new_20d_low
20-Day New Low
Triggers when price makes a new N-day low with a red candle (close <= open). Bearish only — use '20-Day New High' for bullish.
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 |
|---|---|---|---|
| period | Lookback period (days) | 20 | 5–252 |
Historical context
3,648,033 triggers on 23,938 tickers, 1988-03-25 → 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 | Bearish α |
|---|---|
| 5-day | +0.03% |
| 20-day | +0.08% |
| 60-day | +0.20% |
| 1-year | +1.80% |
20-Day New Low is a single-direction signal — only the bearish side is meaningful.
Where does NEW_20D_LOW 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 (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.
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 |
|---|---|---|---|---|---|---|
| spx | Stock % | -0.04% | +0.20% | +1.18% | +3.23% | +12.49% |
| Bench % | +0.01% | +0.22% | +1.35% | +3.55% | +14.54% | |
| Alpha % | -0.05% | -0.01% | -0.13% | -0.30% | -2.06% | |
| Median alpha | -0.05% | -0.20% | -0.96% | -2.53% | -11.03% | |
| Hit rate (α>0) | 48.6% | 47.8% | 45.2% | 43.1% | 37.2% | |
| p (naive) | <0.001 | 0.0101 | <0.001 | <0.001 | <0.001 | |
| p (HAC) | <0.001 | 0.0563 | <0.001 | <0.001 | <0.001 | |
| N | 3,542,428 | 3,424,653 | 3,414,718 | 3,330,792 | 3,044,877 | |
| msci | Stock % | -0.04% | +0.20% | +1.18% | +3.23% | +12.49% |
| Bench % | +0.03% | +0.21% | +1.19% | +3.21% | +12.23% | |
| Alpha % | -0.06% | -0.00% | -0.01% | +0.09% | -0.00% | |
| Median alpha | -0.07% | -0.20% | -0.84% | -2.17% | -8.87% | |
| Hit rate (α>0) | 48.1% | 47.8% | 45.7% | 43.9% | 39.4% | |
| p (naive) | <0.001 | 0.6018 | 0.0353 | <0.001 | 0.9209 | |
| p (HAC) | <0.001 | 0.6989 | 0.2819 | 0.0052 | 0.9835 | |
| N | 3,529,517 | 3,410,352 | 3,384,231 | 3,311,081 | 3,026,706 | |
| spxew | Stock % | -0.04% | +0.20% | +1.18% | +3.23% | +12.49% |
| Bench % | +0.03% | +0.16% | +1.09% | +2.99% | +10.66% | |
| Alpha % | -0.07% | +0.03% | +0.08% | +0.20% | +1.80% | |
| Median alpha | -0.07% | -0.16% | -0.72% | -1.94% | -7.08% | |
| Hit rate (α>0) | 48.3% | 48.3% | 46.3% | 44.5% | 41.2% | |
| 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 | 3,516,452 | 3,391,570 | 3,370,262 | 3,288,889 | 3,008,497 |
Permutation null detail — all horizons × both benchmarks
| Horizon | Bench | Observed lift | Null mean | Null 95% CI | pperm |
|---|---|---|---|---|---|
| 1d | spx | +0.08% | +0.09% | [+0.09%, +0.09%] | 0.005 |
| 1d | msci | +0.10% | +0.09% | [+0.09%, +0.10%] | 0.766 |
| 1d | spxew | +0.07% | +0.08% | [+0.08%, +0.09%] | 0.005 |
| 5d | spx | +0.45% | +0.39% | [+0.38%, +0.39%] | 1.000 |
| 5d | msci | +0.45% | +0.39% | [+0.38%, +0.40%] | 1.000 |
| 5d | spxew | +0.45% | +0.37% | [+0.36%, +0.38%] | 1.000 |
| 20d | spx | +1.33% | +1.22% | [+1.21%, +1.24%] | 1.000 |
| 20d | msci | +1.33% | +1.24% | [+1.22%, +1.25%] | 1.000 |
| 20d | spxew | +1.30% | +1.19% | [+1.18%, +1.21%] | 1.000 |
| 60d | spx | +3.02% | +2.61% | [+2.59%, +2.63%] | 1.000 |
| 60d | msci | +2.99% | +2.63% | [+2.61%, +2.65%] | 1.000 |
| 60d | spxew | +2.78% | +2.54% | [+2.52%, +2.56%] | 1.000 |
| 252d | spx | +6.02% | +5.25% | [+5.21%, +5.30%] | 1.000 |
| 252d | msci | +5.85% | +5.20% | [+5.17%, +5.25%] | 1.000 |
| 252d | spxew | +5.78% | +4.90% | [+4.86%, +4.95%] | 1.000 |
Example triggers on US large-caps (2023+, mcap ≥ $30B)
Six recent bearish NEW_20D_LOW 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 NEW_20D_LOW looks like when it works)
Weakest outcomes (what NEW_20D_LOW looks like when it fails)
Stock-regime quadrants (2×2 per-stock, 20d alpha detail table)
| 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 | 339,418 | +0.01% | +1.13% | -1.07% | <0.001 | +0.01% | +0.98% | -0.91% | <0.001 | +0.01% | +0.88% | -0.80% | <0.001 |
| Trending + High vol Crisis selloff or parabolic rally | 1,171,420 | +2.13% | +1.53% | +0.65% | <0.001 | +2.13% | +1.33% | +0.79% | <0.001 | +2.13% | +1.22% | +0.88% | <0.001 |
| Non-trending + Low vol Quiet chop, summer doldrums | 485,147 | +0.04% | +1.14% | -1.05% | <0.001 | +0.04% | +1.01% | -0.92% | <0.001 | +0.04% | +0.88% | -0.78% | <0.001 |
| Non-trending + High vol Classical "whipsaw zone" for momentum | 1,647,129 | +1.09% | +1.34% | -0.21% | <0.001 | +1.09% | +1.22% | -0.12% | <0.001 | +1.09% | +1.15% | -0.04% | 0.0284 |
Sub-period breakdown table (20d alpha)
| Period | N | Alpha % (spx) | p (HAC) | Alpha % (msci) | p (HAC) | Alpha % (spxew) | p (HAC) |
|---|---|---|---|---|---|---|---|
| 2015-2019 2015-01-01 → 2020-01-01 | 1,094,023 | -0.24% | <0.001 | -0.02% | 0.2556 | -0.15% | <0.001 |
| 2020-2022 2020-01-01 → 2023-01-01 | 1,106,761 | +0.06% | 0.0114 | +0.20% | <0.001 | -0.14% | <0.001 |
| 2023-2026 2023-01-01 → 2099-01-01 | 1,441,394 | -0.18% | <0.001 | -0.17% | <0.001 | +0.43% | <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. Bearish 20d alpha is -0.13% and worse than random . Either direction fails the "beats random" test. Don't use 20-Day New Low 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 bearish setup: Trending + High vol — alpha +0.65% / 20d on 1,171,420 historical triggers.
- Best era for bearish: 2020-2022 — alpha +0.06% / 20d.
3 · When it fails — common false positives
- Weakest bearish cell: Trending + Low vol — alpha -1.07% / 20d on 339,418 triggers.
- Worst era for bearish: 2015-2019 — alpha -0.24% / 20d.
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. A multi-signal convergence backtest is planned but not yet run.
Breakdown-family redundancy
New 20-day low, new 52-week low, and fresh 52-week low are breakdown signals at different lookbacks — all fire when price falls below the minimum of the prior N bars (Edwards & Magee, Technical Analysis of Stock Trends, 11th ed. 2018; Kirkpatrick & Dahlquist, Technical Analysis, 3rd ed. 2015; Bulkowski, Encyclopedia of Chart Patterns, 3rd ed. 2021). Stacking two or more 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.
- Time-limit the hold to 20-30 days max — Past 20d, alpha reverts. A strict 20d time stop preserves the signal edge.
- Pair with trend filter — New 20d low in an uptrend is noise; in a downtrend it is continuation. 50DMA filter separates the two populations cleanly.
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
Marginal short-side tile. Entry open T+1, exit within 20 trading days. Most useful as a universe filter for short candidates, paired with structural filters (50DMA, sector trend) for directional conviction.