double_top_breakout
Double Top Breakout
Bullish: two peaks test the same resistance level, then price closes above it by the breakout margin (default 2%). Tolerance is normalized by daily volatility (z-scores). Requires minimum 8% retracement between peaks.
Signal family
Pattern — Formal chart-pattern detectors (double tops / bottoms, failed breakouts, HH/HL structure).
Parameters
| Name | Description | Default | Range |
|---|---|---|---|
| peak_order | Peak detection window | 15 | 5–25 |
| tolerance_zscore | Tolerance (z-scores of daily vol) | 1.5 | 0.5–3.0 |
| min_separation | Min days between peaks | 25 | 10–60 |
| max_separation | Max days between peaks | 252 | 60–504 |
Historical context
109,934 triggers on 21,077 tickers, 1988-08-31 → 2026-05-01. 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 | -0.47% |
| 20-day | -0.49% |
| 60-day | +0.01% |
| 1-year | +3.90% |
Sign flip across horizons. Bullish raw alpha moves from -0.47% (5d) to +3.90% (1y). Check the permutation rows for those horizons before reading the longer-hold number as edge — raw alpha alone does not distinguish signal timing from universe drift.
Double Top Breakout is a single-direction signal — only the bullish side is meaningful.
Where does DOUBLE_TOP_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.
↑ Bullish triggers
| Bench | Metric | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|
| spxew | Stock % | -0.20% | -0.32% | +0.06% | +1.98% | +13.20% |
| Bench % | +0.02% | +0.16% | +0.62% | +1.94% | +9.40% | |
| Alpha % | -0.23% | -0.47% | -0.49% | +0.01% | +3.90% | |
| Median alpha | -0.23% | -0.72% | -1.59% | -2.72% | -6.04% | |
| Hit rate (α>0) | 45.3% | 43.6% | 42.9% | 43.2% | 42.8% | |
| p (naive) | <0.001 | <0.001 | <0.001 | 0.8516 | <0.001 | |
| p (HAC) | <0.001 | <0.001 | <0.001 | 0.8930 | <0.001 | |
| N | 105,982 | 101,877 | 101,490 | 99,245 | 84,794 | |
| spx | Stock % | -0.20% | -0.32% | +0.06% | +1.98% | +13.20% |
| Bench % | +0.01% | +0.20% | +0.89% | +2.94% | +13.65% | |
| Alpha % | -0.22% | -0.51% | -0.78% | -0.96% | -0.55% | |
| Median alpha | -0.22% | -0.79% | -1.94% | -3.75% | -10.52% | |
| Hit rate (α>0) | 45.0% | 43.0% | 41.4% | 40.6% | 38.2% | |
| p (naive) | <0.001 | <0.001 | <0.001 | <0.001 | 0.0026 | |
| p (HAC) | <0.001 | <0.001 | <0.001 | <0.001 | 0.3563 | |
| N | 106,909 | 103,270 | 102,667 | 100,650 | 85,944 | |
| msci | Stock % | -0.20% | -0.32% | +0.06% | +1.98% | +13.20% |
| Bench % | +0.04% | +0.18% | +0.74% | +2.45% | +10.94% | |
| Alpha % | -0.24% | -0.51% | -0.64% | -0.51% | +2.09% | |
| Median alpha | -0.25% | -0.78% | -1.77% | -3.27% | -7.88% | |
| Hit rate (α>0) | 44.4% | 43.1% | 42.0% | 41.7% | 41.0% | |
| p (naive) | <0.001 | <0.001 | <0.001 | <0.001 | <0.001 | |
| p (HAC) | <0.001 | <0.001 | <0.001 | <0.001 | 0.0004 | |
| N | 106,203 | 102,600 | 102,333 | 99,676 | 85,353 |
Permutation null detail — all horizons × each benchmark
| Horizon | Bench | Observed lift | Null mean | Null 95% CI | pperm |
|---|---|---|---|---|---|
| 1d | spxew | -0.09% | +0.08% | [+0.06%, +0.09%] | 1.000 |
| 1d | spx | -0.10% | +0.09% | [+0.07%, +0.10%] | 1.000 |
| 1d | msci | -0.10% | +0.09% | [+0.08%, +0.11%] | 1.000 |
| 5d | spxew | -0.08% | +0.34% | [+0.31%, +0.38%] | 1.000 |
| 5d | spx | -0.08% | +0.36% | [+0.32%, +0.40%] | 1.000 |
| 5d | msci | -0.08% | +0.36% | [+0.33%, +0.40%] | 1.000 |
| 20d | spxew | +0.47% | +1.12% | [+1.05%, +1.19%] | 1.000 |
| 20d | spx | +0.41% | +1.15% | [+1.08%, +1.22%] | 1.000 |
| 20d | msci | +0.44% | +1.16% | [+1.09%, +1.23%] | 1.000 |
| 60d | spxew | +1.56% | +2.39% | [+2.29%, +2.50%] | 1.000 |
| 60d | spx | +1.34% | +2.46% | [+2.34%, +2.57%] | 1.000 |
| 60d | msci | +1.36% | +2.47% | [+2.37%, +2.59%] | 1.000 |
| 252d | spxew | +3.96% | +4.61% | [+4.35%, +4.82%] | 1.000 |
| 252d | spx | +3.62% | +4.95% | [+4.70%, +5.15%] | 1.000 |
| 252d | msci | +3.81% | +4.86% | [+4.61%, +5.06%] | 1.000 |
Example triggers on US large-caps (2023+, mcap ≥ $30B)
Six recent bullish DOUBLE_TOP_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 DOUBLE_TOP_BREAKOUT looks like when it works)
Weakest outcomes (what DOUBLE_TOP_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 | 8,676 | +0.25% | +0.34% | -0.06% | 0.4774 | +0.25% | +0.78% | -0.50% | <0.001 | +0.25% | +0.60% | -0.31% | <0.001 |
| Trending + High vol Crisis selloff or parabolic rally | 52,154 | +0.11% | +0.60% | -0.39% | <0.001 | +0.11% | +0.90% | -0.72% | <0.001 | +0.11% | +0.76% | -0.58% | <0.001 |
| Non-trending + Low vol Quiet chop, summer doldrums | 7,529 | +0.10% | +0.30% | -0.20% | 0.0115 | +0.10% | +0.65% | -0.56% | <0.001 | +0.10% | +0.44% | -0.35% | <0.001 |
| Non-trending + High vol Classical "whipsaw zone" for momentum | 41,575 | +0.05% | +0.76% | -0.66% | <0.001 | +0.05% | +0.95% | -0.86% | <0.001 | +0.05% | +0.81% | -0.74% | <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 | 29,932 | -0.79% | <0.001 | -1.12% | <0.001 | -0.89% | <0.001 |
| 2020-2022 2020-01-01 → 2023-01-01 | 30,749 | -0.71% | <0.001 | -0.46% | <0.001 | -0.33% | 0.0002 |
| 2023-2026 2023-01-01 → 2099-01-01 | 49,194 | -0.15% | 0.0473 | -0.75% | <0.001 | -0.66% | <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
Not a standalone entry trigger at 20 days. Bullish 20d alpha is -0.49% — worse than random : firing on random dates would have done better. This signal fires bullish-only — there is no bearish variant. 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
- Least-bad bullish cell: Trending + Low vol — alpha -0.06% / 20d on 8,676 triggers — still wrong-signed; no bullish cell produced positive alpha.
- Least-bad era for bullish: 2023-2026 — alpha -0.15% / 20d on 49,194 triggers — still wrong-signed; no era produced positive alpha.
3 · When it fails — common false positives
- Weakest bullish cell: Non-trending + High vol — alpha -0.66% / 20d on 41,575 triggers.
- Worst era for bullish: 2015-2019 — alpha -0.79% / 20d on 29,932 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.
Reversal-pattern family
Double top and double bottom are canonical two-swing reversal patterns (Edwards & Magee, Technical Analysis of Stock Trends, 11th ed. 2018; Bulkowski, Encyclopedia of Chart Patterns, 3rd ed. 2021). Their statistical properties have been studied in peer-reviewed work (Lo, Mamaysky, and Wang, "Foundations of Technical Analysis", Journal of Finance 55(4), 2000). A completed double-top breakout and a failed-double-top signal on the same stock fire in sequence rather than concurrently — they represent different stages of the same pattern.
Measured pairings — Bonferroni survivors
Beyond the literature pairings above, these are the same-day co-fire combinations involving Double Top 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 — every row 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 |
|---|---|---|---|---|
| double_top_breakout bullish + new_20d_high bullish | -0.56% | -0.22% | 4,680 | 0.164 |
1 of this universe's 18 surviving pairs involves this signal · α vs ^SPXEW.
China A-shares — 6 surviving pairs
| Pair (same-day co-fire, long) | Full α | Test α (2023+) | Test N | p_perm test |
|---|---|---|---|---|
| double_top_breakout bullish + weekly_change bullish | -1.05% | -0.28% | 5,955 | 0.228 |
| double_top_breakout bullish + volume_breakout bullish | -1.10% | -0.48% | 5,648 | 0.022 |
| bearish_trend_breakout bullish + double_top_breakout bullish | -1.19% | -0.51% | 2,031 | 0.098 |
| double_top_breakout bullish + new_20d_high bullish | -1.07% | -0.73% | 7,771 | 0.002 |
| double_top_breakout bullish + macd bullish | -1.85% | -1.75% | 1,011 | 0.002 |
| double_top_breakout bullish + vwap_cross bullish | -3.28% | -4.20% | 307 | 0.002 |
6 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.
- Volume + sector gate — A double-top breakout on roughly 2x average volume inside a strong sector is plausibly a different population than the unconditional trigger set. The gate discards most triggers, which is the point — it concentrates the remaining sample. Testable within the platform's own screens.
- Use the failure as the signal — If the breakout closes back below the double-top level within days, that reversal is captured by the failed_double_top module. One coherent way to use this signal is as a watchlist feeder for the failure event rather than as an entry in its own right.
- Require structural consolidation pre-breakout — Tight-range consolidation (under ~5% range over 20 days) before a breakout is structurally different from a straight-line rally into new highs. The filter is derivable from OHLC and testable.
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? Pattern signals carry their own structural context; check that the implied support/resistance levels have historical relevance, not just the most-recent 3-month range.
- 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
Direction is nominally bullish, but treat tradability as an empirical question: if the bullish side beats the random-date null in the current tables at your horizon, the signal can serve as a long-side screen tile; if it does not, treat fires as context — a marker that a widely watched level just broke — rather than an entry. If traded, entry at the open T+1 with a defined invalidation: a close back below the breakout level is the pattern failing, and that event is itself captured by the failed_double_top signal. Everything here describes historical tendency, not a recommendation.