bullish_trend_breakdown
Bullish Trend Breakdown
Reverse of Bearish Trend Breakout. Identifies stocks in a long-term uptrend that are breaking down short-term, confirmed by a 20-day new low. Triggers when price is below the Nth percentile of the short range, today's OR yesterday's close is above the Nth percentile of the long range, AND the day makes a new N-day low on a non-up 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 | 20 | 1–50 |
| long_years | Long range (calendar years) | 5 | 2–10 |
| long_percentile | Long range percentile | 75 | 50–99 |
| breakdown_period | New low lookback (days) | 20 | 5–60 |
Historical context
383,286 triggers on 14,768 tickers, 1996-12-16 → 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 | Bearish α |
|---|---|
| 5-day | +0.08% |
| 20-day | -0.02% |
| 60-day | +0.01% |
| 1-year | -0.58% |
Bullish Trend Breakdown is a single-direction signal — only the bearish side is meaningful.
Where does BULLISH_TREND_BREAKDOWN 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 — bearish side
↓ Bearish triggers negative alpha = signal was right (stock underperformed market)
| Bench | Metric | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|
| spxew | Stock % | -0.01% | +0.26% | +0.80% | +2.34% | +7.92% |
| Bench % | +0.01% | +0.17% | +0.72% | +2.31% | +8.39% | |
| Alpha % | -0.01% | +0.08% | -0.02% | +0.01% | -0.58% | |
| Median alpha | -0.04% | -0.02% | -0.32% | -0.97% | -4.68% | |
| Hit rate (α>0) | 48.9% | 49.7% | 47.8% | 46.3% | 42.3% | |
| p (naive) | 0.1596 | <0.001 | 0.2091 | 0.7069 | <0.001 | |
| p (HAC) | 0.1588 | <0.001 | 0.4531 | 0.8634 | 0.0189 | |
| N | 221,867 | 214,298 | 212,600 | 210,924 | 193,294 | |
| spx | Stock % | -0.01% | +0.26% | +0.80% | +2.34% | +7.92% |
| Bench % | -0.00% | +0.23% | +0.96% | +2.90% | +11.24% | |
| Alpha % | -0.00% | +0.01% | -0.27% | -0.63% | -3.51% | |
| Median alpha | -0.03% | -0.08% | -0.54% | -1.56% | -7.29% | |
| Hit rate (α>0) | 49.0% | 48.9% | 46.2% | 44.1% | 38.3% | |
| p (naive) | 0.4330 | 0.3106 | <0.001 | <0.001 | <0.001 | |
| p (HAC) | 0.4310 | 0.4110 | <0.001 | <0.001 | <0.001 | |
| N | 222,777 | 215,877 | 214,484 | 212,785 | 195,669 | |
| msci | Stock % | -0.01% | +0.26% | +0.80% | +2.34% | +7.92% |
| Bench % | -0.01% | +0.19% | +0.80% | +2.33% | +8.62% | |
| Alpha % | +0.01% | +0.07% | -0.08% | -0.02% | -0.89% | |
| Median alpha | -0.03% | -0.04% | -0.37% | -0.99% | -4.60% | |
| Hit rate (α>0) | 49.0% | 49.5% | 47.4% | 46.3% | 42.6% | |
| p (naive) | 0.0075 | <0.001 | <0.001 | 0.4810 | <0.001 | |
| p (HAC) | 0.0076 | <0.001 | 0.0035 | 0.7498 | 0.0004 | |
| N | 223,021 | 215,930 | 214,727 | 212,950 | 195,824 |
Permutation null detail — all horizons × each benchmark
| Horizon | Bench | Observed lift | Null mean | Null 95% CI | pperm |
|---|---|---|---|---|---|
| 1d | spxew | +0.08% | +0.04% | [+0.03%, +0.05%] | 1.000 |
| 1d | spx | +0.07% | +0.05% | [+0.04%, +0.06%] | 1.000 |
| 1d | msci | +0.11% | +0.05% | [+0.04%, +0.06%] | 1.000 |
| 5d | spxew | +0.25% | +0.19% | [+0.16%, +0.21%] | 1.000 |
| 5d | spx | +0.21% | +0.20% | [+0.18%, +0.23%] | 0.706 |
| 5d | msci | +0.26% | +0.21% | [+0.19%, +0.23%] | 1.000 |
| 20d | spxew | +0.35% | +0.58% | [+0.53%, +0.62%] | 0.005 |
| 20d | spx | +0.32% | +0.61% | [+0.57%, +0.66%] | 0.005 |
| 20d | msci | +0.37% | +0.62% | [+0.58%, +0.67%] | 0.005 |
| 60d | spxew | +0.63% | +1.36% | [+1.28%, +1.44%] | 0.005 |
| 60d | spx | +0.69% | +1.41% | [+1.33%, +1.49%] | 0.005 |
| 60d | msci | +0.79% | +1.42% | [+1.34%, +1.50%] | 0.005 |
| 252d | spxew | -0.94% | +3.03% | [+2.88%, +3.19%] | 0.005 |
| 252d | spx | -0.48% | +3.23% | [+3.09%, +3.39%] | 0.005 |
| 252d | msci | -0.45% | +3.16% | [+3.02%, +3.31%] | 0.005 |
Example triggers on US large-caps (2023+, mcap ≥ $30B)
Six recent bearish BULLISH_TREND_BREAKDOWN 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 BULLISH_TREND_BREAKDOWN looks like when it works)
Weakest outcomes (what BULLISH_TREND_BREAKDOWN 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 | 64,475 | +0.36% | +0.72% | -0.52% | <0.001 | +0.36% | +0.93% | -0.76% | <0.001 | +0.36% | +0.75% | -0.56% | <0.001 |
| Trending + High vol Crisis selloff or parabolic rally | 77,795 | +1.23% | +0.61% | +0.17% | 0.0063 | +1.23% | +0.95% | -0.14% | 0.0270 | +1.23% | +0.73% | +0.07% | 0.2790 |
| Non-trending + Low vol Quiet chop, summer doldrums | 82,964 | +0.45% | +0.65% | -0.23% | <0.001 | +0.45% | +0.82% | -0.43% | <0.001 | +0.45% | +0.65% | -0.26% | <0.001 |
| Non-trending + High vol Classical "whipsaw zone" for momentum | 158,052 | +0.96% | +0.83% | +0.17% | <0.001 | +0.96% | +1.07% | -0.06% | 0.1118 | +0.96% | +0.93% | +0.10% | 0.0101 |
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 | 106,504 | -0.08% | 0.0391 | -0.16% | <0.001 | +0.10% | 0.0055 |
| 2020-2022 2020-01-01 → 2023-01-01 | 48,165 | -0.37% | <0.001 | -0.54% | <0.001 | -0.26% | 0.0001 |
| 2023-2026 2023-01-01 → 2099-01-01 | 74,012 | +0.30% | <0.001 | -0.24% | <0.001 | -0.23% | <0.001 |
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
Statistically real but thin at 20 days. This signal fires bearish-only — there is no bullish variant. Bearish 20d alpha is -0.02% and beats random , but sits below the ~20bps cost floor from the caveats — screening context, not a standalone edge. Fires are screening context inside a composite (section 4), not entries.
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 bearish setup: Trending + Low vol — alpha -0.52% / 20d on 64,475 historical triggers.
- Best era for bearish: 2020-2022 — alpha -0.37% / 20d on 48,165 triggers.
3 · When it fails — common false positives
- Weakest bearish cell: Trending + High vol — alpha +0.17% / 20d on 77,795 triggers.
- Worst era for bearish: 2023-2026 — alpha +0.30% / 20d on 74,012 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.
Trend-break / stage-transition family
The construction — long-term strength plus fresh short-term weakness — quantifies the stage-3-to-stage-4 transition of stage analysis (Weinstein, Secrets for Profiting in Bull and Bear Markets, 1988) and the trend-reversal concepts of classical charting (Edwards & Magee, Technical Analysis of Stock Trends, 11th ed. 2018). Two overlaps to note inside a convergence screen: the confirmation leg literally requires a 20-day low, so this signal and New 20d Low will frequently fire on the same stock the same day; and MA death-cross signals infer the same trend-state change from a different measurement — combining them adds correlated, not independent, evidence.
Measured pairings — Bonferroni survivors
Beyond the literature pairings above, these are the same-day co-fire combinations involving Bullish Trend Breakdown 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 — 1 of the 5 rows below does 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.
US (NYSE / NASDAQ / AMEX)
| Pair (same-day co-fire, long) | Full α | Test α (2023+) | Test N | p_perm test |
|---|---|---|---|---|
| bullish_trend_breakdown bearish + new_20d_low bearish | +0.23% | +0.62% | 10,886 | 0.002 |
1 of this universe's 18 surviving pairs involves this signal · α vs ^SPXEW.
Europe — 3 surviving pairs
| Pair (same-day co-fire, long) | Full α | Test α (2023+) | Test N | p_perm test |
|---|---|---|---|---|
| bullish_trend_breakdown bearish + weekly_change bearish | +1.75% | +3.21% | 359 | 0.002 |
| bullish_trend_breakdown bearish + volume_breakout bearish | +1.08% | +1.65% | 616 | 0.002 |
| bullish_trend_breakdown bearish + new_20d_low bearish | +0.74% | +1.22% | 3,197 | 0.002 |
3 of this universe's 20 surviving pairs involve this signal · α vs ^STOXX.
China A-shares — 1 surviving pair
| Pair (same-day co-fire, long) | Full α | Test α (2023+) | Test N | p_perm test |
|---|---|---|---|---|
| bollinger bearish + bullish_trend_breakdown bearish | -6.12% | — | — | — |
1 of this universe's 138 surviving pairs involves 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.
“—” in the test columns means the held-out 2023+ sample fell below the 20-observation minimum this run requires before it computes any statistic, so no out-of-sample figure exists for that pair — not that it never co-fired again. Those pairs rank last.
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.
- Use as a filter to gate out bullish signals — The most robust application: if Bullish Trend Breakdown has fired on a stock within the last 20 sessions, skip fresh bullish momentum triggers on that name. This uses the signal as a regime veto — a filter application with no trading P&L of its own.
- Fundamental-deterioration confirmation (live since July 2026) — The report builder's fundamentals filter can now separate distribution from shakeout without a new data source: require deteriorating conditions alongside the trigger — for example negative year-over-year revenue or earnings growth, or stretched valuation (high P/E, EV/EBITDA) — to isolate breakdowns where the business is confirming what the chart suggests. A 20-day low on a still-growing, reasonably valued name is more often a pullback than a top.
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
Use this primarily as a regime signal rather than a trade entry: a fire moves the stock from 'in a long-term uptrend' to 'trend uncertain', which argues for gating out fresh bullish entries on that name rather than initiating shorts. Whether direct bearish trades on triggers have historically cleared a random-date baseline — and at which horizons — is shown by the at-a-glance table and permutation-null line above, which refresh with each backtest run and take precedence over this prose. If traded directly, the convention is entry at the next session's open. Historical tendency, not a recommendation.