failed_double_top
Failed Double Top Breakout
Bearish reversal: price broke above resistance (double top breakout) but then falls back below the resistance level. Bulls are trapped. Failure threshold normalized by daily volatility.
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 |
| failure_window | Max days for failure after breakout | 60 | 20–120 |
Historical context
72,982 triggers on 19,843 tickers, 1989-02-28 → 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 | Bearish α |
|---|---|
| 5-day | +0.31% |
| 20-day | +0.53% |
| 60-day | +0.37% |
| 1-year | +3.43% |
Failed Double Top Breakout is a single-direction signal — only the bearish side is meaningful.
Where does FAILED_DOUBLE_TOP 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.
↓ Bearish triggers negative alpha = signal was right (stock underperformed market)
| Bench | Metric | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|
| spxew | Stock % | +0.13% | +0.48% | +1.25% | +2.89% | +13.78% |
| Bench % | +0.03% | +0.17% | +0.72% | +2.46% | +10.21% | |
| Alpha % | +0.10% | +0.31% | +0.53% | +0.37% | +3.43% | |
| Median alpha | +0.03% | -0.04% | -0.56% | -2.10% | -6.03% | |
| Hit rate (α>0) | 50.5% | 49.6% | 47.4% | 44.4% | 42.8% | |
| p (naive) | <0.001 | <0.001 | <0.001 | <0.001 | <0.001 | |
| p (HAC) | <0.001 | <0.001 | <0.001 | 0.0002 | <0.001 | |
| N | 70,547 | 68,303 | 67,835 | 64,962 | 57,602 | |
| spx | Stock % | +0.13% | +0.48% | +1.25% | +2.89% | +13.78% |
| Bench % | +0.01% | +0.25% | +1.11% | +3.33% | +14.32% | |
| Alpha % | +0.12% | +0.23% | +0.17% | -0.53% | -0.72% | |
| Median alpha | +0.04% | -0.13% | -0.94% | -3.12% | -10.38% | |
| Hit rate (α>0) | 50.8% | 48.8% | 45.7% | 41.9% | 38.3% | |
| p (naive) | <0.001 | <0.001 | 0.0002 | <0.001 | 0.0009 | |
| p (HAC) | <0.001 | <0.001 | 0.0003 | <0.001 | 0.2296 | |
| N | 71,065 | 68,947 | 68,569 | 65,687 | 58,223 | |
| msci | Stock % | +0.13% | +0.48% | +1.25% | +2.89% | +13.78% |
| Bench % | +0.02% | +0.24% | +0.94% | +3.00% | +11.75% | |
| Alpha % | +0.11% | +0.26% | +0.30% | -0.06% | +1.32% | |
| Median alpha | +0.03% | -0.10% | -0.81% | -2.70% | -8.01% | |
| Hit rate (α>0) | 50.5% | 49.1% | 46.3% | 42.9% | 40.6% | |
| p (naive) | <0.001 | <0.001 | <0.001 | 0.4441 | <0.001 | |
| p (HAC) | <0.001 | <0.001 | <0.001 | 0.5331 | 0.0294 | |
| N | 70,813 | 68,650 | 67,998 | 65,408 | 57,727 |
Permutation null detail — all horizons × each benchmark
| Horizon | Bench | Observed lift | Null mean | Null 95% CI | pperm |
|---|---|---|---|---|---|
| 1d | spxew | +0.23% | +0.08% | [+0.06%, +0.10%] | 1.000 |
| 1d | spx | +0.23% | +0.09% | [+0.07%, +0.11%] | 1.000 |
| 1d | msci | +0.25% | +0.09% | [+0.07%, +0.11%] | 1.000 |
| 5d | spxew | +0.68% | +0.35% | [+0.30%, +0.40%] | 1.000 |
| 5d | spx | +0.64% | +0.37% | [+0.32%, +0.42%] | 1.000 |
| 5d | msci | +0.67% | +0.37% | [+0.33%, +0.42%] | 1.000 |
| 20d | spxew | +1.56% | +1.13% | [+1.04%, +1.22%] | 1.000 |
| 20d | spx | +1.42% | +1.16% | [+1.07%, +1.25%] | 1.000 |
| 20d | msci | +1.44% | +1.17% | [+1.08%, +1.26%] | 1.000 |
| 60d | spxew | +2.29% | +2.37% | [+2.21%, +2.52%] | 0.149 |
| 60d | spx | +2.13% | +2.45% | [+2.30%, +2.60%] | 0.005 |
| 60d | msci | +2.17% | +2.46% | [+2.31%, +2.61%] | 0.005 |
| 252d | spxew | +5.02% | +4.65% | [+4.33%, +4.92%] | 0.995 |
| 252d | spx | +4.91% | +5.00% | [+4.67%, +5.30%] | 0.284 |
| 252d | msci | +4.70% | +4.92% | [+4.61%, +5.22%] | 0.095 |
Example triggers on US large-caps (2023+, mcap ≥ $30B)
Six recent bearish FAILED_DOUBLE_TOP 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 FAILED_DOUBLE_TOP looks like when it works)
Weakest outcomes (what FAILED_DOUBLE_TOP 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 | 2,228 | +0.54% | +0.51% | -0.00% | 0.9945 | +0.54% | +1.03% | -0.46% | 0.0040 | +0.54% | +0.81% | -0.25% | 0.0983 |
| Trending + High vol Crisis selloff or parabolic rally | 39,552 | +1.64% | +0.70% | +0.98% | <0.001 | +1.64% | +1.11% | +0.58% | <0.001 | +1.64% | +0.96% | +0.72% | <0.001 |
| Non-trending + Low vol Quiet chop, summer doldrums | 4,189 | +0.28% | +0.66% | -0.36% | 0.0005 | +0.28% | +1.11% | -0.80% | <0.001 | +0.28% | +0.91% | -0.61% | <0.001 |
| Non-trending + High vol Classical "whipsaw zone" for momentum | 27,012 | +0.91% | +0.72% | +0.12% | 0.0940 | +0.91% | +1.07% | -0.18% | 0.0105 | +0.91% | +0.88% | -0.07% | 0.3463 |
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 | 17,841 | +0.03% | 0.6911 | -0.19% | 0.0151 | +0.04% | 0.5605 |
| 2020-2022 2020-01-01 → 2023-01-01 | 22,296 | +0.26% | 0.0053 | +0.33% | 0.0004 | +0.50% | <0.001 |
| 2023-2026 2023-01-01 → 2099-01-01 | 32,817 | +1.01% | <0.001 | +0.27% | 0.0004 | +0.32% | <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. This signal fires bearish-only — there is no bullish variant. Bearish 20d alpha is +0.53% — worse than random : firing on random dates would have done better. 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: Non-trending + Low vol — alpha -0.36% / 20d on 4,189 historical triggers.
- Least-bad era for bearish: 2015-2019 — alpha +0.03% / 20d on 17,841 triggers — still wrong-signed; no era produced negative alpha.
3 · When it fails — common false positives
- Weakest bearish cell: Trending + High vol — alpha +0.98% / 20d on 39,552 triggers.
- Worst era for bearish: 2023-2026 — alpha +1.01% / 20d on 32,817 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.
Sequential with completed pattern
Failed-double-top and double-top-breakout fire on the same underlying pattern structure at different points: the breakout signal fires when price closes above the twin-peak resistance level by the breakout margin; failed_double_top fires when, after that breakout, price falls back below the level by a volatility-scaled threshold within the failure window (Edwards & Magee, Technical Analysis of Stock Trends, 11th ed. 2018; Bulkowski, Encyclopedia of Chart Patterns, 3rd ed. 2021). They are sequential rather than concurrent — one signal replacing the other as the setup evolves, not two independent pieces of evidence.
Measured pairings — Bonferroni survivors
Beyond the literature pairings above, these are the same-day co-fire combinations involving Failed 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 happens to be positive on the full sample, but that is not what the test asked. 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.
China A-shares
| Pair (same-day co-fire, long) | Full α | Test α (2023+) | Test N | p_perm test |
|---|---|---|---|---|
| failed_double_top bearish + weekly_change bearish | +3.04% | +4.34% | 1,298 | 0.002 |
| failed_double_top bearish + rsi bearish | +2.12% | +2.86% | 749 | 0.002 |
| failed_double_top bearish + new_20d_low bearish | +2.36% | +2.20% | 1,860 | 0.002 |
| failed_double_top bearish + hh_hl_streak bearish | +1.65% | +2.18% | 939 | 0.002 |
| failed_double_top bearish + macd bearish | +1.57% | +1.38% | 887 | 0.002 |
| failed_double_top bearish + vwap_cross bearish | +1.05% | +1.20% | 1,850 | 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-gate the failure day — A failure day on heavy volume reads as distribution — size exiting through a level the crowd is watching; on light volume it reads as noise that often reverts. The filter is derivable from OHLC plus volume and testable within the platform's own screens.
- Demand a decisive failure — The default failure threshold is one z-score of daily volatility below the resistance (clamped to 1-8%). Requiring a deeper close below the level, or several consecutive closes below it, filters one-day shakeouts at the cost of an even later entry — a trade-off worth testing rather than assuming.
- Condition on trend context — A failed breakout inside a deteriorating trend structure (for example, a bearish HH/HL reading) is plausibly a different population from a failed breakout inside an intact long-term uptrend, where dips below old resistance tend to get bought. Pairing the fire with a trend-structure filter is testable within the platform.
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 definitionally bearish, but treat tradability as an empirical question: if the bearish side beats the random-date null in the current tables at your horizon, the signal can serve as a short-side screen tile; if it does not, treat fires as context — a note that a widely watched breakout just failed — rather than a short entry. If traded, entry at the open T+1; the natural invalidation is a close back above the resistance level, which would mean the failure itself failed and the breakout re-asserted. Everything here describes historical tendency, not a recommendation.