Mean reversion cci

Commodity Channel Index

CCI = (HLC3 - SMA(HLC3)) / (0.015 * MeanDev(HLC3)). Bullish: CCI crosses above -threshold (leaving oversold). Bearish: CCI crosses below +threshold (leaving overbought).

Signal family

Mean reversion — Oscillator-based signals that fire at overbought or oversold extremes — typically fade the prevailing move.

Parameters

Name Description Default Range
period CCI period 20 5–100
threshold Threshold 100 50–200

Historical context

631,487 valid triggers on 3,679 distinct tickers between 2015-02-17 and 2026-04-22. Universe: us_only · mcap ≥ $100,000,000 · price ≥ $1 (3,682 tickers). Entry at open T+1. 1d = intraday T+1; 20d = open T+1 to close T+20.

Benchmarks: spxew (S&P 500 Equal Weight — the primary benchmark here; a median-stock view that avoids the 2020+ megacap-concentration distortion), spx (S&P 500, cap-weighted), and msci (MSCI World USD). Per-stock regime: trending = ADX(14) ≥ 25, high vol = 20d ann. vol ≥ 20%.

At a glance (20d alpha vs S&P 500 Equal Weight, US-only)

Bullish
+0.03%
vs random-date null: worse than random (pperm=1.000)
Bearish (negative alpha = signal right)
+0.04%
vs random-date null: beats random (pperm=0.005)

Reading this: the random-date null is: for each ticker, sample N random dates and compute the same alpha — what alpha does a signal with no information produce? If the signal's observed alpha beats the null (pperm≤0.05), it's adding real information. If it's inside or worse than the null, the signal doesn't add value over random firing — any observed alpha is either noise or a universe artifact.

How often does CCI fire in each regime?

The signal's bucket distribution is itself informative. If 50%+ of all CCI triggers fire in the "non-trending + high vol" quadrant, the signal is structurally a chop-market event — regardless of what its textbook definition claims. Bullish and bearish are shown separately; counts are across the full US-only sample after the mcap and price floor.

Commodity Channel Index (cci) — trigger count distribution by per-stock regime quadrant (trending/non-trending × high/low realized volatility) for , US-only universe

Per-stock regime quadrant — 20d alpha

Each trigger is tagged with the host stock's own technical regime on the trigger date: is the stock itself in a trend (ADX(14) ≥ 25) or ranging? And is its realized 20-day volatility high (≥ 20% annualized) or low? This is the textbook conditioning variable — "does this signal work better in trending stocks?" — answered at the level of the individual stock, not the market. Positive bars are good for the signal; negative bars mean alpha vanishes into the benchmark or worse.

Commodity Channel Index (cci) — 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.

Sub-period check — does the signal work in every era?

A multi-year average can hide major instability. We split the sample into three non-overlapping windows: 2015–2019 (pre-COVID, normalized monetary policy), 2020–2022 (pandemic crash + recovery + rate-shock bear), and 2023+ (post-ZIRP, AI megacap rally). If a signal's alpha is positive overall but comes entirely from one era, that's a red flag — the conditions that produced it may not repeat. A robust signal shows a consistent sign across all non-empty buckets.

Commodity Channel Index (cci) — 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 % -0.02% +0.15% +1.09% +3.00% +11.76%
Bench % +-0.00% +0.26% +1.22% +3.26% +13.56%
Alpha % -0.03% -0.10% -0.11% -0.25% -1.79%
Median alpha -0.05% -0.22% -0.57% -1.75% -8.86%
Hit rate (α>0) 48.5% 47.6% 47.0% 45.2% 39.4%
p (naive) <0.001 <0.001 <0.001 <0.001 <0.001
p (HAC) <0.001 <0.001 <0.001 0.0006 <0.001
N 298,733 298,325 295,652 288,474 264,378
msci Stock % -0.02% +0.15% +1.09% +3.00% +11.76%
Bench % +0.08% +0.32% +1.17% +2.92% +11.45%
Alpha % -0.10% -0.17% -0.06% +0.07% +0.30%
Median alpha -0.13% -0.29% -0.53% -1.38% -6.64%
Hit rate (α>0) 46.8% 46.9% 47.3% 46.1% 41.9%
p (naive) <0.001 <0.001 0.0090 0.0811 0.0026
p (HAC) <0.001 <0.001 0.0496 0.3464 0.3685
N 297,518 295,922 293,028 286,588 262,895
spxew Stock % -0.02% +0.15% +1.09% +3.00% +11.76%
Bench % +0.03% +0.24% +1.12% +2.69% +10.02%
Alpha % -0.06% -0.08% +0.03% +0.26% +1.83%
Median alpha -0.08% -0.18% -0.41% -1.14% -5.39%
Hit rate (α>0) 47.8% 48.0% 47.9% 46.7% 43.2%
p (naive) <0.001 <0.001 0.1439 <0.001 <0.001
p (HAC) <0.001 <0.001 0.2777 0.0003 <0.001
N 297,234 295,518 292,955 286,169 261,504
Distribution of all 20d alpha outcomes for this direction. Median and winsorized mean shown.
Commodity Channel Index (cci) — 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.
Commodity Channel Index (cci) — 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. The null distribution's 95% CI is where a signal with no information would land. pperm = one-sided fraction of null iters with mean ≥ observed.
Horizon Bench Observed α Null mean Null 95% CI pperm
1d spx -0.03% -0.00% [-0.03%, +0.26%] 0.975
1d msci -0.10% -0.03% [-0.05%, +0.24%] 1.000
1d spxew -0.06% -0.03% [-0.05%, +0.24%] 1.000
5d spx -0.10% +0.15% [-0.01%, +0.55%] 1.000
5d msci -0.17% +0.16% [-0.00%, +0.56%] 1.000
5d spxew -0.08% +0.18% [+0.02%, +0.58%] 1.000
20d spx -0.11% +0.25% [+0.05%, +0.60%] 1.000
20d msci -0.06% +0.38% [+0.17%, +0.72%] 1.000
20d spxew +0.03% +0.45% [+0.24%, +0.79%] 1.000
60d spx -0.25% +0.46% [+0.20%, +0.93%] 1.000
60d msci +0.07% +0.91% [+0.64%, +1.37%] 1.000
60d spxew +0.26% +1.13% [+0.87%, +1.61%] 1.000
252d spx -1.79% +0.95% [+0.47%, +1.53%] 1.000
252d msci +0.30% +3.27% [+2.79%, +3.86%] 1.000
252d spxew +1.83% +4.64% [+4.15%, +5.23%] 1.000

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

Six recent bullish CCI triggers on US mega-caps, filtered to |alpha| ≤ 25% to exclude catalyst-driven outliers (earnings surprises, M&A, binary events). The first three are the strongest outcomes — what the signal looks like when it works. The last three are the weakest — what the signal looks like when it fails. Each chart shows the stock's price with signal-appropriate technical overlays (e.g. MACD subpanel on MACD pages, Bollinger Bands on Bollinger pages, the 52-week trailing max line on 52w-high pages), a dot marking the trigger date, and the forward window shaded (green when the signal was right, red when it wasn't). Click any chart to open full-size.

Strongest outcomes (what CCI looks like when it works)
Commodity Channel Index (cci) — 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 Commodity Channel Index (cci) — 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 Commodity Channel Index (cci) — 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 CCI looks like when it fails)
Commodity Channel Index (cci) — weakest bullish trigger #1 on a US mega-cap, showing the 20-day forward window where the signal failed Commodity Channel Index (cci) — weakest bullish trigger #2 on a US mega-cap, showing the 20-day forward window where the signal failed Commodity Channel Index (cci) — 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 19,023 +0.30% +0.81% -0.49% <0.001 +0.30% +0.67% -0.34% <0.001 +0.30% +0.58% -0.21% <0.001
Trending + High vol Crisis selloff or parabolic rally 100,657 +1.19% +1.44% -0.23% <0.001 +1.19% +1.34% -0.16% 0.0024 +1.19% +1.25% -0.06% 0.2199
Non-trending + Low vol Quiet chop, summer doldrums 31,971 +0.43% +0.88% -0.42% <0.001 +0.43% +0.73% -0.27% <0.001 +0.43% +0.60% -0.12% 0.0057
Non-trending + High vol Classical "whipsaw zone" for momentum 147,220 +1.30% +1.22% +0.11% 0.0088 +1.30% +1.19% +0.12% 0.0045 +1.30% +1.17% +0.19% <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 86,300 +0.11% 0.0135 +0.25% <0.001 +0.17% 0.0001
2020-2022 2020-01-01 → 2023-01-01 96,439 -0.07% 0.2063 +0.01% 0.8669 -0.32% <0.001
2023-2026 2023-01-01 → 2099-01-01 116,134 -0.32% <0.001 -0.34% <0.001 +0.24% <0.001

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

Bench Metric 1d 5d 20d 60d 252d
spx Stock % -0.01% +0.26% +0.75% +2.48% +11.59%
Bench % +0.02% +0.24% +0.98% +3.00% +13.40%
Alpha % -0.02% +0.02% -0.17% -0.48% -1.78%
Median alpha -0.02% -0.13% -0.71% -1.82% -8.10%
Hit rate (α>0) 49.2% 48.4% 46.1% 44.7% 39.7%
p (naive) <0.001 0.0091 <0.001 <0.001 <0.001
p (HAC) <0.001 0.0132 <0.001 <0.001 <0.001
N 332,477 331,083 328,959 322,929 288,803
msci Stock % -0.01% +0.26% +0.75% +2.48% +11.59%
Bench % +0.02% +0.22% +0.86% +2.54% +10.85%
Alpha % -0.02% +0.05% -0.03% +0.01% +0.80%
Median alpha -0.03% -0.11% -0.56% -1.31% -5.50%
Hit rate (α>0) 49.2% 48.8% 46.9% 46.1% 43.0%
p (naive) <0.001 <0.001 0.1377 0.8127 <0.001
p (HAC) <0.001 <0.001 0.2853 0.9041 0.0111
N 331,542 329,759 327,592 320,907 287,082
spxew Stock % -0.01% +0.26% +0.75% +2.48% +11.59%
Bench % +0.04% +0.25% +0.79% +2.26% +9.78%
Alpha % -0.04% +0.02% +0.04% +0.29% +2.03%
Median alpha -0.04% -0.11% -0.46% -1.01% -4.39%
Hit rate (α>0) 48.9% 48.7% 47.4% 47.0% 44.1%
p (naive) <0.001 0.0777 0.0273 <0.001 <0.001
p (HAC) <0.001 0.0943 0.1132 <0.001 <0.001
N 331,015 327,895 326,560 320,563 285,504
Distribution of all 20d alpha outcomes for this direction. Median and winsorized mean shown.
Commodity Channel Index (cci) — 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.
Commodity Channel Index (cci) — 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. The null distribution's 95% CI is where a signal with no information would land. pperm = one-sided fraction of null iters with mean ≥ observed.
Horizon Bench Observed α Null mean Null 95% CI pperm
1d spx -0.02% -0.01% [-0.02%, -0.00%] 0.114
1d msci -0.02% -0.03% [-0.04%, -0.02%] 0.980
1d spxew -0.04% -0.03% [-0.05%, -0.02%] 0.065
5d spx +0.02% +0.12% [+0.01%, +0.48%] 0.100
5d msci +0.05% +0.13% [+0.01%, +0.49%] 0.323
5d spxew +0.02% +0.15% [+0.03%, +0.51%] 0.010
20d spx -0.17% +0.26% [+0.11%, +0.53%] 0.005
20d msci -0.03% +0.38% [+0.23%, +0.65%] 0.005
20d spxew +0.04% +0.45% [+0.30%, +0.72%] 0.005
60d spx -0.48% +0.57% [+0.35%, +0.85%] 0.005
60d msci +0.01% +1.01% [+0.79%, +1.29%] 0.005
60d spxew +0.29% +1.24% [+1.02%, +1.52%] 0.005
252d spx -1.78% +1.58% [+1.23%, +2.06%] 0.005
252d msci +0.80% +3.90% [+3.55%, +4.38%] 0.005
252d spxew +2.03% +5.25% [+4.89%, +5.72%] 0.005

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

Six recent bearish CCI triggers on US mega-caps, filtered to |alpha| ≤ 25% to exclude catalyst-driven outliers (earnings surprises, M&A, binary events). The first three are the strongest outcomes — what the signal looks like when it works. The last three are the weakest — what the signal looks like when it fails. Each chart shows the stock's price with signal-appropriate technical overlays (e.g. MACD subpanel on MACD pages, Bollinger Bands on Bollinger pages, the 52-week trailing max line on 52w-high pages), a dot marking the trigger date, and the forward window shaded (green when the signal was right, red when it wasn't). Click any chart to open full-size.

Strongest outcomes (what CCI looks like when it works)
Commodity Channel Index (cci) — 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 Commodity Channel Index (cci) — 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 Commodity Channel Index (cci) — 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 CCI looks like when it fails)
Commodity Channel Index (cci) — weakest bearish trigger #1 on a US mega-cap, showing the 20-day forward window where the signal failed Commodity Channel Index (cci) — weakest bearish trigger #2 on a US mega-cap, showing the 20-day forward window where the signal failed Commodity Channel Index (cci) — 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 33,810 +0.27% +0.52% -0.20% <0.001 +0.27% +0.35% -0.02% 0.6474 +0.27% +0.20% +0.15% 0.0002
Trending + High vol Crisis selloff or parabolic rally 111,576 +0.85% +1.08% -0.17% 0.0018 +0.85% +0.97% -0.03% 0.5613 +0.85% +0.85% +0.09% 0.1046
Non-trending + Low vol Quiet chop, summer doldrums 39,722 +0.27% +0.68% -0.38% <0.001 +0.27% +0.47% -0.17% <0.001 +0.27% +0.38% -0.07% 0.0598
Non-trending + High vol Classical "whipsaw zone" for momentum 147,502 +0.99% +1.07% -0.04% 0.3828 +0.99% +0.99% +0.08% 0.0605 +0.99% +0.98% +0.08% 0.0360
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 → 2020-01-01 102,709 -0.35% <0.001 -0.14% 0.0001 -0.07% 0.0558
2020-2022 2020-01-01 → 2023-01-01 102,973 +0.22% <0.001 +0.31% <0.001 -0.04% 0.4051
2023-2026 2023-01-01 → 2099-01-01 126,932 -0.31% <0.001 -0.18% 0.0001 +0.23% <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 -0.11% 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 Commodity Channel Index 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 147,220 historical triggers.
  • Best bearish setup: Non-trending + High vol — alpha -0.04% / 20d on 147,502 historical triggers.
  • Best era for bullish: 2015-2019 — alpha +0.11% / 20d.
  • Best era for bearish: 2020-2022 — alpha +0.22% / 20d.

3 · When it fails — common false positives

  • Weakest bullish cell: Trending + Low vol — alpha -0.49% / 20d on 19,023 triggers.
  • Weakest bearish cell: Non-trending + Low vol — alpha -0.38% / 20d on 39,722 triggers.
  • Worst era for bullish: 2023-2026 — alpha -0.32% / 20d.
  • Worst era for bearish: 2015-2019 — alpha -0.35% / 20d.

Signal-specific failure patterns

Bullish fails every horizon, every benchmark
CCI bullish (indicator crossing back above ±100) produces α=−0.11 at 20d (p(HAC)<0.001, p_perm=1.000) and widens to −0.25 at 60d. Like other mean-reversion oscillators, CCI's 'oversold rebound' thesis doesn't survive a concentrated bull market where beaten-down names stay beaten down.
evidence: bullish vs SPX: 20d α=−0.11 p_perm=1.000; 60d α=−0.25 p_perm=1.000
Bullish was positive 2015-2019, broke post-COVID
Sub-period breakdown: 2015-2019 α=+0.11 (small positive), 2020-2022 α=−0.07, 2023-2026 α=−0.32. Same pattern as RSI/Bollinger: mean-reversion worked when rates were low and dispersion was high; it failed when stimulus-driven concentration took over.
evidence: 20d bullish vs SPX: 2015-19 +0.11, 2020-22 −0.07, 2023-26 −0.32
Bearish has real short-side edge that compounds
CCI bearish (crossing back below +100 overbought) delivers α=−0.17 at 20d (p(HAC)<1e-9, p_perm=0.005) and −0.48 at 60d. Real, persistent alpha — overbought stocks that exit the overbought zone tend to underperform the broader market for 1-3 months. Consistent across 2015-2019 and 2023-2026 (both ~−0.35); 2020-2022 reverses positive (+0.22, the QE anomaly).
evidence: bearish vs SPX: 20d α=−0.17 p_perm=0.005; 60d α=−0.48 p_perm=0.005

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.

Oscillator-family redundancy

CCI belongs to the momentum-oscillator family alongside RSI, Stochastics, and Williams %R — each is constructed from closing price over a short lookback, normalised to a bounded range (Murphy, Technical Analysis of the Financial Markets, 1999; Pring, Technical Analysis Explained, 5th ed. 2014; Kirkpatrick & Dahlquist, Technical Analysis, 3rd ed. 2015). Stacking two or more of these 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.

  • Regime-gate bullish on breadth — Bullish CCI worked pre-2020 when market breadth was wider. Gating bullish signals to 'SPX <5% from ATH = FALSE' or 'breadth > 55%' may restore the pre-QE alpha. Testable.
  • Extend bearish holds — Bearish CCI compounds 20d → 60d (−0.17 → −0.48). Tight stops cut off the alpha. Time stops (hold 60d absent structural invalidation) capture more.

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 mean-reversion signal firing against the long-term trend (e.g. oversold in a clean uptrend) is much more reliable than one firing with it.
  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 is the tradable side. 20d and 60d both significant; 60d compounds. Entry open T+1. Bullish CCI is a structural loser on US large-caps 2015-2026 — skip unless paired with structural/fundamental rescue filters.