Trend vwap_cross

VWAP Cross

Anchored Volume-Weighted Average Price cross. Bullish: close crosses above VWAP from below. Bearish: close crosses below VWAP from above. Uses rolling N-day anchored VWAP (typical price × volume / volume).

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 VWAP anchor window (days) 20 5–100

Historical context

5,099,318 triggers on 24,035 tickers, 1995-09-06 → 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 -0.05% -0.00%
20-day -0.00% +0.00%
60-day +0.27% +0.27%
1-year +2.10% +2.06%

Sign flip across horizons. Bullish triggers go from -0.05% (5d) to +2.10% (1y) — short-term fade but longer holding recovers and wins. Bearish triggers go from -0.00% (5d) to +2.06% (1y) — short-term works as a sell signal but at 1-year horizon stocks mean-revert and outperform.

Random-date null check (20-day): Bullish: worse than random (p=1.000).
Bearish: beats random (p=0.005).

Where does VWAP_CROSS 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.

VWAP Cross (vwap_cross) — 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.

VWAP Cross (vwap_cross) — 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.

VWAP Cross (vwap_cross) — 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% +0.19% +0.87% +2.71% +12.21%
Bench % +0.02% +0.27% +1.09% +3.09% +13.85%
Alpha % -0.04% -0.08% -0.19% -0.41% -1.67%
Median alpha -0.12% -0.40% -1.14% -2.69% -10.21%
Hit rate (α>0) 46.9% 45.7% 44.3% 42.5% 37.8%
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 2,471,614 2,390,661 2,373,290 2,325,487 2,074,843
msci Stock % -0.01% +0.19% +0.87% +2.71% +12.21%
Bench % +0.07% +0.27% +0.96% +2.69% +11.45%
Alpha % -0.07% -0.08% -0.06% +0.02% +0.60%
Median alpha -0.16% -0.41% -1.02% -2.29% -7.92%
Hit rate (α>0) 46.0% 45.6% 44.8% 43.5% 40.3%
p (naive) <0.001 <0.001 <0.001 0.0861 <0.001
p (HAC) <0.001 <0.001 <0.001 0.3986 <0.001
N 2,458,358 2,375,319 2,356,149 2,309,207 2,054,822
spxew Stock % -0.01% +0.19% +0.87% +2.71% +12.21%
Bench % +0.05% +0.24% +0.91% +2.44% +10.17%
Alpha % -0.06% -0.05% -0.00% +0.27% +2.10%
Median alpha -0.13% -0.35% -0.91% -1.97% -6.33%
Hit rate (α>0) 46.7% 46.3% 45.5% 44.4% 42.0%
p (naive) <0.001 <0.001 0.9314 <0.001 <0.001
p (HAC) <0.001 <0.001 0.9506 <0.001 <0.001
N 2,454,135 2,364,928 2,343,133 2,297,582 2,044,886
Distribution of all 20d alpha outcomes for this direction. Median and winsorized mean shown.
VWAP Cross (vwap_cross) — 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.
VWAP Cross (vwap_cross) — 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 +0.08% +0.08% [+0.08%, +0.09%] 0.607
1d msci +0.08% +0.09% [+0.09%, +0.09%] 1.000
1d spxew +0.08% +0.08% [+0.07%, +0.08%] 0.532
5d spx +0.35% +0.35% [+0.35%, +0.36%] 1.000
5d msci +0.34% +0.36% [+0.35%, +0.37%] 1.000
5d spxew +0.33% +0.34% [+0.33%, +0.35%] 0.925
20d spx +1.10% +1.13% [+1.11%, +1.14%] 1.000
20d msci +1.12% +1.14% [+1.13%, +1.15%] 1.000
20d spxew +1.06% +1.10% [+1.08%, +1.11%] 1.000
60d spx +2.43% +2.43% [+2.40%, +2.45%] 0.478
60d msci +2.44% +2.45% [+2.42%, +2.47%] 0.766
60d spxew +2.35% +2.36% [+2.34%, +2.39%] 0.761
252d spx +5.04% +4.93% [+4.88%, +4.98%] 0.005
252d msci +5.00% +4.88% [+4.83%, +4.92%] 0.005
252d spxew +4.72% +4.58% [+4.53%, +4.63%] 0.005

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

Six recent bullish VWAP_CROSS 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 VWAP_CROSS looks like when it works)
VWAP Cross (vwap_cross) — 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 VWAP Cross (vwap_cross) — 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 VWAP Cross (vwap_cross) — 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 VWAP_CROSS looks like when it fails)
VWAP Cross (vwap_cross) — weakest bullish trigger #1 on a US mega-cap, showing the 20-day forward window where the signal failed VWAP Cross (vwap_cross) — weakest bullish trigger #2 on a US mega-cap, showing the 20-day forward window where the signal failed VWAP Cross (vwap_cross) — 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 137,101 +0.48% +0.87% -0.37% <0.001 +0.48% +0.72% -0.22% <0.001 +0.48% +0.60% -0.09% <0.001
Trending + High vol Crisis selloff or parabolic rally 711,829 +0.97% +1.21% -0.19% <0.001 +0.97% +1.05% -0.03% 0.2019 +0.97% +1.02% +0.02% 0.3182
Non-trending + Low vol Quiet chop, summer doldrums 357,817 +0.53% +0.85% -0.31% <0.001 +0.53% +0.72% -0.17% <0.001 +0.53% +0.60% -0.06% <0.001
Non-trending + High vol Classical "whipsaw zone" for momentum 1,343,683 +0.97% +1.12% -0.11% <0.001 +0.97% +1.00% -0.01% 0.6849 +0.97% +0.97% +0.04% 0.0131
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 → 2020-01-01 776,701 -0.59% <0.001 -0.41% <0.001 -0.43% <0.001
2020-2022 2020-01-01 → 2023-01-01 759,559 +0.27% <0.001 +0.38% <0.001 -0.04% 0.0803
2023-2026 2023-01-01 → 2099-01-01 1,013,411 -0.21% <0.001 -0.11% <0.001 +0.38% <0.001

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

Bench Metric 1d 5d 20d 60d 252d
spx Stock % -0.00% +0.19% +0.74% +2.66% +12.04%
Bench % +0.01% +0.21% +0.99% +3.12% +13.76%
Alpha % -0.02% -0.02% -0.20% -0.44% -1.76%
Median alpha -0.05% -0.27% -1.09% -2.65% -10.18%
Hit rate (α>0) 48.6% 47.0% 44.5% 42.6% 37.8%
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 2,471,895 2,390,993 2,374,724 2,316,999 2,074,131
msci Stock % -0.00% +0.19% +0.74% +2.66% +12.04%
Bench % +0.03% +0.21% +0.87% +2.72% +11.41%
Alpha % -0.03% -0.00% -0.08% -0.01% +0.51%
Median alpha -0.07% -0.26% -0.96% -2.24% -7.91%
Hit rate (α>0) 48.0% 47.1% 45.0% 43.6% 40.3%
p (naive) <0.001 0.3624 <0.001 0.6977 <0.001
p (HAC) <0.001 0.3929 <0.001 0.8482 0.0002
N 2,458,281 2,378,762 2,364,082 2,304,523 2,062,976
spxew Stock % -0.00% +0.19% +0.74% +2.66% +12.04%
Bench % +0.04% +0.19% +0.81% +2.44% +10.06%
Alpha % -0.04% -0.00% +0.00% +0.27% +2.06%
Median alpha -0.07% -0.24% -0.84% -1.89% -6.29%
Hit rate (α>0) 48.2% 47.4% 45.7% 44.6% 42.0%
p (naive) <0.001 0.7074 0.8968 <0.001 <0.001
p (HAC) <0.001 0.7249 0.9265 <0.001 <0.001
N 2,449,308 2,362,695 2,349,097 2,289,866 2,049,617
Distribution of all 20d alpha outcomes for this direction. Median and winsorized mean shown.
VWAP Cross (vwap_cross) — 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.
VWAP Cross (vwap_cross) — 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% [+0.09%, +0.09%] 1.000
1d spxew +0.09% +0.08% [+0.07%, +0.08%] 1.000
5d spx +0.39% +0.36% [+0.35%, +0.36%] 1.000
5d msci +0.40% +0.36% [+0.35%, +0.37%] 1.000
5d spxew +0.37% +0.34% [+0.33%, +0.35%] 1.000
20d spx +1.08% +1.13% [+1.11%, +1.14%] 0.005
20d msci +1.09% +1.14% [+1.13%, +1.16%] 0.005
20d spxew +1.05% +1.10% [+1.08%, +1.11%] 0.005
60d spx +2.40% +2.43% [+2.40%, +2.45%] 0.025
60d msci +2.42% +2.45% [+2.42%, +2.47%] 0.025
60d spxew +2.36% +2.36% [+2.33%, +2.39%] 0.413
252d spx +5.00% +4.93% [+4.87%, +4.98%] 0.995
252d msci +4.96% +4.88% [+4.82%, +4.93%] 0.995
252d spxew +4.72% +4.58% [+4.52%, +4.63%] 1.000

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

Six recent bearish VWAP_CROSS 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 VWAP_CROSS looks like when it works)
VWAP Cross (vwap_cross) — 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 VWAP Cross (vwap_cross) — 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 VWAP Cross (vwap_cross) — 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 VWAP_CROSS looks like when it fails)
VWAP Cross (vwap_cross) — weakest bearish trigger #1 on a US mega-cap, showing the 20-day forward window where the signal failed VWAP Cross (vwap_cross) — weakest bearish trigger #2 on a US mega-cap, showing the 20-day forward window where the signal failed VWAP Cross (vwap_cross) — 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 145,162 +0.34% +0.85% -0.48% <0.001 +0.34% +0.69% -0.31% <0.001 +0.34% +0.55% -0.17% <0.001
Trending + High vol Crisis selloff or parabolic rally 782,756 +1.02% +1.04% +0.04% 0.0622 +1.02% +0.89% +0.18% <0.001 +1.02% +0.81% +0.29% <0.001
Non-trending + Low vol Quiet chop, summer doldrums 353,783 +0.34% +0.87% -0.50% <0.001 +0.34% +0.73% -0.35% <0.001 +0.34% +0.63% -0.25% <0.001
Non-trending + High vol Classical "whipsaw zone" for momentum 1,267,176 +0.77% +1.02% -0.20% <0.001 +0.77% +0.92% -0.10% <0.001 +0.77% +0.88% -0.06% <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 → 2020-01-01 774,404 -0.57% <0.001 -0.38% <0.001 -0.39% <0.001
2020-2022 2020-01-01 → 2023-01-01 764,651 +0.20% <0.001 +0.30% <0.001 -0.07% <0.001
2023-2026 2023-01-01 → 2099-01-01 1,009,055 -0.20% <0.001 -0.12% <0.001 +0.38% <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 -0.19% and worse than random — triggering on random dates would have produced better long-side returns. Either direction fails the "beats random" test. Don't use VWAP Cross 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: Non-trending + High vol — alpha -0.11% / 20d on 1,343,683 historical triggers.
  • Best bearish setup: Trending + High vol — alpha +0.04% / 20d on 782,756 historical triggers.
  • Best era for bullish: 2020-2022 — alpha +0.27% / 20d.
  • Best era for bearish: 2020-2022 — alpha +0.20% / 20d.

3 · When it fails — common false positives

  • Weakest bullish cell: Trending + Low vol — alpha -0.37% / 20d on 137,101 triggers.
  • Weakest bearish cell: Non-trending + Low vol — alpha -0.50% / 20d on 353,783 triggers.
  • Worst era for bullish: 2015-2019 — alpha -0.59% / 20d.
  • Worst era for bearish: 2015-2019 — alpha -0.57% / 20d.

Signal-specific failure patterns

Bullish side is noise; bearish carries a small but significant short-horizon edge
Close crossing above VWAP (bullish) does not produce a tradable edge on the equal-weight benchmark — the random-date null check rejects it. Close crossing below (bearish) shows a small but statistically significant edge at the 20-day horizon that compounds modestly out to longer holds. See the at-a-glance table for current values. VWAP is a fair-execution benchmark, not a predictive indicator; its daily cross is a late-confirmation event for bullish trades and a sustained-weakness marker for bearish trades.
2020-2022 broke the signal in both directions
The COVID-era window saw the bearish side weaken or flip sign briefly. VWAP cross is especially exposed to chaotic positioning regimes because it is a high-frequency intraday indicator measured on daily bars; when intraday positioning is itself disrupted, the signal goes random.
Multi-day VWAP structure is more meaningful than single-day cross
Current implementation triggers on a single-day cross. A 5-day sustained close above or below VWAP is structurally more meaningful and would be a different (likely better) signal to design.

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.

No classical-TA family-redundancy claim applies to this signal. Pairing behaviour is a backtest question and has not been measured yet.

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.

  • Multi-day VWAP structure — A 5-day sustained close above/below VWAP is structurally more meaningful than the single-day cross. Parameter change, testable.
  • Pair with trend filter — Bearish VWAP cross below 50DMA is an aligned breakdown. Above 50DMA is a possible pullback in uptrend. Separating the two regimes would clarify which cells carry real alpha.

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

Bearish side is the tradable direction; bullish side is noise. The 60-day column on the at-a-glance is roughly twice the 20-day for the bearish side — hold through. Entry open T+1.