Trend ma_crossover

Moving Average Crossover

Golden Cross (bullish): fast MA crosses above slow MA. Death Cross (bearish): fast MA crosses below slow MA.

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
fast Fast MA period 50 5–200
slow Slow MA period 200 20–500

Historical context

229,035 triggers on 21,536 tickers, 1989-03-31 → 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 -0.01% +0.03%
20-day +0.20% -0.05%
60-day +0.16% +0.24%
1-year +3.55% +0.85%

Sign flip across horizons. Bullish triggers go from -0.01% (5d) to +3.55% (1y) — short-term fade but longer holding recovers and wins.

Random-date null check (20-day): Bullish: beats random (p=0.005).
Bearish: beats random (p=0.015).

Where does MA_CROSSOVER 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.

Moving Average Crossover (ma_crossover) — 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.

Moving Average Crossover (ma_crossover) — 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.

Moving Average Crossover (ma_crossover) — 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 % +0.00% +0.14% +0.69% +2.02% +13.37%
Bench % +0.01% +0.22% +0.99% +3.01% +14.40%
Alpha % -0.02% -0.07% -0.21% -1.01% -1.20%
Median alpha -0.09% -0.41% -1.38% -3.74% -11.18%
Hit rate (α>0) 47.7% 45.8% 43.4% 40.1% 37.3%
p (naive) 0.0297 0.0003 <0.001 <0.001 <0.001
p (HAC) 0.0305 0.0003 <0.001 <0.001 0.0169
N 110,777 107,245 106,920 104,949 92,545
msci Stock % +0.00% +0.14% +0.69% +2.02% +13.37%
Bench % +0.04% +0.22% +0.84% +2.59% +11.78%
Alpha % -0.04% -0.05% -0.06% -0.55% +1.35%
Median alpha -0.12% -0.40% -1.23% -3.31% -8.69%
Hit rate (α>0) 47.1% 46.0% 44.1% 41.2% 39.9%
p (naive) <0.001 0.0050 0.1036 <0.001 <0.001
p (HAC) <0.001 0.0051 0.1097 <0.001 0.0070
N 110,459 106,960 106,702 104,528 92,127
spxew Stock % +0.00% +0.14% +0.69% +2.02% +13.37%
Bench % +0.03% +0.16% +0.62% +1.88% +9.82%
Alpha % -0.04% -0.01% +0.20% +0.16% +3.55%
Median alpha -0.10% -0.33% -0.96% -2.47% -6.05%
Hit rate (α>0) 47.7% 46.6% 45.4% 43.2% 42.4%
p (naive) <0.001 0.4653 <0.001 0.0151 <0.001
p (HAC) <0.001 0.4655 <0.001 0.0415 <0.001
N 109,789 105,519 105,348 103,501 91,322
Distribution of all 20d alpha outcomes for this direction. Median and winsorized mean shown.
Moving Average Crossover (ma_crossover) — 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.
Moving Average Crossover (ma_crossover) — 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% +0.08% [+0.07%, +0.10%] 0.139
1d msci +0.10% +0.09% [+0.07%, +0.10%] 0.149
1d spxew +0.09% +0.08% [+0.06%, +0.09%] 0.020
5d spx +0.37% +0.36% [+0.32%, +0.40%] 0.249
5d msci +0.38% +0.36% [+0.33%, +0.40%] 0.204
5d spxew +0.38% +0.34% [+0.30%, +0.38%] 0.025
20d spx +1.12% +1.15% [+1.07%, +1.22%] 0.746
20d msci +1.16% +1.16% [+1.09%, +1.23%] 0.577
20d spxew +1.31% +1.12% [+1.04%, +1.18%] 0.005
60d spx +1.87% +2.45% [+2.31%, +2.57%] 1.000
60d msci +1.89% +2.47% [+2.34%, +2.59%] 1.000
60d spxew +2.28% +2.38% [+2.24%, +2.50%] 0.905
252d spx +5.41% +5.01% [+4.79%, +5.27%] 0.005
252d msci +5.55% +4.96% [+4.76%, +5.23%] 0.005
252d spxew +6.02% +4.62% [+4.41%, +4.89%] 0.005

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

Six recent bullish MA_CROSSOVER 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 MA_CROSSOVER looks like when it works)
Moving Average Crossover (ma_crossover) — 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 Moving Average Crossover (ma_crossover) — 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 Moving Average Crossover (ma_crossover) — 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 MA_CROSSOVER looks like when it fails)
Moving Average Crossover (ma_crossover) — weakest bullish trigger #1 on a US mega-cap, showing the 20-day forward window where the signal failed Moving Average Crossover (ma_crossover) — weakest bullish trigger #2 on a US mega-cap, showing the 20-day forward window where the signal failed Moving Average Crossover (ma_crossover) — 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 10,037 +0.30% +0.86% -0.52% <0.001 +0.30% +0.67% -0.32% <0.001 +0.30% +0.39% -0.05% 0.5184
Trending + High vol Crisis selloff or parabolic rally 57,317 +0.97% +1.00% +0.06% 0.3158 +0.97% +0.84% +0.23% 0.0002 +0.97% +0.59% +0.54% <0.001
Non-trending + Low vol Quiet chop, summer doldrums 10,996 +0.42% +0.87% -0.41% <0.001 +0.42% +0.71% -0.25% <0.001 +0.42% +0.49% -0.02% 0.7301
Non-trending + High vol Classical "whipsaw zone" for momentum 35,850 +0.54% +1.04% -0.41% <0.001 +0.54% +0.90% -0.28% <0.001 +0.54% +0.74% -0.09% 0.1860
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 27,578 -1.08% <0.001 -0.80% <0.001 -0.72% <0.001
2020-2022 2020-01-01 → 2023-01-01 36,368 +0.66% <0.001 +0.72% <0.001 +0.49% <0.001
2023-2026 2023-01-01 → 2099-01-01 50,218 -0.37% <0.001 -0.21% 0.0006 +0.48% <0.001

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

Bench Metric 1d 5d 20d 60d 252d
spx Stock % +0.00% +0.30% +1.32% +3.70% +12.54%
Bench % +0.03% +0.29% +1.56% +3.91% +14.95%
Alpha % -0.03% -0.02% -0.22% -0.20% -2.36%
Median alpha -0.07% -0.27% -1.00% -2.31% -10.55%
Hit rate (α>0) 48.0% 47.1% 44.9% 43.3% 37.4%
p (naive) <0.001 0.3064 <0.001 0.0006 <0.001
p (HAC) <0.001 0.3120 <0.001 0.0033 <0.001
N 111,434 107,675 106,456 103,697 93,782
msci Stock % +0.00% +0.30% +1.32% +3.70% +12.54%
Bench % +0.06% +0.29% +1.38% +3.48% +12.49%
Alpha % -0.06% -0.01% -0.06% +0.26% -0.12%
Median alpha -0.11% -0.27% -0.85% -1.83% -8.16%
Hit rate (α>0) 47.4% 47.0% 45.5% 44.6% 39.8%
p (naive) <0.001 0.4279 0.0495 <0.001 0.4394
p (HAC) <0.001 0.4323 0.0524 0.0001 0.7317
N 110,535 106,722 105,468 103,175 92,761
spxew Stock % +0.00% +0.30% +1.32% +3.70% +12.54%
Bench % +0.05% +0.24% +1.39% +3.50% +11.73%
Alpha % -0.06% +0.03% -0.05% +0.24% +0.85%
Median alpha -0.09% -0.20% -0.80% -1.72% -7.00%
Hit rate (α>0) 47.6% 47.7% 45.9% 44.9% 41.0%
p (naive) <0.001 0.1289 0.1097 <0.001 <0.001
p (HAC) <0.001 0.1325 0.1132 0.0007 0.0165
N 110,300 106,246 104,802 102,404 92,156
Distribution of all 20d alpha outcomes for this direction. Median and winsorized mean shown.
Moving Average Crossover (ma_crossover) — 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.
Moving Average Crossover (ma_crossover) — 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 +0.08% +0.08% [+0.07%, +0.10%] 0.184
1d msci +0.08% +0.09% [+0.07%, +0.11%] 0.169
1d spxew +0.06% +0.08% [+0.06%, +0.09%] 0.050
5d spx +0.37% +0.36% [+0.32%, +0.39%] 0.821
5d msci +0.38% +0.36% [+0.33%, +0.40%] 0.781
5d spxew +0.38% +0.34% [+0.31%, +0.37%] 0.995
20d spx +1.06% +1.13% [+1.06%, +1.20%] 0.025
20d msci +1.10% +1.15% [+1.08%, +1.22%] 0.080
20d spxew +1.00% +1.10% [+1.02%, +1.17%] 0.015
60d spx +2.70% +2.43% [+2.30%, +2.55%] 1.000
60d msci +2.74% +2.45% [+2.33%, +2.57%] 1.000
60d spxew +2.41% +2.36% [+2.24%, +2.47%] 0.771
252d spx +4.94% +4.97% [+4.73%, +5.18%] 0.328
252d msci +4.86% +4.92% [+4.69%, +5.10%] 0.279
252d spxew +4.17% +4.58% [+4.32%, +4.77%] 0.005

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

Six recent bearish MA_CROSSOVER 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 MA_CROSSOVER looks like when it works)
Moving Average Crossover (ma_crossover) — 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 Moving Average Crossover (ma_crossover) — 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 Moving Average Crossover (ma_crossover) — 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 MA_CROSSOVER looks like when it fails)
Moving Average Crossover (ma_crossover) — weakest bearish trigger #1 on a US mega-cap, showing the 20-day forward window where the signal failed Moving Average Crossover (ma_crossover) — weakest bearish trigger #2 on a US mega-cap, showing the 20-day forward window where the signal failed Moving Average Crossover (ma_crossover) — 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 8,610 +0.21% +1.05% -0.80% <0.001 +0.21% +0.94% -0.68% <0.001 +0.21% +0.81% -0.52% <0.001
Trending + High vol Crisis selloff or parabolic rally 42,788 +2.19% +2.21% -0.04% 0.5391 +2.19% +1.94% +0.22% 0.0004 +2.19% +1.98% +0.17% 0.0063
Non-trending + Low vol Quiet chop, summer doldrums 13,530 +0.38% +0.91% -0.51% <0.001 +0.38% +0.82% -0.41% <0.001 +0.38% +0.70% -0.29% <0.001
Non-trending + High vol Classical "whipsaw zone" for momentum 49,902 +1.03% +1.25% -0.20% <0.001 +1.03% +1.12% -0.09% 0.0619 +1.03% +1.13% -0.08% 0.1217
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 29,173 -0.55% <0.001 -0.40% <0.001 -0.41% <0.001
2020-2022 2020-01-01 → 2023-01-01 37,771 -0.19% 0.0027 +0.08% 0.1981 -0.42% <0.001
2023-2026 2023-01-01 → 2099-01-01 47,844 -0.03% 0.5612 +0.05% 0.3571 +0.50% <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

Neutral signal. Bullish 20d alpha -0.21%, bearish -0.22%. Neither direction beats random date selection (pperm not significant either way). Observed alpha is likely noise or universe drift rather than information about the trigger. Useful for context, not for standalone entries.

2 · When it works — the setups that drive it

  • Best bullish setup: Trending + High vol — alpha +0.06% / 20d on 57,317 historical triggers.
  • Best bearish setup: Trending + High vol — alpha -0.04% / 20d on 42,788 historical triggers.
  • Best era for bullish: 2020-2022 — alpha +0.66% / 20d.
  • Best era for bearish: 2023-2026 — alpha -0.03% / 20d.

3 · When it fails — common false positives

  • Weakest bullish cell: Trending + Low vol — alpha -0.52% / 20d on 10,037 triggers.
  • Weakest bearish cell: Trending + Low vol — alpha -0.80% / 20d on 8,610 triggers.
  • Worst era for bullish: 2015-2019 — alpha -1.08% / 20d.
  • Worst era for bearish: 2015-2019 — alpha -0.55% / 20d.

Signal-specific failure patterns

Both directions modestly significant on equal-weight, but not regime-stable
50DMA crossing above (golden cross) or below (death cross) the 200DMA produces small but statistically significant alpha against equal-weight at the 20-day horizon, with the 1-year column showing the bigger story — see the at-a-glance table for current values. The point-estimates against cap-weighted SPX are far worse than against equal-weight, which is why the popular Golden-Cross-doesnt-work takes from cap-weighted backtests are misleading on the median stock.
Sub-period dispersion is large
Pre-COVID, COVID era, and post-2023 windows produce different signs and magnitudes for both directions. The signals headline alpha is an average across very different regimes — do not read it as a stationary edge. Position size should reflect the era-by-era variance shown on the periods chart.
Lag is structural, not solvable by parameter tuning
By the time the 50DMA crosses the 200DMA, the underlying trend has been building for weeks. This is not a noise problem — it is a definition problem. Faster crossover parameters (20/50, 50/150) reduce lag but also reduce signal-to-noise. Use the existing 50/200 as a regime confirmation tool, not a timing tool.

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.

Trend-follower family

Moving-average crossover signals are derived from the intersection of two price moving averages at different lookbacks and are classified as trend-following (Murphy, Technical Analysis of the Financial Markets, 1999; Kirkpatrick & Dahlquist, Technical Analysis, 3rd ed. 2015). This construction overlaps with MACD, which is the difference of two EMAs (Appel, Technical Analysis: Power Tools for Active Investors, 2005); stacking MA crossover with MACD in the same direction 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.

  • Use as confirmation filter, not entry trigger — The signals natural home is as a regime gate: take MACD bullish trades only when the 50DMA is above the 200DMA, or take RSI bearish only during death-cross regime. Layered onto other triggers, MA crossover improves precision without its own weak short-horizon returns doing damage.
  • Volume confirmation for bearish death cross — Death crosses on expanding volume are more decisive than on contracting volume (the latter is often a late-stage rollover that is about to bounce). A filter requiring volume above 1.2x the 20d average during the week the cross prints would sharpen the bearish signal.
  • Faster MA parameters — A formal parameter grid search (20/50, 50/150, 50/200, 100/200) would reveal whether the lag issue can be reduced by going faster without losing too much signal-to-noise.

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 trend signal is only as credible as the underlying trend it claims to confirm. Check the 200DMA orientation before acting.
  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

MA crossover is a lagging structural indicator — not a timing signal. Best use: regime gate that tells you which side of the market structure favors your other triggers. The 1-year alpha numbers are the headline; the 20-day numbers are noise around a structural state. Entry open T+1 if traded directly.