Mean reversion cci

Commodity Channel Index

CCI = (HLC3 - SMA(HLC3)) / (0.015 * MeanDev(HLC3)). Bullish: CCI crosses above -threshold (leaving oversold). Bearish: CCI crosses below +threshold (leaving overbought).

Signal family

Mean reversion — Oscillator-based signals that fire at overbought or oversold extremes — typically fade the prevailing move.

Parameters

Name Description Default Range
period CCI period 20 5–100
threshold Threshold 100 50–200

Historical context

4,031,287 triggers on 24,246 tickers, 1988-04-08 → 2026-05-01. Universe: US large-cap (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, US-only

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 Bearish α
5-day -0.11% +0.03%
20-day -0.16% +0.15%
60-day +0.07% +0.47%
1-year +1.43% +2.83%

Sign flip across horizons. Bullish triggers go from -0.11% (5d) to +1.43% (1y) — short-term fade but longer holding recovers and wins.

Random-date null check (20-day): Bullish: worse than random (p=1.000).
Bearish: worse than random (p=1.000).

Where does CCI 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.

Commodity Channel Index (cci) — trigger count distribution by per-stock regime quadrant (trending/non-trending × high/low realized volatility) for , US-only universe

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 (green) = 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.

Commodity Channel Index (cci) — mean 20-day alpha versus S&P 500 Equal Weight by per-stock regime quadrant, side by side
Trending + Low vol
Stock in a clean directional move with low realized volatility. Textbook "trend-following paradise" — smooth grind with little whipsaw risk.
Trending + High vol
Violent directional moves — parabolic rallies, crisis selloffs. Trend exists but the path is noisy. Signal timing may be imprecise.
Non-trending + Low vol
Quiet chop, summer doldrums, consolidations. No directional bias but also no big swings — small edges become reliable if they exist at all.
Non-trending + High vol
Choppy and violent — the classical "whipsaw zone" for momentum signals. Crossovers and breakouts fire repeatedly without follow-through.

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.

Commodity Channel Index (cci) — 20-day alpha split by historical sub-period (2015-2019, 2020-2022, 2023+) to check consistency across market regimes

↑ Bullish triggers

Bench Metric 1d 5d 20d 60d 252d
spx Stock % +0.01% +0.16% +0.99% +2.92% +11.91%
Bench % +0.03% +0.27% +1.36% +3.35% +14.12%
Alpha % -0.04% -0.13% -0.34% -0.45% -2.27%
Median alpha -0.09% -0.36% -1.20% -2.64% -10.76%
Hit rate (α>0) 47.4% 46.1% 43.9% 42.7% 37.4%
p (naive) <0.001 <0.001 <0.001 <0.001 <0.001
p (HAC) <0.001 <0.001 <0.001 <0.001 <0.001
N 1,918,030 1,852,353 1,853,132 1,797,529 1,629,945
msci Stock % +0.01% +0.16% +0.99% +2.92% +11.91%
Bench % +0.07% +0.30% +1.20% +2.97% +11.74%
Alpha % -0.07% -0.15% -0.21% -0.06% -0.20%
Median alpha -0.14% -0.39% -1.08% -2.28% -8.55%
Hit rate (α>0) 46.4% 45.8% 44.5% 43.6% 39.7%
p (naive) <0.001 <0.001 <0.001 <0.001 <0.001
p (HAC) <0.001 <0.001 <0.001 0.0151 0.1564
N 1,905,920 1,837,883 1,825,413 1,782,977 1,606,960
spxew Stock % +0.01% +0.16% +0.99% +2.92% +11.91%
Bench % +0.06% +0.26% +1.17% +2.81% +10.29%
Alpha % -0.06% -0.11% -0.16% +0.07% +1.43%
Median alpha -0.12% -0.32% -0.97% -2.04% -6.90%
Hit rate (α>0) 47.0% 46.5% 45.1% 44.2% 41.4%
p (naive) <0.001 <0.001 <0.001 <0.001 <0.001
p (HAC) <0.001 <0.001 <0.001 0.0055 <0.001
N 1,907,198 1,837,656 1,824,776 1,777,851 1,604,449
Distribution of all 20d alpha outcomes for this direction. Median and winsorized mean shown.
Commodity Channel Index (cci) — bullish 20-day alpha histogram showing distribution of per-trigger returns
Observed 20d alpha (vertical line) against the null distribution of random-date firing. If the line is deep inside the null cloud, the signal adds no information. If it sits in a tail, the signal is doing real work in that direction.
Commodity Channel Index (cci) — bullish 20-day observed alpha versus random-date permutation null (200 iterations)
Permutation null detail — all horizons × both benchmarks
200-iteration null: for each ticker, sample N random dates from its history (matching observed trigger count) and compute the same alpha. Both observed and null are baseline-centered per ticker (each ticker's own baseline alpha is subtracted), so the null distribution is centered on ~0 and the comparison tests signal effect alone — not the universe-selection lift that all surviving large-caps share. pperm = one-sided fraction of null iters with mean in the "signal was right" tail (right for bullish, left for bearish).
Horizon Bench Observed lift Null mean Null 95% CI pperm
1d spx +0.09% +0.09% [+0.08%, +0.09%] 0.910
1d msci +0.08% +0.09% [+0.09%, +0.10%] 1.000
1d spxew +0.08% +0.08% [+0.08%, +0.08%] 0.910
5d spx +0.31% +0.37% [+0.36%, +0.38%] 1.000
5d msci +0.29% +0.38% [+0.37%, +0.39%] 1.000
5d spxew +0.28% +0.36% [+0.35%, +0.37%] 1.000
20d spx +1.02% +1.18% [+1.17%, +1.20%] 1.000
20d msci +1.04% +1.20% [+1.18%, +1.21%] 1.000
20d spxew +0.98% +1.15% [+1.14%, +1.17%] 1.000
60d spx +2.63% +2.53% [+2.50%, +2.56%] 0.005
60d msci +2.61% +2.55% [+2.52%, +2.58%] 0.005
60d spxew +2.41% +2.47% [+2.44%, +2.50%] 1.000
252d spx +5.30% +5.13% [+5.06%, +5.18%] 0.005
252d msci +5.13% +5.08% [+5.01%, +5.13%] 0.040
252d spxew +4.96% +4.79% [+4.72%, +4.84%] 0.005

Example triggers on US large-caps (2023+, mcap ≥ $30B)

Six recent bullish CCI triggers on US mega-caps. Top three: the signal's best outcomes. Bottom three: the worst. Catalyst-driven outliers (|α| > 25%) excluded so what's left is the signal's own typical good and bad days, not earnings shocks.

Strongest outcomes (what CCI looks like when it works)
Commodity Channel Index (cci) — strongest bullish trigger #1 on a US mega-cap, showing the stock's OHLC candles, moving averages, signal-specific overlays, and the 20-day forward window Commodity Channel Index (cci) — strongest bullish trigger #2 on a US mega-cap, showing the stock's OHLC candles, moving averages, signal-specific overlays, and the 20-day forward window Commodity Channel Index (cci) — strongest bullish trigger #3 on a US mega-cap, showing the stock's OHLC candles, moving averages, signal-specific overlays, and the 20-day forward window
Weakest outcomes (what CCI looks like when it fails)
Commodity Channel Index (cci) — weakest bullish trigger #1 on a US mega-cap, showing the 20-day forward window where the signal failed Commodity Channel Index (cci) — weakest bullish trigger #2 on a US mega-cap, showing the 20-day forward window where the signal failed Commodity Channel Index (cci) — weakest bullish trigger #3 on a US mega-cap, showing the 20-day forward window where the signal failed
Stock-regime quadrants (2×2 per-stock, 20d alpha detail table)
Each quadrant groups triggers by the stock's own ADX(14) and RV(20) at the trigger date — the textbook conditioning variable (not market-level). Stock %, bench %, alpha %, and HAC p-value shown for each benchmark.
Quadrant N Stock % (spx) Bench % (spx) Alpha % (spx) p (HAC) Stock % (msci) Bench % (msci) Alpha % (msci) p (HAC) Stock % (spxew) Bench % (spxew) Alpha % (spxew) p (HAC)
Trending + Low vol Clean directional grind, low whipsaw 141,103 +0.29% +1.08% -0.75% <0.001 +0.29% +0.93% -0.60% <0.001 +0.29% +0.85% -0.50% <0.001
Trending + High vol Crisis selloff or parabolic rally 650,882 +1.54% +1.56% -0.02% 0.2102 +1.54% +1.34% +0.14% <0.001 +1.54% +1.33% +0.16% <0.001
Non-trending + Low vol Quiet chop, summer doldrums 249,928 +0.31% +1.04% -0.71% <0.001 +0.31% +0.92% -0.58% <0.001 +0.31% +0.80% -0.46% <0.001
Non-trending + High vol Classical "whipsaw zone" for momentum 933,602 +0.93% +1.35% -0.39% <0.001 +0.93% +1.20% -0.29% <0.001 +0.93% +1.16% -0.23% <0.001
Sub-period breakdown table (20d alpha)
Historical clustering check. If alpha concentrates in one era, the signal's robustness is questionable.
Period N Alpha % (spx) p (HAC) Alpha % (msci) p (HAC) Alpha % (spxew) p (HAC)
2015-2019 2015-01-01 → 2020-01-01 601,150 -0.47% <0.001 -0.27% <0.001 -0.39% <0.001
2020-2022 2020-01-01 → 2023-01-01 589,943 -0.08% <0.001 +0.03% 0.0917 -0.38% <0.001
2023-2026 2023-01-01 → 2099-01-01 783,813 -0.44% <0.001 -0.35% <0.001 +0.21% <0.001

↓ Bearish triggers negative alpha = signal was right (stock underperformed market)

Bench Metric 1d 5d 20d 60d 252d
spx Stock % +0.01% +0.23% +0.83% +2.69% +12.75%
Bench % +0.02% +0.22% +0.93% +3.06% +13.79%
Alpha % -0.01% +0.02% -0.05% -0.35% -1.08%
Median alpha -0.07% -0.27% -1.00% -2.61% -9.77%
Hit rate (α>0) 48.2% 47.0% 44.9% 42.7% 38.2%
p (naive) <0.001 <0.001 <0.001 <0.001 <0.001
p (HAC) <0.001 <0.001 <0.001 <0.001 <0.001
N 1,991,110 1,926,333 1,906,751 1,868,433 1,646,663
msci Stock % +0.01% +0.23% +0.83% +2.69% +12.75%
Bench % +0.04% +0.21% +0.82% +2.65% +11.36%
Alpha % -0.03% +0.04% +0.06% +0.09% +1.29%
Median alpha -0.09% -0.26% -0.90% -2.19% -7.38%
Hit rate (α>0) 47.7% 47.2% 45.4% 43.8% 40.9%
p (naive) <0.001 <0.001 <0.001 <0.001 <0.001
p (HAC) <0.001 <0.001 <0.001 0.0027 <0.001
N 1,977,514 1,913,828 1,903,877 1,856,953 1,640,328
spxew Stock % +0.01% +0.23% +0.83% +2.69% +12.75%
Bench % +0.04% +0.21% +0.74% +2.28% +10.03%
Alpha % -0.04% +0.03% +0.15% +0.47% +2.83%
Median alpha -0.08% -0.25% -0.76% -1.75% -5.74%
Hit rate (α>0) 47.9% 47.3% 46.1% 45.0% 42.7%
p (naive) <0.001 <0.001 <0.001 <0.001 <0.001
p (HAC) <0.001 <0.001 <0.001 <0.001 <0.001
N 1,968,940 1,895,319 1,887,942 1,843,619 1,625,651
Distribution of all 20d alpha outcomes for this direction. Median and winsorized mean shown.
Commodity Channel Index (cci) — bearish 20-day alpha histogram showing distribution of per-trigger returns
Observed 20d alpha (vertical line) against the null distribution of random-date firing. If the line is deep inside the null cloud, the signal adds no information. If it sits in a tail, the signal is doing real work in that direction.
Commodity Channel Index (cci) — bearish 20-day observed alpha versus random-date permutation null (200 iterations)
Permutation null detail — all horizons × both benchmarks
200-iteration null: for each ticker, sample N random dates from its history (matching observed trigger count) and compute the same alpha. Both observed and null are baseline-centered per ticker (each ticker's own baseline alpha is subtracted), so the null distribution is centered on ~0 and the comparison tests signal effect alone — not the universe-selection lift that all surviving large-caps share. pperm = one-sided fraction of null iters with mean in the "signal was right" tail (right for bullish, left for bearish).
Horizon Bench Observed lift Null mean Null 95% CI pperm
1d spx +0.10% +0.08% [+0.08%, +0.09%] 1.000
1d msci +0.11% +0.09% [+0.08%, +0.09%] 1.000
1d spxew +0.09% +0.07% [+0.07%, +0.08%] 1.000
5d spx +0.41% +0.34% [+0.33%, +0.35%] 1.000
5d msci +0.42% +0.35% [+0.34%, +0.36%] 1.000
5d spxew +0.38% +0.33% [+0.32%, +0.33%] 1.000
20d spx +1.13% +1.09% [+1.07%, +1.11%] 1.000
20d msci +1.13% +1.10% [+1.09%, +1.12%] 1.000
20d spxew +1.10% +1.06% [+1.04%, +1.08%] 1.000
60d spx +2.21% +2.37% [+2.34%, +2.40%] 0.005
60d msci +2.23% +2.39% [+2.36%, +2.42%] 0.005
60d spxew +2.28% +2.30% [+2.27%, +2.33%] 0.055
252d spx +4.64% +4.81% [+4.76%, +4.87%] 0.005
252d msci +4.67% +4.76% [+4.71%, +4.82%] 0.005
252d spxew +4.44% +4.46% [+4.40%, +4.52%] 0.264

Example triggers on US large-caps (2023+, mcap ≥ $30B)

Six recent bearish CCI triggers on US mega-caps. Top three: the signal's best outcomes. Bottom three: the worst. Catalyst-driven outliers (|α| > 25%) excluded so what's left is the signal's own typical good and bad days, not earnings shocks.

Strongest outcomes (what CCI looks like when it works)
Commodity Channel Index (cci) — strongest bearish trigger #1 on a US mega-cap, showing the stock's OHLC candles, moving averages, signal-specific overlays, and the 20-day forward window Commodity Channel Index (cci) — strongest bearish trigger #2 on a US mega-cap, showing the stock's OHLC candles, moving averages, signal-specific overlays, and the 20-day forward window Commodity Channel Index (cci) — strongest bearish trigger #3 on a US mega-cap, showing the stock's OHLC candles, moving averages, signal-specific overlays, and the 20-day forward window
Weakest outcomes (what CCI looks like when it fails)
Commodity Channel Index (cci) — weakest bearish trigger #1 on a US mega-cap, showing the 20-day forward window where the signal failed Commodity Channel Index (cci) — weakest bearish trigger #2 on a US mega-cap, showing the 20-day forward window where the signal failed Commodity Channel Index (cci) — weakest bearish trigger #3 on a US mega-cap, showing the 20-day forward window where the signal failed
Stock-regime quadrants (2×2 per-stock, 20d alpha detail table)
Each quadrant groups triggers by the stock's own ADX(14) and RV(20) at the trigger date — the textbook conditioning variable (not market-level). Stock %, bench %, alpha %, and HAC p-value shown for each benchmark.
Quadrant N Stock % (spx) Bench % (spx) Alpha % (spx) p (HAC) Stock % (msci) Bench % (msci) Alpha % (msci) p (HAC) Stock % (spxew) Bench % (spxew) Alpha % (spxew) p (HAC)
Trending + Low vol Clean directional grind, low whipsaw 174,695 +0.50% +0.72% -0.20% <0.001 +0.50% +0.57% -0.05% 0.0139 +0.50% +0.41% +0.12% <0.001
Trending + High vol Crisis selloff or parabolic rally 822,005 +1.06% +0.96% +0.15% <0.001 +1.06% +0.83% +0.28% <0.001 +1.06% +0.73% +0.40% <0.001
Non-trending + Low vol Quiet chop, summer doldrums 253,820 +0.48% +0.78% -0.27% <0.001 +0.48% +0.64% -0.13% <0.001 +0.48% +0.53% -0.01% 0.4378
Non-trending + High vol Classical "whipsaw zone" for momentum 805,246 +0.84% +0.99% -0.12% <0.001 +0.84% +0.92% -0.04% 0.0369 +0.84% +0.88% -0.01% 0.5512
Sub-period breakdown table (20d alpha)
Historical clustering check. If alpha concentrates in one era, the signal's robustness is questionable.
Period N Alpha % (spx) p (HAC) Alpha % (msci) p (HAC) Alpha % (spxew) p (HAC)
2015-2019 2015-01-01 → 2020-01-01 623,605 -0.56% <0.001 -0.36% <0.001 -0.32% <0.001
2020-2022 2020-01-01 → 2023-01-01 607,741 +0.38% <0.001 +0.48% <0.001 +0.13% <0.001
2023-2026 2023-01-01 → 2099-01-01 823,869 +0.03% 0.1666 +0.09% <0.001 +0.54% <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: fraction of 200 random-date null iterations with mean ≥ observed. 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 zero edge even if the t-test says "significant."

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

Caution recommended. Bullish 20d alpha is -0.34% and worse than random — triggering on random dates would have produced better long-side returns. Bearish 20d alpha is -0.05% and worse than random . Either direction fails the "beats random" test. Don't use Commodity Channel Index as a standalone entry trigger. It may still be useful as part of a composite (section 4).

2 · When it works — the setups that drive it

  • Best bullish setup: Trending + High vol — alpha -0.02% / 20d on 650,882 historical triggers.
  • Best bearish setup: Trending + High vol — alpha +0.15% / 20d on 822,005 historical triggers.
  • Best era for bullish: 2020-2022 — alpha -0.08% / 20d.
  • Best era for bearish: 2020-2022 — alpha +0.38% / 20d.

3 · When it fails — common false positives

  • Weakest bullish cell: Trending + Low vol — alpha -0.75% / 20d on 141,103 triggers.
  • Weakest bearish cell: Non-trending + Low vol — alpha -0.27% / 20d on 253,820 triggers.
  • Worst era for bullish: 2015-2019 — alpha -0.47% / 20d.
  • Worst era for bearish: 2015-2019 — alpha -0.56% / 20d.

Signal-specific failure patterns

Bullish fails every horizon, every benchmark
CCI bullish (indicator crossing back above ±100) produces α=−0.11 at 20d (p(HAC)<0.001, p_perm=1.000) and widens to −0.25 at 60d. Like other mean-reversion oscillators, CCI's 'oversold rebound' thesis doesn't survive a concentrated bull market where beaten-down names stay beaten down.
evidence: bullish vs SPX: 20d α=−0.11 p_perm=1.000; 60d α=−0.25 p_perm=1.000
Bullish was positive 2015-2019, broke post-COVID
Sub-period breakdown: 2015-2019 α=+0.11 (small positive), 2020-2022 α=−0.07, 2023-2026 α=−0.32. Same pattern as RSI/Bollinger: mean-reversion worked when rates were low and dispersion was high; it failed when stimulus-driven concentration took over.
evidence: 20d bullish vs SPX: 2015-19 +0.11, 2020-22 −0.07, 2023-26 −0.32
Bearish has real short-side edge that compounds
CCI bearish (crossing back below +100 overbought) delivers α=−0.17 at 20d (p(HAC)<1e-9, p_perm=0.005) and −0.48 at 60d. Real, persistent alpha — overbought stocks that exit the overbought zone tend to underperform the broader market for 1-3 months. Consistent across 2015-2019 and 2023-2026 (both ~−0.35); 2020-2022 reverses positive (+0.22, the QE anomaly).
evidence: bearish vs SPX: 20d α=−0.17 p_perm=0.005; 60d α=−0.48 p_perm=0.005

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. A multi-signal convergence backtest is planned but not yet run.

Oscillator-family redundancy

CCI belongs to the momentum-oscillator family alongside RSI, Stochastics, and Williams %R — each is constructed from closing price over a short lookback, normalised to a bounded range (Murphy, Technical Analysis of the Financial Markets, 1999; Pring, Technical Analysis Explained, 5th ed. 2014; Kirkpatrick & Dahlquist, Technical Analysis, 3rd ed. 2015). Stacking two or more of these in the same direction within a single Daily Report produces correlated rather than independent evidence.

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.

  • Regime-gate bullish on breadth — Bullish CCI worked pre-2020 when market breadth was wider. Gating bullish signals to 'SPX <5% from ATH = FALSE' or 'breadth > 55%' may restore the pre-QE alpha. Testable.
  • Extend bearish holds — Bearish CCI compounds 20d → 60d (−0.17 → −0.48). Tight stops cut off the alpha. Time stops (hold 60d absent structural invalidation) capture more.

See also Why technical-only signals don't survive on their own for the broader argument.

5 · Before you act — a 5-point checklist

  1. 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.
  2. Where is price vs its own 50 / 200 DMA? A mean-reversion signal firing against the long-term trend (e.g. oversold in a clean uptrend) is much more reliable than one firing with it.
  3. 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.
  4. 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.
  5. 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

Bearish is the tradable side. 20d and 60d both significant; 60d compounds. Entry open T+1. Bullish CCI is a structural loser on US large-caps 2015-2026 — skip unless paired with structural/fundamental rescue filters.