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: 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 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%
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 bullish and bearish triggers, global 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 (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.

VWAP Cross (vwap_cross) — mean 20-day alpha versus S&P 500 Equal Weight by per-stock regime quadrant, bullish and bearish triggers 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
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
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
Observed 20-day lift (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 the right tail, the signal is doing real work in that direction; in the left tail it ran inverted — random dates served the bullish case better than its own triggers did.
VWAP Cross (vwap_cross) — bullish 20-day observed lift versus random-date permutation null (200 iterations)
Permutation null detail — all horizons × each benchmark
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), which removes the universe-selection lift that all surviving names share, so the comparison is about the trigger's timing. It does not put the null at zero: that baseline is a median, while a random date's expectation is the ticker's mean, so the null settles at the gap between the two — the right-skew of the ticker's own alpha distribution, positive for equities. Read observed minus null, not the absolute position of either column — which is also why these figures do not match the α columns in the tables above (those are raw, uncentered means). pperm = one-sided fraction of null iters with mean in the "signal was right" tail (right for bullish, left for bearish), so it runs from a floor of 0.005 (trigger dates beat every random draw in the claimed direction) to a 1.000 ceiling (every random draw served the claimed direction better — a reliably inverted signal, not an absent one). The floor is 1/(iterations + 1) and moves with the iteration count; the ceiling does not. Either end says the result was reliable, not that it was large: the gap between the line and the cloud can be a fraction of a percent and still reach an endpoint, and the transaction-cost floor in the caveats below would swallow a gap that small. Read the size off the α and hit-rate columns, the reliability off pperm.
Horizon Bench Observed lift Null mean Null 95% CI pperm
1d spxew +0.08% +0.08% [+0.07%, +0.08%] 0.532
1d spx +0.08% +0.08% [+0.08%, +0.09%] 0.607
1d msci +0.08% +0.09% [+0.09%, +0.09%] 1.000
5d spxew +0.33% +0.34% [+0.33%, +0.35%] 0.925
5d spx +0.35% +0.35% [+0.35%, +0.36%] 1.000
5d msci +0.34% +0.36% [+0.35%, +0.37%] 1.000
20d spxew +1.06% +1.10% [+1.08%, +1.11%] 1.000
20d spx +1.10% +1.13% [+1.11%, +1.14%] 1.000
20d msci +1.12% +1.14% [+1.13%, +1.15%] 1.000
60d spxew +2.35% +2.36% [+2.34%, +2.39%] 0.761
60d spx +2.43% +2.43% [+2.40%, +2.45%] 0.478
60d msci +2.44% +2.45% [+2.42%, +2.47%] 0.766
252d spxew +4.72% +4.58% [+4.53%, +4.63%] 0.005
252d spx +5.04% +4.93% [+4.88%, +4.98%] 0.005
252d msci +5.00% +4.88% [+4.83%, +4.92%] 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. 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 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 % (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 137,101 +0.48% +0.60% -0.09% <0.001 +0.48% +0.87% -0.37% <0.001 +0.48% +0.72% -0.22% <0.001
Trending + High vol Crisis selloff or parabolic rally 711,829 +0.97% +1.02% +0.02% 0.3182 +0.97% +1.21% -0.19% <0.001 +0.97% +1.05% -0.03% 0.2019
Non-trending + Low vol Quiet chop, summer doldrums 357,817 +0.53% +0.60% -0.06% <0.001 +0.53% +0.85% -0.31% <0.001 +0.53% +0.72% -0.17% <0.001
Non-trending + High vol Classical "whipsaw zone" for momentum 1,343,683 +0.97% +0.97% +0.04% 0.0131 +0.97% +1.12% -0.11% <0.001 +0.97% +1.00% -0.01% 0.6849
Sub-period breakdown table (20d alpha)
Historical clustering check. If alpha concentrates in one era, the signal's robustness is questionable.
Period N Alpha % (spxew) p (HAC) Alpha % (spx) p (HAC) Alpha % (msci) p (HAC)
2015-2019 2015-01-01 → 2020-01-01 776,701 -0.43% <0.001 -0.59% <0.001 -0.41% <0.001
2020-2022 2020-01-01 → 2023-01-01 759,559 -0.04% 0.0803 +0.27% <0.001 +0.38% <0.001
2023-2026 2023-01-01 → 2099-01-01 1,013,411 +0.38% <0.001 -0.21% <0.001 -0.11% <0.001

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

Bench Metric 1d 5d 20d 60d 252d
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
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
Observed 20-day lift (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 the left tail, the signal is doing real work in that direction; in the right tail it ran inverted — random dates served the bearish case better than its own triggers did.
VWAP Cross (vwap_cross) — bearish 20-day observed lift versus random-date permutation null (200 iterations)
Permutation null detail — all horizons × each benchmark
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), which removes the universe-selection lift that all surviving names share, so the comparison is about the trigger's timing. It does not put the null at zero: that baseline is a median, while a random date's expectation is the ticker's mean, so the null settles at the gap between the two — the right-skew of the ticker's own alpha distribution, positive for equities. Read observed minus null, not the absolute position of either column — which is also why these figures do not match the α columns in the tables above (those are raw, uncentered means). pperm = one-sided fraction of null iters with mean in the "signal was right" tail (right for bullish, left for bearish), so it runs from a floor of 0.005 (trigger dates beat every random draw in the claimed direction) to a 1.000 ceiling (every random draw served the claimed direction better — a reliably inverted signal, not an absent one). The floor is 1/(iterations + 1) and moves with the iteration count; the ceiling does not. Either end says the result was reliable, not that it was large: the gap between the line and the cloud can be a fraction of a percent and still reach an endpoint, and the transaction-cost floor in the caveats below would swallow a gap that small. Read the size off the α and hit-rate columns, the reliability off pperm.
Horizon Bench Observed lift Null mean Null 95% CI pperm
1d spxew +0.09% +0.08% [+0.07%, +0.08%] 1.000
1d spx +0.10% +0.08% [+0.08%, +0.09%] 1.000
1d msci +0.11% +0.09% [+0.09%, +0.09%] 1.000
5d spxew +0.37% +0.34% [+0.33%, +0.35%] 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
20d spxew +1.05% +1.10% [+1.08%, +1.11%] 0.005
20d spx +1.08% +1.13% [+1.11%, +1.14%] 0.005
20d msci +1.09% +1.14% [+1.13%, +1.16%] 0.005
60d spxew +2.36% +2.36% [+2.33%, +2.39%] 0.413
60d spx +2.40% +2.43% [+2.40%, +2.45%] 0.025
60d msci +2.42% +2.45% [+2.42%, +2.47%] 0.025
252d spxew +4.72% +4.58% [+4.52%, +4.63%] 1.000
252d spx +5.00% +4.93% [+4.87%, +4.98%] 0.995
252d msci +4.96% +4.88% [+4.82%, +4.93%] 0.995

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. 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 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 % (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 145,162 +0.34% +0.55% -0.17% <0.001 +0.34% +0.85% -0.48% <0.001 +0.34% +0.69% -0.31% <0.001
Trending + High vol Crisis selloff or parabolic rally 782,756 +1.02% +0.81% +0.29% <0.001 +1.02% +1.04% +0.04% 0.0622 +1.02% +0.89% +0.18% <0.001
Non-trending + Low vol Quiet chop, summer doldrums 353,783 +0.34% +0.63% -0.25% <0.001 +0.34% +0.87% -0.50% <0.001 +0.34% +0.73% -0.35% <0.001
Non-trending + High vol Classical "whipsaw zone" for momentum 1,267,176 +0.77% +0.88% -0.06% <0.001 +0.77% +1.02% -0.20% <0.001 +0.77% +0.92% -0.10% <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 % (spxew) p (HAC) Alpha % (spx) p (HAC) Alpha % (msci) p (HAC)
2015-2019 2015-01-01 → 2020-01-01 774,404 -0.39% <0.001 -0.57% <0.001 -0.38% <0.001
2020-2022 2020-01-01 → 2023-01-01 764,651 -0.07% <0.001 +0.20% <0.001 +0.30% <0.001
2023-2026 2023-01-01 → 2099-01-01 1,009,055 +0.38% <0.001 -0.20% <0.001 -0.12% <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 -0.00% — worse than random : firing on random dates would have done better. Bearish beats random on timing, but the raw 20d alpha is +0.00% — the flagged stocks still outperformed the benchmark, so it is not a short trigger on its own. 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 bullish setup: Non-trending + High vol — alpha +0.04% / 20d on 1,343,683 historical triggers.
  • Best bearish setup: Non-trending + Low vol — alpha -0.25% / 20d on 353,783 historical triggers.
  • Best era for bullish: 2023-2026 — alpha +0.38% / 20d on 1,013,411 triggers.
  • Best era for bearish: 2015-2019 — alpha -0.39% / 20d on 774,404 triggers.

3 · When it fails — common false positives

  • Weakest bullish cell: Trending + Low vol — alpha -0.09% / 20d on 137,101 triggers.
  • Weakest bearish cell: Trending + High vol — alpha +0.29% / 20d on 782,756 triggers.
  • Worst era for bullish: 2015-2019 — alpha -0.43% / 20d on 776,701 triggers.
  • Worst era for bearish: 2023-2026 — alpha +0.38% / 20d on 1,009,055 triggers.

Signal-specific failure patterns

A fair-execution benchmark, not a forecast
The implementation computes a rolling 20-day anchored VWAP from daily bars — typical price (high + low + close) / 3, weighted by volume — and fires bullish when the close crosses above it, bearish when it crosses below. VWAP marks where the average recent volume traded, which by itself says little about where price goes next: a daily-bar cross of a 20-day volume-weighted average is a late-confirmation event, printing only after price has already traversed the zone holding most of the recent volume. Whether either direction clears the random-date null is an empirical question — read it from the at-a-glance table and the permutation-null line above rather than from this prose.
Chaotic positioning regimes randomize the cross
The signal proxies an intraday execution benchmark from daily data, which makes it especially exposed to disorderly regimes: when volume is dominated by forced or panicked flows, the level where most recent volume traded stops functioning as a fair-value anchor, and crossing it carries no information. Check the sub-period rows in the live tables before extrapolating from any single era.
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. Measured pair results — same-day co-fires put through the pair backtest — follow under “Measured pairings” below.

No classical-TA family-redundancy claim applies to this signal.

Measured pairings — Bonferroni survivors

These are the same-day co-fire combinations involving VWAP Cross 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 — 6 of the 23 rows below do 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.

Europe

Pair (same-day co-fire, long) Full α Test α (2023+) Test N p_perm test
cci bearish + vwap_cross bearish +0.46% +0.42% 3,165 0.010
vwap_cross bearish + williams_r bearish +0.36% +0.41% 3,388 0.006

2 of this universe's 20 surviving pairs involve this signal · α vs ^STOXX.

China A-shares — 21 surviving pairs
Pair (same-day co-fire, long) Full α Test α (2023+) Test N p_perm test
hh_hl_structure bearish + vwap_cross bullish +2.49% +4.07% 969 0.002
vwap_cross bearish + weekly_change bearish +1.13% +2.59% 7,352 0.002
failed_double_bottom bullish + vwap_cross bullish +1.31% +2.14% 1,368 0.002
stochastics bearish + vwap_cross bullish +1.19% +1.80% 903 0.002
hh_hl_structure bearish + vwap_cross bearish +0.73% +1.56% 1,939 0.002
vwap_cross bullish + weekly_change bullish +0.64% +1.42% 12,597 0.002
failed_double_top bearish + vwap_cross bearish +1.05% +1.20% 1,850 0.002
new_20d_low bearish + vwap_cross bearish +0.91% +1.17% 3,909 0.002
hh_hl_streak bearish + vwap_cross bearish +0.71% +1.10% 11,436 0.002
hh_hl_streak bullish + vwap_cross bullish +1.08% +1.04% 8,593 0.002
vwap_cross bullish + williams_r bullish +0.34% +0.71% 18,678 0.002
vwap_cross bearish + williams_r bearish +0.25% +0.67% 14,342 0.002
macd bullish + vwap_cross bullish +0.29% +0.61% 32,576 0.002
macd bearish + vwap_cross bearish +0.38% +0.50% 30,953 0.002
cci bullish + vwap_cross bullish +0.32% +0.38% 13,463 0.002
volume_breakout bullish + vwap_cross bullish -0.32% +0.25% 23,932 0.004
volume_breakout bearish + vwap_cross bearish -0.62% +0.06% 7,464 0.625
new_20d_high bullish + vwap_cross bullish -0.75% -0.21% 12,388 0.078
bearish_trend_breakout bullish + vwap_cross bullish -0.94% -0.66% 1,973 0.022
double_top_breakout bullish + vwap_cross bullish -3.28% -4.20% 307 0.002
new_20d_high bullish + vwap_cross bearish -4.52% — — —

21 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.

“—” in the test columns means the held-out 2023+ sample fell below the 20-observation minimum this run requires before it computes any statistic, so no out-of-sample figure exists for that pair — not that it never co-fired again. Those pairs rank last.

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

Direction verdicts belong to the data, not the doc: if a side beats the random-date null in the current at-a-glance table, use it as a screen tile in that direction; otherwise treat crosses as context — a marker that price has re-crossed the recent volume-weighted level — rather than as entries. The cross fires frequently, so standalone use implies high turnover. Entry open T+1.