bearish_trend_breakout
Bearish Trend Breakout
Identifies stocks trading near short-term highs but within long-term lows, confirmed by a 20-day new high. Triggers when price is above the Nth percentile of the short range, today's OR yesterday's close is below the Nth percentile of the long range, AND the day makes a new N-day high on a non-down candle (close ≥ open).
Signal family
Trend — Signals that fire when price is continuing or reversing an established directional move. Momentum-following by nature.
Parameters
| Name | Description | Default | Range |
|---|---|---|---|
| short_months | Short range (calendar months) | 3 | 1–6 |
| short_percentile | Short range percentile | 80 | 50–99 |
| long_years | Long range (calendar years) | 5 | 2–10 |
| long_percentile | Long range percentile | 25 | 1–50 |
| breakout_period | New high lookback (days) | 20 | 5–60 |
Historical context
699,289 triggers on 17,066 tickers, 1996-12-02 → 2026-08-14. Universe: global — all covered exchanges (mcap ≥ $100,000,000, price ≥ $1). Long-only convention: BUY at open T+1, hold the horizon, compare to S&P 500 Equal Weight over the same window.
Methodology footnotes
Benchmarks shown in the detail tables: spxew (S&P 500 Equal Weight — primary, median-stock view, avoids the 2020+ megacap-concentration distortion), spx (S&P 500 cap-weighted, distorted post-2020), msci (MSCI World USD). Per-stock regime tags: trending = ADX(14) ≥ 25, high vol = 20d realized annualized vol ≥ 20%. 1d return = intraday T+1 open→close; 20d = open T+1 to close T+20.
At a glance — alpha vs S&P 500 Equal Weight, global universe
Holding-period sensitivity. Bullish columns: positive = signal worked (long the trigger beat the index). Bearish columns: negative = signal worked (the flagged stock underperformed).
| Horizon | Bullish α |
|---|---|
| 5-day | +0.07% |
| 20-day | +0.46% |
| 60-day | +0.60% |
| 1-year | +5.99% |
Bearish Trend Breakout is a single-direction signal — only the bullish side is meaningful.
Where does BEARISH_TREND_BREAKOUT actually fire?
The bucket distribution often reveals what the signal really is, regardless of its textbook label. Heavy concentration in "non-trending + high vol" = it's mostly a chop-market event. Heavy in "trending + low vol" = it picks up the smooth grinds. Read the chart before the alpha numbers — context shapes everything that follows.
Does it work in every regime?
Trigger alpha split by the host stock's own regime on the trigger date — trending or ranging, high-vol or low-vol. The 20d alpha you'd actually capture if you took the trade. Bars matching your direction's "right" sign (positive for bullish, negative for bearish) = the signal worked in that regime; opposite sign = avoid it there. A signal with one strong-positive bar and three flat ones isn't a "20d alpha" signal — it's a "20d alpha when the stock is X" signal.
Does it work in every era?
A multi-year average can hide major instability. The sample splits into three windows: 2015–2019 (pre-COVID), 2020–2022 (pandemic + 2022 bear), and 2023+ (post-ZIRP + AI megacap rally). All three matching your direction's "right" sign = the signal is durable. One era doing all the work = a regime-specific edge that may not repeat. The bigger the variance across eras, the smaller the position you should run. Long-history signal: requires 1260 trading days of prior data per ticker. The earliest era may show fewer triggers as a result.
Longer-horizon views
This signal carries a long lookback window (1260 trading days of prior history required per ticker), suggesting it's designed to catch moves that play out over months, not days. The charts below repeat the quadrant and sub-period analyses at the 60-day and 1-year (252-day) horizons so you can see how the signal's relationship with the benchmark evolves with holding period.
60-day alpha by stock regime
60-day alpha by era
1-year alpha by stock regime
1-year alpha by era
1-year observed lift vs random-date null — bullish side
↑ Bullish triggers
| Bench | Metric | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|
| spxew | Stock % | +0.05% | +0.42% | +1.71% | +4.39% | +22.99% |
| Bench % | +0.04% | +0.18% | +0.72% | +2.06% | +10.82% | |
| Alpha % | -0.01% | +0.07% | +0.46% | +0.60% | +5.99% | |
| Median alpha | -0.12% | -0.42% | -1.08% | -2.90% | -6.06% | |
| Hit rate (α>0) | 47.2% | 46.2% | 45.4% | 43.1% | 43.1% | |
| p (naive) | 0.0047 | <0.001 | <0.001 | <0.001 | <0.001 | |
| p (HAC) | 0.0046 | <0.001 | <0.001 | <0.001 | <0.001 | |
| N | 398,200 | 382,993 | 380,001 | 377,804 | 343,363 | |
| spx | Stock % | +0.05% | +0.42% | +1.71% | +4.39% | +22.99% |
| Bench % | +0.02% | +0.23% | +1.02% | +3.18% | +14.77% | |
| Alpha % | +0.00% | +0.02% | +0.15% | -0.56% | +1.80% | |
| Median alpha | -0.12% | -0.49% | -1.38% | -4.08% | -10.65% | |
| Hit rate (α>0) | 47.1% | 45.6% | 44.2% | 40.6% | 38.7% | |
| p (naive) | 0.9879 | 0.0795 | <0.001 | <0.001 | <0.001 | |
| p (HAC) | 0.9879 | 0.1870 | 0.0006 | <0.001 | <0.001 | |
| N | 400,214 | 386,651 | 385,628 | 380,926 | 346,272 | |
| msci | Stock % | +0.05% | +0.42% | +1.71% | +4.39% | +22.99% |
| Bench % | +0.04% | +0.21% | +0.87% | +2.59% | +12.26% | |
| Alpha % | -0.02% | +0.05% | +0.32% | +0.04% | +4.31% | |
| Median alpha | -0.14% | -0.47% | -1.25% | -3.54% | -8.19% | |
| Hit rate (α>0) | 46.7% | 45.8% | 44.8% | 41.7% | 41.2% | |
| p (naive) | 0.0002 | <0.001 | <0.001 | 0.3144 | <0.001 | |
| p (HAC) | 0.0002 | 0.0032 | <0.001 | 0.6970 | <0.001 | |
| N | 400,772 | 387,834 | 386,567 | 381,466 | 346,846 |
Permutation null detail — all horizons × each benchmark
| Horizon | Bench | Observed lift | Null mean | Null 95% CI | pperm |
|---|---|---|---|---|---|
| 1d | spxew | +0.12% | +0.08% | [+0.07%, +0.09%] | 0.005 |
| 1d | spx | +0.12% | +0.09% | [+0.08%, +0.10%] | 0.005 |
| 1d | msci | +0.13% | +0.09% | [+0.08%, +0.10%] | 0.005 |
| 5d | spxew | +0.53% | +0.36% | [+0.34%, +0.38%] | 0.005 |
| 5d | spx | +0.51% | +0.37% | [+0.36%, +0.40%] | 0.005 |
| 5d | msci | +0.53% | +0.38% | [+0.37%, +0.41%] | 0.005 |
| 20d | spxew | +1.85% | +1.18% | [+1.14%, +1.23%] | 0.005 |
| 20d | spx | +1.75% | +1.21% | [+1.17%, +1.25%] | 0.005 |
| 20d | msci | +1.80% | +1.22% | [+1.18%, +1.27%] | 0.005 |
| 60d | spxew | +3.71% | +2.69% | [+2.62%, +2.76%] | 0.005 |
| 60d | spx | +3.26% | +2.74% | [+2.68%, +2.81%] | 0.005 |
| 60d | msci | +3.35% | +2.76% | [+2.70%, +2.83%] | 0.005 |
| 252d | spxew | +11.91% | +5.60% | [+5.48%, +5.73%] | 0.005 |
| 252d | spx | +11.38% | +5.89% | [+5.77%, +6.00%] | 0.005 |
| 252d | msci | +11.16% | +5.79% | [+5.67%, +5.90%] | 0.005 |
Example triggers on US large-caps (2023+, mcap ≥ $30B)
Six recent bullish BEARISH_TREND_BREAKOUT triggers on US mega-caps. Top three: the signal's best outcomes. Bottom three: the worst. Extreme outliers (|α| > 25%) excluded. The three best and three worst are still tail outcomes by construction — read them as the range, not the typical result.
Strongest outcomes (what BEARISH_TREND_BREAKOUT looks like when it works)
Weakest outcomes (what BEARISH_TREND_BREAKOUT looks like when it fails)
Stock-regime quadrants (2×2 per-stock, 20d alpha detail table)
| Quadrant | N | Stock % (spxew) | Bench % (spxew) | Alpha % (spxew) | p (HAC) | Stock % (spx) | Bench % (spx) | Alpha % (spx) | p (HAC) | Stock % (msci) | Bench % (msci) | Alpha % (msci) | p (HAC) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Trending + Low vol Clean directional grind, low whipsaw | 69,487 | +1.34% | +0.43% | +0.19% | 0.0912 | +1.34% | +0.78% | -0.13% | 0.2422 | +1.34% | +0.64% | +0.04% | 0.7409 |
| Trending + High vol Crisis selloff or parabolic rally | 319,152 | +1.75% | +0.74% | +0.47% | <0.001 | +1.75% | +1.05% | +0.15% | 0.0437 | +1.75% | +0.91% | +0.32% | <0.001 |
| Non-trending + Low vol Quiet chop, summer doldrums | 59,404 | +1.08% | +0.51% | +0.23% | 0.0016 | +1.08% | +0.82% | -0.08% | 0.2803 | +1.08% | +0.65% | +0.10% | 0.1555 |
| Non-trending + High vol Classical "whipsaw zone" for momentum | 251,245 | +1.93% | +0.81% | +0.61% | <0.001 | +1.93% | +1.07% | +0.31% | <0.001 | +1.93% | +0.92% | +0.48% | <0.001 |
Sub-period breakdown table (20d alpha)
| Period | N | Alpha % (spxew) | p (HAC) | Alpha % (spx) | p (HAC) | Alpha % (msci) | p (HAC) |
|---|---|---|---|---|---|---|---|
| 2015-2019 2015-01-01 → 2020-01-01 | 135,760 | +0.06% | 0.4477 | -0.17% | 0.0229 | +0.07% | 0.3623 |
| 2020-2022 2020-01-01 → 2023-01-01 | 115,716 | +0.53% | <0.001 | +0.67% | <0.001 | +0.77% | <0.001 |
| 2023-2026 2023-01-01 → 2099-01-01 | 161,262 | +0.74% | <0.001 | +0.06% | 0.3861 | +0.23% | 0.0014 |
Methodology and caveats
How to read. Entry at open of T+1 (one trading day after the signal fires on close of T). 20d = open T+1 to close T+20. Alpha = stock return − benchmark return over the same window (Convention A, single-sided, textbook). For bullish triggers, POSITIVE alpha = signal was right. For bearish triggers, NEGATIVE alpha = signal was right (stock underperformed market). No sign-flipping; the direction of the bet determines what "good" looks like. Per-stock regime is each stock's own ADX(14) and RV(20) at the trigger date — not market-wide state.
Three p-values, three robustness tests. (a) p_naive: scipy one-sample t-test on winsorized alphas. Optimistic because overlapping 20d windows on the same ticker inflate effective N. (b) p_hac: Newey-West HAC with lag = horizon — corrects for the overlap and is the academic-finance standard. (c) p_perm: one-sided fraction of 200 random-date null iterations falling in the “signal was right” tail (mean ≥ observed for bullish; mean ≤ observed for bearish). Tests whether the signal beats random date selection at all. A signal that clears all three (pnaive, phac, pperm all < 0.05) has real information; a signal that fails pperm has not beaten random timing whatever the t-test says — and because the test is one-sided, a pperm up at its 1.000 ceiling is not "no edge" but inverted edge: every random draw served the claimed direction better than the trigger dates did.
Caveats. (i) Universe reflects today's active tickers; delisted losers pruned → survivorship bias. (ii) Mcap ≥ $100M filter uses today's snapshot, not point-in-time — mild lookahead on which stocks enter the sample, not on returns. (iii) Means and p-values use winsorized alphas (1/99 percentile) to prevent data errors from dominating. Medians and hit rates use raw data. (iv) Zero transaction costs assumed. Realistic bid-ask + commissions remove 20–40bps from 20d alpha on US large-caps, more on small-cap. Sub-20bps alpha is noise in practice. (v) Past performance does not predict future results.
How to use this
1 · When to reach for this signal
Use Bearish Trend Breakout bullish as a long-side screening tile. Bullish 20d alpha is +0.46% and beats random (permutation test, 200 iterations). This signal fires bullish-only — there is no bearish variant.
These verdicts are 20-day holds vs S&P 500 Equal Weight. Longer horizons can differ in either direction — check the permutation detail tables below before extrapolating.
2 · When it works — the setups that drive it
- Best bullish setup: Non-trending + High vol — alpha +0.61% / 20d on 251,245 historical triggers.
- Best era for bullish: 2023-2026 — alpha +0.74% / 20d on 161,262 triggers.
3 · When it fails — common false positives
- Weakest bullish cell: Trending + Low vol — alpha +0.19% / 20d on 69,487 triggers.
- Worst era for bullish: 2015-2019 — alpha +0.06% / 20d on 135,760 triggers.
Signal-specific failure patterns
4 · Pairing inside a screen
The statements below describe how this signal relates to others by construction — which indicator family it belongs to, and where same-family redundancy might reduce the independence of evidence inside a Daily Report. These are taxonomic classifications drawn from standard technical-analysis texts; they are not pairing backtests. Measured pair results — same-day co-fires put through the pair backtest — follow under “Measured pairings” below.
Base-breakout / stage-transition family
The construction — long-term weakness plus fresh short-term strength — is the quantified version of a stage-1-to-stage-2 transition in stage analysis (Weinstein, Secrets for Profiting in Bull and Bear Markets, 1988) and of the base-breakout concept in classical charting (Edwards & Magee, Technical Analysis of Stock Trends, 11th ed. 2018). Note the built-in overlap: the confirmation leg literally requires a 20-day high, so this signal and New 20d High will frequently fire on the same stock the same day — counting both inside a convergence screen double-counts one event rather than adding independent evidence.
Measured pairings — Bonferroni survivors
Beyond the literature pairings above, these are the same-day co-fire combinations involving Bearish Trend Breakout that cleared the pair backtest's Bonferroni cut on the full 2016–2026 sample (549 pairs × 5 horizons = 2,745 hypotheses), on universes filtered to ADV ≥ $5M, price ≥ $5 and market cap ≥ $100M. That cut is two-sided: it asks only whether the co-fire's α is reliably different from zero, in either direction, so a pair can survive by reliably underperforming — 2 of the 9 rows below do exactly that (negative full-sample α). The same run holds out 2023+: the Test columns are that held-out window, printed for every row with enough held-out co-fires to measure, so a survivor that did not repeat out of sample is visible rather than hidden. All α figures here are for holding the stock long after the co-fire — no shorting assumed, and no sign flip for bearish legs. So positive α means the co-fire was followed by outperformance and negative α by underperformance, whichever way either leg points — a bearish leg does not flip the reading. Survivors are rare by design — absence of a pair here means it did not clear the cut, not that it was untested. Ranked by held-out (2023+) α. Historical tendencies, not recommendations.
Hong Kong
| Pair (same-day co-fire, long) | Full α | Test α (2023+) | Test N | p_perm test |
|---|---|---|---|---|
| bearish_trend_breakout bullish + volume_breakout bullish | +1.69% | +2.06% | 907 | 0.002 |
| bearish_trend_breakout bullish + new_20d_high bullish | +1.04% | +1.32% | 2,925 | 0.002 |
2 of this universe's 23 surviving pairs involve this signal · α vs ^HSI.
China A-shares — 7 surviving pairs
| Pair (same-day co-fire, long) | Full α | Test α (2023+) | Test N | p_perm test |
|---|---|---|---|---|
| bearish_trend_breakout bullish + stochastics bearish | +1.13% | +1.52% | 2,364 | 0.002 |
| bearish_trend_breakout bullish + new_20d_high bullish | +0.70% | +1.43% | 38,486 | 0.002 |
| bearish_trend_breakout bullish + volume_breakout bullish | +0.44% | +1.35% | 18,172 | 0.002 |
| bearish_trend_breakout bullish + hh_hl_streak bullish | +0.82% | +1.20% | 5,170 | 0.002 |
| bearish_trend_breakout bullish + bollinger bearish | +1.54% | +0.90% | 672 | 0.052 |
| bearish_trend_breakout bullish + double_top_breakout bullish | -1.19% | -0.51% | 2,031 | 0.098 |
| bearish_trend_breakout bullish + vwap_cross bullish | -0.94% | -0.66% | 1,973 | 0.022 |
7 of this universe's 138 surviving pairs involve this signal · α vs 83188.HK.
China A-share survivor α runs large but skews toward small-caps, where trading costs and thin liquidity claim a large share of any measured edge — screening context, not a capturable spread.
What would likely rescue this signal
This block calls out the data or conditions that could turn a technically weak signal into a usable one in a composite screen. Based on signal mechanics and the observed failure patterns above; individual combinations are not yet backtested.
- Fundamental-improvement filter (live since July 2026) — The report builder's fundamentals filter can now require improving business metrics alongside the trigger — for example positive year-over-year revenue and earnings growth with contained leverage (debt/EBITDA). That is the natural way to separate repair stories from bear-rally bounces, and it needs no extra data source: combine the signal with fundamentals conditions in the same report.
- Catalyst confirmation — A multi-year-low breakout is more plausible when tied to an identifiable event: new management, divestiture, regulatory approval, major contract, strategic pivot. Catalyst-tagged triggers are plausibly a different population than no-catalyst ones. This still requires a news / event data source layered on top of the technical trigger.
- Peer / sector breadth filter — Isolated reversals inside a still-declining sector rarely stick. Requiring the stock's sector to also be broadening (for example, a majority of sector members trading near or above their long-term averages) before the trigger counts would filter lone bounces. The breadth engine already computes this data; wiring it into the screen filter layer is implementation work, not a new data source.
- Valuation anchor — Stocks emerging from multi-year lows while cheap on absolute valuation (low P/E, P/B, or EV/EBITDA — all available in the live fundamentals filter) are a structurally different bet than those still carrying premium multiples after the decline. Sector-relative decile ranking would be a further refinement beyond the current absolute-threshold filter.
See also Why technical-only signals don't survive on their own for the broader argument.
5 · Before you act — a 5-point checklist
- Normal trading day? Rule out earnings (within ±3 days), ex-dividend, or known corporate-action dates — the signal is almost certainly reading noise, not momentum, in those windows.
- Where is price vs its own 50 / 200 DMA? A trend signal is only as credible as the underlying trend it claims to confirm. Check the 200DMA orientation before acting.
- What's the sector breadth doing? An isolated signal in a broadly down-trending sector is a lower-confidence setup than one firing with the rest of its peer group.
- Is ADV20 enough for your size? If the trigger is on a $500M name and you want to move $1M notional, you're the tape. Consider adv20d ≥ 5% of your intended position.
- What invalidates you? Define a price level (for longs: a close below the trigger-day low; for shorts: close above the trigger-day high) and honor it. The backtest alpha is an average; any one trade can be at either tail.
Execution notes
Treat this as a reversal-candidate screen, not an entry trigger: it nominates stocks attempting to exit multi-year declines, and the base-versus-bear-rally question has to be settled with information the price series does not contain. Consult the at-a-glance table and the permutation-null line above for whether the current global run clears the random-date baseline, and at which horizons — those values refresh with each backtest and are the authority, not this prose. If you trade triggers directly, standard discipline applies: firm invalidation (a close back below the trigger-day low), a time stop if the move stalls, and de-duplication of repeat fires from the same base. Everything here is a description of historical tendency, not a recommendation.
See a live screen of this signal
Curated Daily Reports that screen for this signal, refreshed at the open, midday and close — free to view, no account needed: