trades1.0001.000On-site receipt
Monthly market structure: higher high and higher low on completed monthly bars receipt
Source: c1022/crypto		crypto−26.2 pts/yr226 trades1.0001.000On-site receipt
Mayer Multiple overheat exit: long while close is below 2.4x the 200-day SMA, flat above it (crypto) receipt
Source: c1023/pop		crypto−31.7 pts/yr135 trades1.0001.000On-site receipt
Crypto 3-month time-series momentum, monthly check, long-only (MOP horizon test in crypto) receipt
Source: c1022/acad		crypto−31.8 pts/yr169 trades1.0001.000On-site receipt
Long-term-holder cost-basis proxy: 155-day VWAP reclaim receipt
Source: c1022/crypto		crypto−31.9 pts/yr353 trades1.0001.000On-site receipt
Faber 10-month SMA timing on crypto: long when the monthly close is above the 10-month average, cash otherwise receipt
Source: c1023/pop		crypto−35.5 pts/yr109 trades1.0001.000On-site receipt
Funding-confirmed SMA(20/50) cross, long and short receipt
Source: c1031/cryptoderiv		crypto−36.1 pts/yr523 trades1.0001.000On-site receipt
Traders Dynamic Index (TDI) fast/slow cross above 50 receipt
Source: c1022/retail		crypto−36.4 pts/yr907 trades1.0001.000On-site receipt
Momentum turning points: slow 12-month + fast 1-month state machine, 18 crypto (Goulding-Harvey-Mazzoleni) receipt
Source: c1022/acad		crypto−39.1 pts/yr78 rebalances1.0001.000On-site receipt
Vegas Tunnel (EMA 144/169) with EMA 12 trigger receipt
Source: c1022/retail		crypto−43.3 pts/yr3,053 trades1.0001.000On-site receipt
Weekly wide-range bar closing near its high receipt
Source: Crabel 1990 'Day Trading with Short Term Price Patterns and Opening Range Breakout' (range expansion); Larry Williams 1999 (wide-range bars)		crypto−44.0 pts/yr265 trades1.0001.000On-site receipt
CTA-style MACD ensemble trend, vol-targeted, 18 crypto (Baz et al.) receipt
Source: c1022/acad		crypto−45.2 pts/yr290 rebalances1.0001.000On-site receipt
Funding-gated 20-day breakout (spot-led breakouts long, leveraged breakdowns short) receipt
Source: Schmeling, Schrimpf & Todorov 2023 'Crypto carry' (BIS WP 1087); Kaiko/Glassnode desk notes on spot-led vs perp-led breakouts		crypto−45.7 pts/yr503 trades1.0001.000On-site receipt
Darvas box breakout on crypto: 3-day confirmed box top and bottom near a 100-day high, buy the top on 1.5x volume, stop under the box receipt
Source: c1023/pop		crypto−46.8 pts/yr108 trades1.0001.000On-site receipt
AQR composite time-series momentum, vol-sized, long-only (18 crypto pairs) receipt
Source: Hurst, Ooi & Pedersen 2017 (AQR), via Till-Eagleeye SSRN top-20 #20		crypto−47.0 pts/yr67 rebalances1.0001.000On-site receipt
Double-bottom neckline breakout receipt
Source: Bulkowski 2005 'Encyclopedia of Chart Patterns' (double bottoms, Eve & Eve / Adam & Adam); Lo, Mamaysky & Wang 2000 JF (pattern recognition)		crypto−48.3 pts/yr125 trades1.0001.000On-site receipt
Trend held weekdays only: flat over the weekend receipt
Source: c1022/crypto		crypto−51.5 pts/yr3,694 trades1.0001.000On-site receipt
Parabolic SAR flip trend-follow receipt
Source: YouTube 'top 5 indicators' compilations featuring Parabolic SAR		crypto−51.5 pts/yr3,027 trades1.0001.000On-site receipt
Full test: ADX and Parabolic SAR
Turtle system scaled to hours: 480-bar breakout, 240-bar exit receipt
Source: c1031/intraday		crypto−52.7 pts/yr650 trades1.0001.000On-site receipt
Donchian channel breakout long-term (55/20) receipt
Source: Curtis Faith 'Way of the Turtle' 2007		crypto−55.1 pts/yr3,558 trades1.0001.000On-site receipt
All-time-high breakout with a 15% trailing exit receipt
Source: Li & Yu 2012 JFE ('Investor attention, psychological anchors': nearness to the historical high predicts returns); George & Hwang 2004		crypto−56.3 pts/yr79 trades1.0001.000On-site receipt
Post-monthly-options-expiry breakout window receipt
Source: c1022/crypto		crypto−58.6 pts/yr138 trades1.0001.000On-site receipt
Stealth breakout: 20-day high on below-median volume receipt
Source: c1022/crypto		crypto−59.2 pts/yr108 trades1.0001.000On-site receipt
Dual Thrust stop-and-reverse on UTC days receipt
Source: Michael Chalek, Dual Thrust system (widely used in Chinese CTA practice; Pruitt 2016 'The Ultimate Algorithmic Trading System Toolbox')		crypto−60.5 pts/yr2,614 trades1.0001.000On-site receipt
72-hour regression t-statistic trend (|t| >= 3) receipt
Source: c1031/intraday		crypto−65.7 pts/yr6,096 trades1.0001.000On-site receipt
Hourly EMA(24/120) trend confirmed by 24-bar mean funding receipt
Source: c1031/cryptoderiv		crypto−71.1 pts/yr3,143 trades1.0001.000On-site receipt
Inside bar breakout receipt
Source: classic price-action inside-bar breakout pattern		crypto−74.9 pts/yr6,666 trades1.0001.000On-site receipt
72-hour breakout, buy the first successful retest receipt
Source: Edwards & Magee 'Technical Analysis of Stock Trends' (breakout pullback / throwback); Bulkowski 2005 (throwbacks)		crypto−76.0 pts/yr1,914 trades1.0001.000On-site receipt
Prior-week high/low breakout receipt
Source: c1031/intraday		crypto−78.3 pts/yr2,003 trades1.0001.000On-site receipt
Elder triple screen: 50-day uptrend, hourly RSI pullback receipt
Source: Elder 1993 'Trading for a Living' (Triple Screen system)		crypto−78.6 pts/yr1,109 trades1.0001.000On-site receipt
72-hour breakout taken only in neutral-to-greedy sentiment receipt
Source: Antoniou, Doukas & Subrahmanyam 2013 JFQA (momentum works in optimistic, not extreme, sentiment); alternative.me F&G		crypto−82.5 pts/yr1,222 trades1.0001.000On-site receipt
Weekend range breakout in the Monday-Tuesday session receipt
Source: c1022/crypto		crypto−82.8 pts/yr2,329 trades1.0001.000On-site receipt
Trend held only while leverage (OI per unit of turnover) is below its median receipt
Source: Adrian & Shin 2010 JFI (leverage cycles); Brunnermeier & Pedersen 2009; crypto desk use of OI/volume 'leverage ratio'		crypto−83.3 pts/yr234 trades1.0001.000On-site receipt
Volatility-managed trend: long only when short-run vol is below long-run vol receipt
Source: c1031/intraday		crypto−83.4 pts/yr720 trades1.0001.000On-site receipt
Joint 30-day high in price and open interest, exit on 10% OI drawdown receipt
Source: c1022/crypto		crypto−86.0 pts/yr135 trades1.0001.000On-site receipt
Trend held only outside US cash hours receipt
Source: c1031/intraday		crypto−93.1 pts/yr14,061 trades1.0001.000On-site receipt
Fibonacci 61.8% retracement entry inside a 168-hour swing receipt
Source: c1031/intraday		crypto−96.5 pts/yr2,908 trades1.0001.000On-site receipt
Keltner channel breakout on hourly crypto (EMA24 +/- 2.5 ATR24) receipt
Source: c1031/intraday		crypto−101.6 pts/yr6,427 trades1.0001.000On-site receipt
Triple-EMA ribbon pullback to the 21 EMA receipt
Source: c1031/intraday		crypto−104.7 pts/yr12,888 trades1.0001.000On-site receipt
Hourly trend only during US hours receipt
Source: c1022/crypto		crypto−105.6 pts/yr8,524 trades1.0001.000On-site receipt
UTC-day opening-range breakout (first 4 hours) receipt
Source: Crabel 1990 (opening range breakout); Zarattini & Aziz 2023 SSRN 'Can day trading really be profitable?' (ORB)		crypto−135.0 pts/yr18,574 trades1.0001.000On-site receipt
Wilder DMI/ADX(14) trend: +DI/-DI cross with ADX above 25 receipt
Source: c1031/intraday		crypto−138.3 pts/yr7,780 trades1.0001.000On-site receipt
Daily and weekly open alignment trend receipt
Source: c1031/intraday		crypto−142.9 pts/yr24,661 trades1.0001.000On-site receipt
Ichimoku cloud breakout on hourly crypto (9/26/52) receipt
Source: c1031/intraday		crypto−146.2 pts/yr30,751 trades1.0001.000On-site receipt
  • Crypto trend exposure scaled in over 20/50/100-day averages

    crypto · +26.1 pts/yr · 2,707 rebalances · corrected q 1.000

    Full test: Crypto Trend Following

    Source, p-value and result file
    Source
    u/IndependentCause9435, r/ASX_Bets 1wo5lrs (split an entry into several smaller orders); Hurst, Ooi & Pedersen 2017 (graded multi-horizon trend positions); Zarattini, Pagani & Barbon 2025
    p-value
    0.177
    Corrected q
    1.000
  • Crypto 2-of-3 horizon time-series momentum vote

    crypto · +25.8 pts/yr · 1,695 trades · corrected q 1.000

    Full test: Crypto Trend Following

    Source, p-value and result file
    Source
    Hurst, Ooi & Pedersen 2017 JPM (1-, 3- and 12-month blend, scaled here to crypto horizons); Liu & Tsyvinski 2021 RFS (TSMOM at 1-8 weeks)
    p-value
    0.213
    Corrected q
    1.000
  • Crypto 4-week time-series momentum filter

    crypto · +22.8 pts/yr · 1,557 trades · corrected q 1.000

    Full test: Crypto Trend Following

    Source, p-value and result file
    Source
    Liu & Tsyvinski 2021 RFS 'Risks and Returns of Cryptocurrency' (time-series momentum at 1-4 week horizons); Moskowitz, Ooi & Pedersen 2012 JFE
    p-value
    0.221
    Corrected q
    1.000
  • RSI 60/40 range-shift hysteresis (Cardwell)

    crypto · +21.7 pts/yr · 406 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    0.239
    Corrected q
    1.000
  • Crypto 2-of-3 indicator agreement (momentum, 50-day average, RSI)

    crypto · +20.8 pts/yr · 1,509 trades · corrected q 1.000

    Source, p-value and result file
    Source
    u/Stitch426, r/Daytrading 1wnw9xf ('not using the best combo of indicators'); Neely, Rapach, Tu & Zhou 2014 Management Science (combining technical indicators)
    p-value
    0.249
    Corrected q
    1.000
  • Relative-strength breakout versus BTC: alts making a 50-day high in their BTC ratio

    crypto · +20.1 pts/yr · 395 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    0.296
    Corrected q
    1.000
  • Crypto alts only in BTC booms, else BTC only

    crypto · +18.2 pts/yr · 395 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    u/ImNotSelling, r/Trading 1wop3th (specialise in one condition, 'only trading booms'); Liu & Tsyvinski 2021 RFS (BTC time-series momentum); Liu, Tsyvinski & Wu 2022 JF (alts load more than 1 on the crypto market factor)
    p-value
    0.154
    Corrected q
    1.000
  • Crypto five-lookback channel-position vote

    crypto · +17.2 pts/yr · 1,690 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Zarattini, Pagani & Barbon 2025 SSRN 'Catching Crypto Trends: A Tactical Approach for Bitcoin and Altcoins' (Donchian-channel ensemble over many lookbacks); Hurst, Ooi & Pedersen 2017 JPM (multi-horizon trend blends)
    p-value
    0.294
    Corrected q
    1.000
  • Equal-weight crypto basket gated by BTC's own SMA grid (market-level trend only)

    crypto · +14.4 pts/yr · 2,265 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/redteam
    p-value
    0.298
    Corrected q
    1.000
  • Donchian 20-day breakout on BTC (crypto trend variant)

    crypto · +12.6 pts/yr · 34 trades · corrected q 1.000

    Full test: Crypto Trend Following

    Source, p-value and result file
    Source
    Turtle Trader Donchian methodology adapted to crypto
    p-value
    0.338
    Corrected q
    1.000
  • Smoothed Heikin-Ashi: green run on candles built from EMA(6)-smoothed OHLC

    crypto · +11.4 pts/yr · 2,384 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/retailta
    p-value
    0.349
    Corrected q
    1.000
  • Hourly golden cross on crypto: long while the 50 EMA is above the 200 EMA

    crypto · +8.5 pts/yr · 1,393 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    0.392
    Corrected q
    1.000
  • 9-ETF dual momentum with the absolute-momentum hurdle set to SHY's 12-month return (textbook GEM), monthly

    ETFs · +8.1 pts/yr · 242 rebalances · corrected q 0.692

    Source, p-value and result file
    Source
    c1024/r3
    p-value
    0.011
    Corrected q
    0.692
  • Crypto 4-week trend with volume-confirmed re-entry

    crypto · +7.8 pts/yr · 741 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Lee & Swaminathan 2000 JF (volume and momentum); Bianchi, Babiak & Dickerson 2022 JBF (trading volume and cryptocurrency returns); Granville 1963
    p-value
    0.372
    Corrected q
    1.000
  • Crypto 4-week trend that only switches when the move is efficient

    crypto · +7.4 pts/yr · 241 trades · corrected q 1.000

    Source, p-value and result file
    Source
    u/GemeriCorp, r/Trading 1wop3th (regime drift: rules work in one regime and stop in another; our reply asked for the regime filter itself to be tested); Kaufman 2013 'Trading Systems and Methods' (efficiency ratio)
    p-value
    0.373
    Corrected q
    1.000
  • Second 9-ETF dual momentum: XLK, XLV, XLE, GLD, VNQ vs AGG, IEF, TLT with the SHY hurdle, monthly

    ETFs · +7.2 pts/yr · 242 rebalances · corrected q 0.692

    Source, p-value and result file
    Source
    c1031/r4
    p-value
    0.015
    Corrected q
    0.692
  • Dual momentum across five risk ETFs (QQQ, DIA, GLD, DBC, VNQ) versus four safe ETFs (AGG, IEF, TLT, SHY), monthly

    ETFs · +7.1 pts/yr · 242 rebalances · corrected q 0.744

    Source, p-value and result file
    Source
    c1023/r2
    p-value
    0.023
    Corrected q
    0.744
  • 9-ETF dual momentum with a 20% volatility-managed overlay on the risk holding, remainder in the best safe ETF, monthly

    ETFs · +6.9 pts/yr · 242 rebalances · corrected q 0.692

    Source, p-value and result file
    Source
    c1024/r3
    p-value
    0.012
    Corrected q
    0.692
  • 9-ETF dual momentum with the SHY hurdle and the 20% volatility overlay together, remainder in the best bond, monthly

    ETFs · +6.8 pts/yr · 242 rebalances · corrected q 0.692

    Source, p-value and result file
    Source
    c1031/r4
    p-value
    0.011
    Corrected q
    0.692
  • Crypto weekly close vs 10-week average

    crypto · +6.5 pts/yr · 448 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Detzel, Liu, Strauss, Zhou & Zhu 2021 Financial Management (price over 1-20 week moving averages predicts bitcoin returns); Brock, Lakonishok & LeBaron 1992 JF; u/VettaQ, r/CryptoMarkets 1wp3tyi (the zero-fee rerun: costs are the first objection, so decide weekly)
    p-value
    0.390
    Corrected q
    1.000
  • Second 9-ETF set with the 3/6/12-month vote and the SHY hurdle together, monthly

    ETFs · +6.4 pts/yr · 242 rebalances · corrected q 0.744

    Source, p-value and result file
    Source
    c1031/r4
    p-value
    0.022
    Corrected q
    0.744
  • 9-ETF dual momentum with the 3/6/12-month vote and the SHY hurdle together, monthly

    ETFs · +6.1 pts/yr · 242 rebalances · corrected q 0.830

    Source, p-value and result file
    Source
    c1031/r4
    p-value
    0.036
    Corrected q
    0.830
  • Second 9-ETF set with the SHY hurdle and the 20% volatility overlay together, remainder in the best bond, monthly

    ETFs · +5.1 pts/yr · 242 rebalances · corrected q 0.692

    Source, p-value and result file
    Source
    c1031/r4
    p-value
    0.016
    Corrected q
    0.692
  • 9-ETF dual momentum with the lookback decided by a 3/6/12-month majority vote (QQQ, DIA, GLD, DBC, VNQ vs AGG, IEF, TLT, SHY), monthly

    ETFs · +4.9 pts/yr · 242 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1024/r3
    p-value
    0.079
    Corrected q
    1.000
  • Crypto 4-week momentum with a 21-day minimum hold

    crypto · +4.6 pts/yr · 540 trades · corrected q 1.000

    Source, p-value and result file
    Source
    u/Incon4ormista, r/ASX_Bets 1wo5lrs ('the ones that work out often take way longer than planned'); Kaufman 2013 (minimum holding periods cut whipsaw)
    p-value
    0.391
    Corrected q
    1.000
  • Half-Kelly QQQ with a duration-momentum bond sleeve (QQQ + TLT/IEF/SHY)

    ETFs · +4.5 pts/yr · 242 rebalances · corrected q 0.744

    Source, p-value and result file
    Source
    Yu et al. via SSRN top-20 #15 (sizing layer only)
    p-value
    0.022
    Corrected q
    0.744
  • Technical analysis pays in high-volatility stocks: buy the top-volatility fifth that closes above its 20-day average, weekly (Han-Yang-Zhou)

    US stocks · +4.3 pts/yr · 417 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/acad4
    p-value
    0.262
    Corrected q
    1.000
  • Defensive sectors instead of cash when the index loses its 200d

    ETFs · +4.2 pts/yr · 1,053 rebalances · corrected q 0.618

    Source, p-value and result file
    Source
    c1022/macro
    p-value
    0.006
    Corrected q
    0.618
  • Efficiency ratio leaders: the 8 large caps with the smoothest uphill price path over 126 days, monthly

    US stocks · +3.9 pts/yr · 94 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/stockxs
    p-value
    0.218
    Corrected q
    1.000
  • Dual momentum QQQ/AGG, bond instead of cash (2005+)

    ETFs · +3.8 pts/yr · 242 rebalances · corrected q 0.867

    Source, p-value and result file
    Source
    Antonacci 2014 (dual momentum); Moskowitz, Ooi & Pedersen 2012 JFE
    p-value
    0.044
    Corrected q
    0.867
  • 9-ETF dual momentum with the SHY hurdle holding the top 2 risk assets (equal weight, unfilled slots in the best bond), monthly

    ETFs · +3.5 pts/yr · 242 rebalances · corrected q 0.744

    Source, p-value and result file
    Source
    c1031/r4
    p-value
    0.023
    Corrected q
    0.744
  • 60/40 with a duration-momentum bond sleeve (QQQ + TLT/IEF/SHY)

    ETFs · +3.3 pts/yr · 242 rebalances · corrected q 0.445

    Source, p-value and result file
    Source
    Moskowitz, Ooi & Pedersen 2012 JFE; Asness, Moskowitz & Pedersen 2013 JF (bond momentum)
    p-value
    0.002
    Corrected q
    0.445
  • ALMA 9/50 crossover

    crypto · +2.8 pts/yr · 1,132 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    0.466
    Corrected q
    1.000
  • Long-bond trend taken only in disinflation (breakevens not rising)

    ETFs · +2.5 pts/yr · 82 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/macro
    p-value
    0.177
    Corrected q
    1.000
  • Moving Average Distance 21 200

    US stocks · +2.4 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Avramov, Kaplanski & Subrahmanyam 2021 (moving average distance)
    p-value
    0.272
    Corrected q
    1.000
  • Turtle 20/55 Donchian breakout

    crypto · +2.3 pts/yr · 89 trades · corrected q 1.000

    Full test: Donchian / Turtle Breakout

    Source, p-value and result file
    Source
    Curtis Faith, 'The Complete TurtleTrader' (2007); original 1983 rules
    p-value
    0.452
    Corrected q
    1.000
  • Wilder extreme point rule: after a +DI/-DI cross buy the break of that day's high

    crypto · +2.1 pts/yr · 761 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/retailta
    p-value
    0.463
    Corrected q
    1.000
  • Moving-average distance 21/200 with a 3-month scaled entry (wide US stocks), monthly

    US stocks · +1.4 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/r2
    p-value
    0.321
    Corrected q
    1.000
  • New-high frequency: the 8 large caps with the most 20-day closing highs in the past 6 months, monthly

    US stocks · +0.9 pts/yr · 94 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/stockxs
    p-value
    0.414
    Corrected q
    1.000
  • Dollar-deflated oil above its 150-day mean: hold energy equities and commodity ETFs

    ETFs · +0.7 pts/yr · 120 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/macro
    p-value
    0.428
    Corrected q
    1.000
  • Time above the 50-day average: the 8 large caps that have spent the most of the past 126 days above their 50-day mean, monthly

    US stocks · +0.5 pts/yr · 92 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/stockxs
    p-value
    0.465
    Corrected q
    1.000
  • Nominal-yield trend duration: hold Treasury and credit-duration ETFs while the 10y yield proxy is below its 100-day mean

    ETFs · +0.3 pts/yr · 227 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/macro
    p-value
    0.385
    Corrected q
    1.000
  • Credit-confirmed trend: index above 200d only counts if HYG is too

    ETFs · +0.1 pts/yr · 4,237 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/macro
    p-value
    0.494
    Corrected q
    1.000
  • Darvas box breakout

    US stocks · −0.6 pts/yr · 105 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Nicolas Darvas box method, 1960 book
    p-value
    1.000
    Corrected q
    1.000
  • 200d exit honoured only after a yield-curve inversion in the past year

    ETFs · −0.7 pts/yr · 234 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/macro
    p-value
    1.000
    Corrected q
    1.000
  • 200d exit honoured only while the broad dollar is rising

    ETFs · −0.9 pts/yr · 459 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/macro
    p-value
    1.000
    Corrected q
    1.000
  • Equal weight among names above the 200d SMA, renormalised to full exposure (ETF monthly) - L2 timing only

    ETFs · −1.0 pts/yr · 227 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
  • Chande Kroll Stop (10/1/9) used stop-and-reverse

    crypto · −1.1 pts/yr · 1,847 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Chande & Kroll, The New Technical Trader (1994); TradingView built-in 'Chande Kroll Stop' defaults p=10 x=1 q=9
    p-value
    1.000
    Corrected q
    1.000
  • Time-series momentum QQQ/GLD with AGG as the safe sleeve (2005+)

    ETFs · −1.2 pts/yr · 242 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Moskowitz, Ooi & Pedersen 2012 JFE; Hurst, Ooi & Pedersen 2017 (a century of evidence on trend-following); Faber 2007
    p-value
    1.000
    Corrected q
    1.000
  • Dual moving average crossover (50/200 SMA) on SPY

    ETFs · −1.4 pts/yr · 13 trades · corrected q 1.000

    Full test: Golden Cross / Death Cross

    Source, p-value and result file
    Source
    Faber 2007 SSRN 962461
    p-value
    1.000
    Corrected q
    1.000
  • Does Dow Theory confirmation using DIA and XLI work?

    ETFs · −1.7 pts/yr · 2,116 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    retail trading content: Dow Theory industrial ETF confirmation DIA XLI
    p-value
    1.000
    Corrected q
    1.000
  • Trend factor from normalised moving averages, 12-month average slopes (wide US stocks)

    US stocks · −2.0 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Han, Zhou & Zhu 2016 JFE (a trend factor); lags above 200 dropped so warm-up fits the window
    p-value
    1.000
    Corrected q
    1.000
  • Triple MA alignment filter (GLD)

    ETFs · −2.3 pts/yr · 23 trades · corrected q 1.000

    Full test: Moving Average Crossover

    Source, p-value and result file
    Source
    Common retail trend-stacking heuristic
    p-value
    1.000
    Corrected q
    1.000
  • Trend gate + equal weight (ETF monthly)

    ETFs · −2.4 pts/yr · 227 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Faber 2007 GTAA timing-only cell
    p-value
    1.000
    Corrected q
    1.000
  • Supertrend computed on Heikin Ashi candles

    crypto · −2.8 pts/yr · 311 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Inverse-vol among names above the 200d SMA, renormalised to full exposure (ETF monthly) - L3 timing + sizing

    ETFs · −2.8 pts/yr · 227 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
  • 200-day SMA trend filter on QQQ

    ETFs · −2.9 pts/yr · 59 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Faber 2007, A Quantitative Approach to Tactical Asset Allocation
    p-value
    1.000
    Corrected q
    1.000
  • Faber GTAA 10-month SMA timing across 5 asset classes

    ETFs · −2.9 pts/yr · 222 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Faber 2007 SSRN 962461
    p-value
    1.000
    Corrected q
    1.000
  • Filter rule: 8% swing trend filter, long-only, 25 ETFs

    ETFs · −3.0 pts/yr · 489 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/acad4
    p-value
    1.000
    Corrected q
    1.000
  • Classic MACD(12,26,9) crossover (GLD)

    ETFs · −3.0 pts/yr · 203 trades · corrected q 1.000

    Full test: MACD Crossover

    Source, p-value and result file
    Source
    Appel, 'Technical Analysis: Power Tools for Active Investors'
    p-value
    1.000
    Corrected q
    1.000
  • Inverse-vol sizing, no trend gate (ETF monthly): matched control

    ETFs · −3.6 pts/yr · 233 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
  • Weekly floor pivot as a trend line (above P long, below S1 flat)

    ETFs · −3.6 pts/yr · 3,058 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • MACD zero-line cross (Murphy)

    ETFs · −3.6 pts/yr · 1,042 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Brock-Lakonishok-LeBaron trading-range break on crypto: close 1% above the 50-day closing high, exit 1% below the 50-day closing low

    crypto · −3.7 pts/yr · 228 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/acad4
    p-value
    1.000
    Corrected q
    1.000
  • Golden cross long with an RSI(14) overbought profit-take: out at RSI 75, back in at RSI 55 (equity ETFs)

    ETFs · −3.7 pts/yr · 185 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • Momentum turning points: slow 12-month + fast 1-month state machine, 25 ETFs (Goulding-Harvey-Mazzoleni)

    ETFs · −3.8 pts/yr · 229 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    1.000
    Corrected q
    1.000
  • 200d trend with a VIX-scaled hysteresis band

    ETFs · −4.0 pts/yr · 183 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/macro
    p-value
    1.000
    Corrected q
    1.000
  • Weekly Heikin-Ashi trend: long while the last completed weekly HA candle is green

    ETFs · −4.1 pts/yr · 1,580 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/retailta
    p-value
    1.000
    Corrected q
    1.000
  • AQR composite time-series momentum, vol-sized, long-only (25 discovery ETFs)

    ETFs · −4.3 pts/yr · 226 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Hurst, Ooi & Pedersen 2017 (AQR), via Till-Eagleeye SSRN top-20 #20
    p-value
    1.000
    Corrected q
    1.000
  • 200-day SMA with a fixed 3% envelope (whipsaw filter): in above +3%, out below -3% (equity ETFs)

    ETFs · −4.4 pts/yr · 107 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • Trend gate + inverse-vol sizing (ETF monthly)

    ETFs · −4.5 pts/yr · 227 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Baltas & Kosowski 2013 / Faber 2007
    p-value
    1.000
    Corrected q
    1.000
  • Kijun-sen cross: long when the close crosses above the 26-bar midpoint line

    ETFs · −4.5 pts/yr · 2,832 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/retailta
    p-value
    1.000
    Corrected q
    1.000
  • Parabolic SAR flip confirmed by the MACD histogram within three bars

    crypto · −4.6 pts/yr · 1,205 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/retailta
    p-value
    1.000
    Corrected q
    1.000
  • Hold only self-trending stocks when the index is below its 200-day average

    US stocks · −4.7 pts/yr · 360 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    O'Neil 1988 (leaders resist bear markets); Moskowitz, Ooi & Pedersen 2012 (time-series trend at the name level)
    p-value
    1.000
    Corrected q
    1.000
  • Short-horizon time-series momentum: 1-month lookback, 1-month hold, 25 ETFs, long-only (MOP 2012)

    ETFs · −4.8 pts/yr · 730 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    1.000
    Corrected q
    1.000
  • VIX-adaptive trend lookback: 50-day average when VIX is 20 or more, 200-day average when it is below

    ETFs · −4.8 pts/yr · 460 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/macro
    p-value
    1.000
    Corrected q
    1.000
  • Weinstein stage analysis on weekly bars: Stage 2 above a rising 30-week MA, exit only when price is below a flat-or-falling MA (Stage 4)

    ETFs · −4.9 pts/yr · 93 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • OBV above its 20-day average with price above the 50-day SMA (Granville)

    ETFs · −5.2 pts/yr · 3,163 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Trend t-statistic ranking: top 6 of 25 ETFs by the t-stat of the 126-day log-price slope, monthly

    ETFs · −5.5 pts/yr · 96 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/etfxs
    p-value
    1.000
    Corrected q
    1.000
  • Zweig four-percent model on weekly closes

    ETFs · −5.5 pts/yr · 433 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Zweig 1986 'Winning on Wall Street' (Ned Davis / Zweig four-percent model)
    p-value
    1.000
    Corrected q
    1.000
  • Risk-adjusted time-series momentum: weight by the trailing 1-year Sharpe, vol-targeted (Dudler-Gmuer-Malamud)

    ETFs · −5.6 pts/yr · 992 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    1.000
    Corrected q
    1.000
  • 52-week high breakout, 20-week trailing stop (QQQ)

    ETFs · −5.7 pts/yr · 8 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Darvas box / O'Neil CANSLIM breakout tradition
    p-value
    1.000
    Corrected q
    1.000
  • Minervini trend template screen

    US stocks · −5.7 pts/yr · 379 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Minervini 2013 'Trade Like a Stock Market Wizard' (trend template)
    p-value
    1.000
    Corrected q
    1.000
  • RSI crosses its own 14-period SMA (TradingView default RSI-based MA)

    ETFs · −6.1 pts/yr · 3,234 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Commodity trend taken only when the broad dollar is falling

    ETFs · −6.2 pts/yr · 277 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/macro
    p-value
    1.000
    Corrected q
    1.000
  • CTA-style MACD ensemble trend (3 EMA pairs, response-shaped), vol-targeted, 25 ETFs (Baz et al.)

    ETFs · −6.2 pts/yr · 948 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    1.000
    Corrected q
    1.000
  • Classic MACD(12,26,9) crossover (GLD) (wide US stocks)

    US stocks · −6.3 pts/yr · 14,068 trades · corrected q 1.000

    Full test: MACD Crossover

    Source, p-value and result file
    Source
    Appel, 'Technical Analysis: Power Tools for Active Investors'
    p-value
    1.000
    Corrected q
    1.000
  • Variance-ratio trending filter on momentum: 12-1 leaders among the ETFs whose 5-day variance ratio exceeds 1 (trending), monthly

    ETFs · −6.5 pts/yr · 79 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/etfxs
    p-value
    1.000
    Corrected q
    1.000
  • Year-to-date anchored VWAP trend filter (Shannon)

    US stocks · −6.6 pts/yr · 1,666 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Cyclical sector trend gated by the yield-curve sign: XLF, XLI, XLB, XLE and XLY held above their 100-day average only while 2s10s is positive

    ETFs · −6.7 pts/yr · 201 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/macro
    p-value
    1.000
    Corrected q
    1.000
  • EMA 20/50 cross accepted only when ADX(14) is above 25

    ETFs · −6.9 pts/yr · 52 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/retailta
    p-value
    1.000
    Corrected q
    1.000
  • Chaikin money-flow accumulation rank: 4 of 13 equity ETFs with the highest 63-day CMF above their 100-day SMA, monthly

    ETFs · −7.0 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/etfxs
    p-value
    1.000
    Corrected q
    1.000
  • Crypto 20% four-week stop-loss with trend re-entry

    crypto · −7.1 pts/yr · 499 trades · corrected q 1.000

    Source, p-value and result file
    Source
    u/Jorg4e, r/Daytrading 1wnxeh8 (size stops from maximum adverse excursion); Kaminski & Lo 2014 J. Financial Markets 'When do stop-loss rules stop losses?'
    p-value
    1.000
    Corrected q
    1.000
  • Fixed-length MA band breakout: 1% band above SMA50, 10-bar hold, 13 equity ETFs

    ETFs · −7.3 pts/yr · 727 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/acad4
    p-value
    1.000
    Corrected q
    1.000
  • 10% trailing stop on buy-and-hold with re-entry on a new 20-day closing high

    US stocks · −7.7 pts/yr · 848 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • McClellan oscillator on the 40-stock breadth

    US stocks · −8.5 pts/yr · 1,103 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    McClellan & McClellan 1970s ('Patterns for Profit'; McClellan Oscillator)
    p-value
    1.000
    Corrected q
    1.000
  • Protective Asset Allocation (breadth-based crash protection)

    ETFs · −8.8 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Keller & Keuning 2016 SSRN ('Protective Asset Allocation (PAA)')
    p-value
    1.000
    Corrected q
    1.000
  • 200-day SMA trend filter on QQQ (wide US stocks)

    US stocks · −8.8 pts/yr · 5,843 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Faber 2007, A Quantitative Approach to Tactical Asset Allocation
    p-value
    1.000
    Corrected q
    1.000
  • Dual moving average crossover (50/200 SMA) on SPY (wide US stocks)

    US stocks · −8.9 pts/yr · 1,132 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Faber 2007 SSRN 962461
    p-value
    1.000
    Corrected q
    1.000
  • Long-short index by VIX curve and 200d trend agreement

    ETFs · −9.0 pts/yr · 199 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/macro
    p-value
    1.000
    Corrected q
    1.000
  • Previous-week-high breakout with previous-week-low exit

    US stocks · −9.2 pts/yr · 2,712 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Turtle 20/10 Donchian breakout gated by ADX >= 25

    crypto · −9.5 pts/yr · 305 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Anchored VWAP from the latest confirmed swing low: long on the cross above it

    US stocks · −9.6 pts/yr · 3,527 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/retailta
    p-value
    1.000
    Corrected q
    1.000
  • Turnover-participation filter on a trend

    crypto · −9.7 pts/yr · 871 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • Chandelier Exit flip (LeBeau 22/3): long when the ratcheting ATR stop system turns long

    US stocks · −10.5 pts/yr · 2,362 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/retailta
    p-value
    1.000
    Corrected q
    1.000
  • Donchian 20-day breakout on BTC (crypto trend variant) (wide US stocks)

    US stocks · −10.5 pts/yr · 6,056 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Turtle Trader Donchian methodology adapted to crypto
    p-value
    1.000
    Corrected q
    1.000
  • Triple MA alignment filter (GLD) (wide US stocks)

    US stocks · −10.7 pts/yr · 1,583 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Common retail trend-stacking heuristic
    p-value
    1.000
    Corrected q
    1.000
  • Volume-augmented moving average rule: close above the 50-day average while 10-day volume exceeds 50-day volume, 13 equity ETFs

    ETFs · −10.7 pts/yr · 1,055 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/acad4
    p-value
    1.000
    Corrected q
    1.000
  • O'Neil follow-through day market buy

    ETFs · −10.8 pts/yr · 115 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Monthly 200-day SMA check: hold each coin above its 200-day average, checked only at month-end

    crypto · −10.8 pts/yr · 88 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/redteam
    p-value
    1.000
    Corrected q
    1.000
  • Tillson T3(20) trend line

    US stocks · −11.0 pts/yr · 2,901 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • 50-day trend with a 10-day stand-down after an equity VIX shock

    crypto · −11.0 pts/yr · 1,155 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Corbet, Larkin & Lucey 2020 FRL and Kristoufek 2023 (crypto-equity contagion rises in stress); VIX-shock risk-off practice
    p-value
    1.000
    Corrected q
    1.000
  • 52-week high breakout, 20-week trailing stop (QQQ) (wide US stocks)

    US stocks · −11.5 pts/yr · 679 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Darvas box / O'Neil CANSLIM breakout tradition
    p-value
    1.000
    Corrected q
    1.000
  • Matched control: plain 18-bar Donchian channel flip (stop-and-reverse)

    crypto · −11.8 pts/yr · 863 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
  • Double Bollinger Bands (Lien): buy a close entering the +1 to +2 sigma buy zone, exit at the mean

    US stocks · −11.9 pts/yr · 2,513 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/retailta
    p-value
    1.000
    Corrected q
    1.000
  • Vortex directional movement

    US stocks · −12.0 pts/yr · 803 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
  • Ripster EMA clouds (5/12 over 34/50) stacked long

    US stocks · −12.1 pts/yr · 1,444 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Turtle System 1 on US stocks: 20-day breakout taken only after a losing breakout, 55-day fail-safe, 2N stop, 10/20-day exits

    US stocks · −12.1 pts/yr · 1,190 trades · corrected q 1.000

    Full test: Donchian / Turtle Breakout

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • ADX turning up from below 20 with +DI leading (Wilder trend-start)

    US stocks · −12.3 pts/yr · 1,404 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Ichimoku full five-line confirmation (price, TK, cloud, future cloud, Chikou)

    crypto · −12.7 pts/yr · 1,145 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Does the Keltner channel breakout work on stocks?

    US stocks · −12.8 pts/yr · 1,205 trades · corrected q 1.000

    Full test: Keltner Channel Breakout

    Source, p-value and result file
    Source
    Chester Keltner / Linda Raschke; retail trading content: keltner channel breakout strategy 20 2
    p-value
    1.000
    Corrected q
    1.000
  • Kaufman adaptive moving average

    US stocks · −13.2 pts/yr · 1,097 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
  • CTA-style MACD ensemble trend, vol-targeted, wide US stocks (Baz et al.)

    US stocks · −13.3 pts/yr · 359 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    1.000
    Corrected q
    1.000
  • Supertrend(10,3) flip filtered by the 200 EMA

    US stocks · −13.4 pts/yr · 830 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • 55-day Donchian breakout on large-cap stocks, entries allowed only when VIX is below its 126-day mean

    US stocks · −13.6 pts/yr · 631 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/macro
    p-value
    1.000
    Corrected q
    1.000
  • TEMA(10)/TEMA(30) cross: triple exponential moving averages

    crypto · −13.7 pts/yr · 1,445 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/retailta
    p-value
    1.000
    Corrected q
    1.000
  • Aroon trend persistence

    US stocks · −14.1 pts/yr · 377 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
  • Elder Triple Screen on daily stocks: weekly MACD histogram rising, daily 2-day Force Index dip, buy the break of the prior day's high

    US stocks · −14.3 pts/yr · 1,608 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • Fixed 2:1 reward-to-risk bracket on a 20-day breakout above the 200-day: stop 2 ATR, target 4 ATR

    US stocks · −14.9 pts/yr · 1,493 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • Ichimoku Kumo twist: long when Senkou A crosses above Senkou B (future cloud turns bullish)

    crypto · −15.5 pts/yr · 491 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/retailta
    p-value
    1.000
    Corrected q
    1.000
  • O'Neil sell rules: 52-week-high breakout on volume with a 7% stop and a 20% profit target

    US stocks · −15.8 pts/yr · 317 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • Heikin Ashi strong candles (no lower wick) continuation (Valcu)

    US stocks · −16.1 pts/yr · 5,456 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Alexander filter rule at 20% on crypto: buy after a 20% rise from the trough, sell after a 20% fall from the peak, 18 coins

    crypto · −16.5 pts/yr · 637 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/acad4
    p-value
    1.000
    Corrected q
    1.000
  • Volatility-scaled time-series momentum (constant vol target) (wide US stocks)

    US stocks · −16.6 pts/yr · 1,884 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Baltas & Kosowski 2013 SSRN 2140091
    p-value
    1.000
    Corrected q
    1.000
  • 52-week-high breakout on double volume

    US stocks · −16.6 pts/yr · 261 trades · corrected q 1.000

    Source, p-value and result file
    Source
    O'Neil 1988 'How to Make Money in Stocks' (breakouts on volume); Gervais, Kaniel & Mingelgrin 2001 JF (volume shocks)
    p-value
    1.000
    Corrected q
    1.000
  • Inside bar breakout (wide US stocks)

    US stocks · −17.0 pts/yr · 40,456 trades · corrected q 1.000

    Source, p-value and result file
    Source
    classic price-action inside-bar breakout pattern
    p-value
    1.000
    Corrected q
    1.000
  • MACD signal cross taken only above the zero line

    crypto · −17.0 pts/yr · 471 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Walking the upper Bollinger band (expanding-band continuation)

    crypto · −17.1 pts/yr · 358 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Bollinger 2001 'Bollinger on Bollinger Bands' (walking the bands)
    p-value
    1.000
    Corrected q
    1.000
  • Bulkowski double bottom (Adam & Adam): two fractal lows within 3% at least 15 bars apart, 10% middle rise, buy the neckline break, measured-move target

    US stocks · −17.2 pts/yr · 52 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • O'Neil distribution-day market model on the 40-stock index

    US stocks · −17.2 pts/yr · 338 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    O'Neil 1988 'How to Make Money in Stocks' (distribution days and follow-through days)
    p-value
    1.000
    Corrected q
    1.000
  • Parabolic SAR flip trend-follow (wide US stocks)

    US stocks · −17.6 pts/yr · 7,555 trades · corrected q 1.000

    Source, p-value and result file
    Source
    YouTube 'top 5 indicators' compilations featuring Parabolic SAR
    p-value
    1.000
    Corrected q
    1.000
  • Volatility-scaled time-series momentum (constant vol target)

    US stocks · −17.6 pts/yr · 1,884 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Baltas & Kosowski 2013 SSRN 2140091
    p-value
    1.000
    Corrected q
    1.000
  • Ascending triangle breakout (Bulkowski)

    US stocks · −17.9 pts/yr · 173 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Five rising lows

    US stocks · −18.6 pts/yr · 385 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
  • Weinstein Stage 2 breakout (wide US stocks)

    US stocks · −18.7 pts/yr · 1,549 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Stan Weinstein stage analysis
    p-value
    1.000
    Corrected q
    1.000
  • DI-cross trend with ADX peak exit (exhaustion above 40)

    crypto · −19.2 pts/yr · 509 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Weinstein Stage 2 breakout

    US stocks · −19.9 pts/yr · 356 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Stan Weinstein stage analysis
    p-value
    1.000
    Corrected q
    1.000
  • Donchian 20 breakout with a 1.618 Fibonacci extension target

    crypto · −22.1 pts/yr · 702 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Monthly anchored VWAP with a 0.3% band (hourly crypto)

    crypto · −24.6 pts/yr · 4,825 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Donchian Channel 20-bar breakout (turtle-lite)

    crypto · −24.8 pts/yr · 950 trades · corrected q 1.000

    Source, p-value and result file
    Source
    YouTube 'Turtle Trading breakout strategy' tutorials, Curtis Faith's 'Way of the Turtle'
    p-value
    1.000
    Corrected q
    1.000
  • Realised-price proxy: 90-day VWAP as cost basis

    crypto · −25.2 pts/yr · 673 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • Monthly market structure: higher high and higher low on completed monthly bars

    crypto · −26.2 pts/yr · 226 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • Mayer Multiple overheat exit: long while close is below 2.4x the 200-day SMA, flat above it (crypto)

    crypto · −31.7 pts/yr · 135 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • Crypto 3-month time-series momentum, monthly check, long-only (MOP horizon test in crypto)

    crypto · −31.8 pts/yr · 169 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    1.000
    Corrected q
    1.000
  • Long-term-holder cost-basis proxy: 155-day VWAP reclaim

    crypto · −31.9 pts/yr · 353 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • Faber 10-month SMA timing on crypto: long when the monthly close is above the 10-month average, cash otherwise

    crypto · −35.5 pts/yr · 109 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • Funding-confirmed SMA(20/50) cross, long and short

    crypto · −36.1 pts/yr · 523 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/cryptoderiv
    p-value
    1.000
    Corrected q
    1.000
  • Traders Dynamic Index (TDI) fast/slow cross above 50

    crypto · −36.4 pts/yr · 907 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Momentum turning points: slow 12-month + fast 1-month state machine, 18 crypto (Goulding-Harvey-Mazzoleni)

    crypto · −39.1 pts/yr · 78 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    1.000
    Corrected q
    1.000
  • Vegas Tunnel (EMA 144/169) with EMA 12 trigger

    crypto · −43.3 pts/yr · 3,053 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Weekly wide-range bar closing near its high

    crypto · −44.0 pts/yr · 265 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Crabel 1990 'Day Trading with Short Term Price Patterns and Opening Range Breakout' (range expansion); Larry Williams 1999 (wide-range bars)
    p-value
    1.000
    Corrected q
    1.000
  • CTA-style MACD ensemble trend, vol-targeted, 18 crypto (Baz et al.)

    crypto · −45.2 pts/yr · 290 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    1.000
    Corrected q
    1.000
  • Funding-gated 20-day breakout (spot-led breakouts long, leveraged breakdowns short)

    crypto · −45.7 pts/yr · 503 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Schmeling, Schrimpf & Todorov 2023 'Crypto carry' (BIS WP 1087); Kaiko/Glassnode desk notes on spot-led vs perp-led breakouts
    p-value
    1.000
    Corrected q
    1.000
  • Darvas box breakout on crypto: 3-day confirmed box top and bottom near a 100-day high, buy the top on 1.5x volume, stop under the box

    crypto · −46.8 pts/yr · 108 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • AQR composite time-series momentum, vol-sized, long-only (18 crypto pairs)

    crypto · −47.0 pts/yr · 67 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Hurst, Ooi & Pedersen 2017 (AQR), via Till-Eagleeye SSRN top-20 #20
    p-value
    1.000
    Corrected q
    1.000
  • Double-bottom neckline breakout

    crypto · −48.3 pts/yr · 125 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Bulkowski 2005 'Encyclopedia of Chart Patterns' (double bottoms, Eve & Eve / Adam & Adam); Lo, Mamaysky & Wang 2000 JF (pattern recognition)
    p-value
    1.000
    Corrected q
    1.000
  • Trend held weekdays only: flat over the weekend

    crypto · −51.5 pts/yr · 3,694 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • Parabolic SAR flip trend-follow

    crypto · −51.5 pts/yr · 3,027 trades · corrected q 1.000

    Full test: ADX and Parabolic SAR

    Source, p-value and result file
    Source
    YouTube 'top 5 indicators' compilations featuring Parabolic SAR
    p-value
    1.000
    Corrected q
    1.000
  • Turtle system scaled to hours: 480-bar breakout, 240-bar exit

    crypto · −52.7 pts/yr · 650 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/intraday
    p-value
    1.000
    Corrected q
    1.000
  • Donchian channel breakout long-term (55/20)

    crypto · −55.1 pts/yr · 3,558 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Curtis Faith 'Way of the Turtle' 2007
    p-value
    1.000
    Corrected q
    1.000
  • All-time-high breakout with a 15% trailing exit

    crypto · −56.3 pts/yr · 79 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Li & Yu 2012 JFE ('Investor attention, psychological anchors': nearness to the historical high predicts returns); George & Hwang 2004
    p-value
    1.000
    Corrected q
    1.000
  • Post-monthly-options-expiry breakout window

    crypto · −58.6 pts/yr · 138 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • Stealth breakout: 20-day high on below-median volume

    crypto · −59.2 pts/yr · 108 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • Dual Thrust stop-and-reverse on UTC days

    crypto · −60.5 pts/yr · 2,614 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Michael Chalek, Dual Thrust system (widely used in Chinese CTA practice; Pruitt 2016 'The Ultimate Algorithmic Trading System Toolbox')
    p-value
    1.000
    Corrected q
    1.000
  • 72-hour regression t-statistic trend (|t| >= 3)

    crypto · −65.7 pts/yr · 6,096 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/intraday
    p-value
    1.000
    Corrected q
    1.000
  • Hourly EMA(24/120) trend confirmed by 24-bar mean funding

    crypto · −71.1 pts/yr · 3,143 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/cryptoderiv
    p-value
    1.000
    Corrected q
    1.000
  • Inside bar breakout

    crypto · −74.9 pts/yr · 6,666 trades · corrected q 1.000

    Source, p-value and result file
    Source
    classic price-action inside-bar breakout pattern
    p-value
    1.000
    Corrected q
    1.000
  • 72-hour breakout, buy the first successful retest

    crypto · −76.0 pts/yr · 1,914 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Edwards & Magee 'Technical Analysis of Stock Trends' (breakout pullback / throwback); Bulkowski 2005 (throwbacks)
    p-value
    1.000
    Corrected q
    1.000
  • Prior-week high/low breakout

    crypto · −78.3 pts/yr · 2,003 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/intraday
    p-value
    1.000
    Corrected q
    1.000
  • Elder triple screen: 50-day uptrend, hourly RSI pullback

    crypto · −78.6 pts/yr · 1,109 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Elder 1993 'Trading for a Living' (Triple Screen system)
    p-value
    1.000
    Corrected q
    1.000
  • 72-hour breakout taken only in neutral-to-greedy sentiment

    crypto · −82.5 pts/yr · 1,222 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Antoniou, Doukas & Subrahmanyam 2013 JFQA (momentum works in optimistic, not extreme, sentiment); alternative.me F&G
    p-value
    1.000
    Corrected q
    1.000
  • Weekend range breakout in the Monday-Tuesday session

    crypto · −82.8 pts/yr · 2,329 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • Trend held only while leverage (OI per unit of turnover) is below its median

    crypto · −83.3 pts/yr · 234 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Adrian & Shin 2010 JFI (leverage cycles); Brunnermeier & Pedersen 2009; crypto desk use of OI/volume 'leverage ratio'
    p-value
    1.000
    Corrected q
    1.000
  • Volatility-managed trend: long only when short-run vol is below long-run vol

    crypto · −83.4 pts/yr · 720 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/intraday
    p-value
    1.000
    Corrected q
    1.000
  • Joint 30-day high in price and open interest, exit on 10% OI drawdown

    crypto · −86.0 pts/yr · 135 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • Trend held only outside US cash hours

    crypto · −93.1 pts/yr · 14,061 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/intraday
    p-value
    1.000
    Corrected q
    1.000
  • Fibonacci 61.8% retracement entry inside a 168-hour swing

    crypto · −96.5 pts/yr · 2,908 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/intraday
    p-value
    1.000
    Corrected q
    1.000
  • Keltner channel breakout on hourly crypto (EMA24 +/- 2.5 ATR24)

    crypto · −101.6 pts/yr · 6,427 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/intraday
    p-value
    1.000
    Corrected q
    1.000
  • Triple-EMA ribbon pullback to the 21 EMA

    crypto · −104.7 pts/yr · 12,888 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/intraday
    p-value
    1.000
    Corrected q
    1.000
  • Hourly trend only during US hours

    crypto · −105.6 pts/yr · 8,524 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • UTC-day opening-range breakout (first 4 hours)

    crypto · −135.0 pts/yr · 18,574 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Crabel 1990 (opening range breakout); Zarattini & Aziz 2023 SSRN 'Can day trading really be profitable?' (ORB)
    p-value
    1.000
    Corrected q
    1.000
  • Wilder DMI/ADX(14) trend: +DI/-DI cross with ADX above 25

    crypto · −138.3 pts/yr · 7,780 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/intraday
    p-value
    1.000
    Corrected q
    1.000
  • Daily and weekly open alignment trend

    crypto · −142.9 pts/yr · 24,661 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/intraday
    p-value
    1.000
    Corrected q
    1.000
  • Ichimoku cloud breakout on hourly crypto (9/26/52)

    crypto · −146.2 pts/yr · 30,751 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/intraday
    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.

Related families