hh_hl_streak
Highs/Lows streak
Detects sustained trend structure. Bullish: N consecutive days of higher highs AND higher lows. Bearish: N consecutive days of lower lows AND lower highs. Triggers on the day the streak is first confirmed.
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 |
|---|---|---|---|
| streak | Minimum consecutive days | 3 | 2–10 |
Historical context
463,719 valid triggers on 3,464 distinct tickers between 2015-03-30 and 2026-04-22. Universe: us_only · mcap ≥ $100,000,000 · price ≥ $1 (3,497 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)
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 HH_HL_STREAK fire in each regime?
The signal's bucket distribution is itself informative. If 50%+ of all HH_HL_STREAK 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.
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.
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.
↑ Bullish triggers
| Bench | Metric | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|
| spx | Stock % | -0.04% | +0.07% | +0.67% | +2.09% | +10.93% |
| Bench % | +0.01% | +0.23% | +0.99% | +2.81% | +13.34% | |
| Alpha % | -0.05% | -0.15% | -0.28% | -0.72% | -2.41% | |
| Median alpha | -0.05% | -0.22% | -0.70% | -1.97% | -8.49% | |
| Hit rate (α>0) | 48.7% | 47.5% | 46.3% | 44.5% | 39.5% | |
| 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 | 244,927 | 243,861 | 241,448 | 237,745 | 214,646 | |
| msci | Stock % | -0.04% | +0.07% | +0.67% | +2.09% | +10.93% |
| Bench % | +0.04% | +0.22% | +0.85% | +2.37% | +10.93% | |
| Alpha % | -0.08% | -0.14% | -0.14% | -0.24% | +0.05% | |
| Median alpha | -0.08% | -0.20% | -0.56% | -1.46% | -5.94% | |
| Hit rate (α>0) | 47.9% | 47.7% | 47.0% | 45.8% | 42.6% | |
| p (naive) | <0.001 | <0.001 | <0.001 | <0.001 | 0.6189 | |
| p (HAC) | <0.001 | <0.001 | <0.001 | 0.0013 | 0.8870 | |
| N | 244,050 | 242,883 | 240,490 | 236,476 | 213,637 | |
| spxew | Stock % | -0.04% | +0.07% | +0.67% | +2.09% | +10.93% |
| Bench % | +0.02% | +0.16% | +0.78% | +2.02% | +9.68% | |
| Alpha % | -0.06% | -0.09% | -0.07% | +0.03% | +1.36% | |
| Median alpha | -0.05% | -0.14% | -0.46% | -1.19% | -4.81% | |
| Hit rate (α>0) | 48.7% | 48.4% | 47.5% | 46.6% | 43.7% | |
| p (naive) | <0.001 | <0.001 | 0.0026 | 0.5472 | <0.001 | |
| p (HAC) | <0.001 | <0.001 | 0.0140 | 0.7355 | <0.001 | |
| N | 243,279 | 241,158 | 239,249 | 234,718 | 212,491 |
Permutation null detail — all horizons × both benchmarks
| Horizon | Bench | Observed α | Null mean | Null 95% CI | pperm |
|---|---|---|---|---|---|
| 1d | spx | -0.05% | -0.02% | [-0.03%, -0.00%] | 1.000 |
| 1d | msci | -0.08% | -0.04% | [-0.05%, -0.03%] | 1.000 |
| 1d | spxew | -0.06% | -0.04% | [-0.05%, -0.03%] | 1.000 |
| 5d | spx | -0.15% | +0.03% | [-0.00%, +0.07%] | 1.000 |
| 5d | msci | -0.14% | +0.03% | [-0.00%, +0.08%] | 1.000 |
| 5d | spxew | -0.09% | +0.05% | [+0.02%, +0.10%] | 1.000 |
| 20d | spx | -0.28% | +0.14% | [+0.09%, +0.22%] | 1.000 |
| 20d | msci | -0.14% | +0.27% | [+0.21%, +0.34%] | 1.000 |
| 20d | spxew | -0.07% | +0.34% | [+0.27%, +0.42%] | 1.000 |
| 60d | spx | -0.72% | +0.41% | [+0.30%, +0.55%] | 1.000 |
| 60d | msci | -0.24% | +0.86% | [+0.74%, +0.99%] | 1.000 |
| 60d | spxew | +0.03% | +1.08% | [+0.98%, +1.22%] | 1.000 |
| 252d | spx | -2.41% | +1.59% | [+1.25%, +1.87%] | 1.000 |
| 252d | msci | +0.05% | +3.92% | [+3.61%, +4.21%] | 1.000 |
| 252d | spxew | +1.36% | +5.24% | [+4.91%, +5.53%] | 1.000 |
Example triggers on US large-caps (2023+, mcap ≥ $30B)
Six recent bullish HH_HL_STREAK 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 HH_HL_STREAK looks like when it works)
Weakest outcomes (what HH_HL_STREAK 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 | 15,812 | -0.02% | +0.52% | -0.49% | <0.001 | -0.02% | +0.33% | -0.29% | <0.001 | -0.02% | +0.12% | -0.09% | 0.1162 |
| Trending + High vol Crisis selloff or parabolic rally | 78,384 | +0.65% | +1.16% | -0.46% | <0.001 | +0.65% | +0.98% | -0.28% | <0.001 | +0.65% | +0.90% | -0.20% | 0.0002 |
| Non-trending + Low vol Quiet chop, summer doldrums | 26,679 | +0.22% | +0.66% | -0.43% | <0.001 | +0.22% | +0.47% | -0.23% | <0.001 | +0.22% | +0.32% | -0.07% | 0.1155 |
| Non-trending + High vol Classical "whipsaw zone" for momentum | 124,133 | +0.92% | +1.02% | -0.07% | 0.0846 | +0.92% | +0.92% | +0.03% | 0.4682 | +0.92% | +0.89% | +0.06% | 0.1018 |
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 | 71,102 | -0.32% | <0.001 | -0.14% | 0.0003 | -0.08% | 0.0347 |
| 2020-2022 2020-01-01 → 2023-01-01 | 79,675 | +0.04% | 0.4025 | +0.20% | <0.001 | -0.12% | 0.0280 |
| 2023-2026 2023-01-01 → 2099-01-01 | 94,231 | -0.51% | <0.001 | -0.41% | <0.001 | +0.02% | 0.7160 |
↓ Bearish triggers negative alpha = signal was right (stock underperformed market)
| Bench | Metric | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|
| spx | Stock % | -0.02% | +0.23% | +0.99% | +3.17% | +13.16% |
| Bench % | +0.02% | +0.24% | +1.11% | +3.38% | +14.22% | |
| Alpha % | -0.04% | +0.01% | -0.10% | -0.22% | -1.08% | |
| Median alpha | -0.04% | -0.13% | -0.57% | -1.70% | -8.72% | |
| Hit rate (α>0) | 49.0% | 48.7% | 47.2% | 45.6% | 40.0% | |
| p (naive) | <0.001 | 0.5593 | 0.0002 | <0.001 | <0.001 | |
| p (HAC) | <0.001 | 0.5604 | 0.0018 | 0.0070 | 0.0048 | |
| N | 218,651 | 218,448 | 217,255 | 211,683 | 192,182 | |
| msci | Stock % | -0.02% | +0.23% | +0.99% | +3.17% | +13.16% |
| Bench % | +0.04% | +0.23% | +1.03% | +3.03% | +12.11% | |
| Alpha % | -0.05% | +0.02% | -0.01% | +0.16% | +1.02% | |
| Median alpha | -0.07% | -0.14% | -0.49% | -1.31% | -6.52% | |
| Hit rate (α>0) | 48.4% | 48.6% | 47.6% | 46.6% | 42.4% | |
| p (naive) | <0.001 | 0.1776 | 0.8435 | 0.0010 | <0.001 | |
| p (HAC) | <0.001 | 0.1786 | 0.8679 | 0.0511 | 0.0080 | |
| N | 218,357 | 217,329 | 215,491 | 210,330 | 191,386 | |
| spxew | Stock % | -0.02% | +0.23% | +0.99% | +3.17% | +13.16% |
| Bench % | +0.08% | +0.23% | +0.92% | +2.80% | +10.87% | |
| Alpha % | -0.09% | +0.02% | +0.10% | +0.36% | +2.39% | |
| Median alpha | -0.07% | -0.11% | -0.36% | -1.07% | -5.28% | |
| Hit rate (α>0) | 48.2% | 48.8% | 48.2% | 47.1% | 43.5% | |
| p (naive) | <0.001 | 0.2026 | 0.0002 | <0.001 | <0.001 | |
| p (HAC) | <0.001 | 0.2037 | 0.0022 | <0.001 | <0.001 | |
| N | 217,907 | 216,634 | 215,208 | 209,789 | 190,029 |
Permutation null detail — all horizons × both benchmarks
| Horizon | Bench | Observed α | Null mean | Null 95% CI | pperm |
|---|---|---|---|---|---|
| 1d | spx | -0.04% | -0.02% | [-0.04%, -0.01%] | 0.015 |
| 1d | msci | -0.05% | -0.04% | [-0.06%, -0.03%] | 0.154 |
| 1d | spxew | -0.09% | -0.04% | [-0.06%, -0.03%] | 0.005 |
| 5d | spx | +0.01% | +0.03% | [-0.03%, +0.15%] | 0.343 |
| 5d | msci | +0.02% | +0.03% | [-0.02%, +0.15%] | 0.448 |
| 5d | spxew | +0.02% | +0.05% | [+0.00%, +0.17%] | 0.080 |
| 20d | spx | -0.10% | +0.12% | [+0.03%, +0.23%] | 0.005 |
| 20d | msci | -0.01% | +0.24% | [+0.15%, +0.35%] | 0.005 |
| 20d | spxew | +0.10% | +0.31% | [+0.22%, +0.43%] | 0.005 |
| 60d | spx | -0.22% | +0.29% | [+0.10%, +0.48%] | 0.005 |
| 60d | msci | +0.16% | +0.74% | [+0.56%, +0.92%] | 0.005 |
| 60d | spxew | +0.36% | +0.97% | [+0.78%, +1.15%] | 0.005 |
| 252d | spx | -1.08% | +0.97% | [+0.59%, +1.42%] | 0.005 |
| 252d | msci | +1.02% | +3.30% | [+2.92%, +3.75%] | 0.005 |
| 252d | spxew | +2.39% | +4.67% | [+4.30%, +5.12%] | 0.005 |
Example triggers on US large-caps (2023+, mcap ≥ $30B)
Six recent bearish HH_HL_STREAK 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 HH_HL_STREAK looks like when it works)
Weakest outcomes (what HH_HL_STREAK 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 | 10,942 | -0.00% | +0.59% | -0.56% | <0.001 | -0.00% | +0.37% | -0.35% | <0.001 | -0.00% | +0.14% | -0.13% | 0.0460 |
| Trending + High vol Crisis selloff or parabolic rally | 73,497 | +1.20% | +1.21% | +0.03% | 0.6053 | +1.20% | +1.08% | +0.14% | 0.0133 | +1.20% | +0.90% | +0.30% | <0.001 |
| Non-trending + Low vol Quiet chop, summer doldrums | 20,218 | +0.10% | +0.77% | -0.63% | <0.001 | +0.10% | +0.58% | -0.45% | <0.001 | +0.10% | +0.42% | -0.28% | <0.001 |
| Non-trending + High vol Classical "whipsaw zone" for momentum | 114,054 | +1.15% | +1.21% | +0.00% | 0.9901 | +1.15% | +1.21% | +0.05% | 0.2438 | +1.15% | +1.16% | +0.09% | 0.0494 |
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 | 54,803 | -0.02% | 0.6358 | +0.17% | 0.0004 | +0.10% | 0.0334 |
| 2020-2022 2020-01-01 → 2023-01-01 | 75,433 | +0.12% | 0.0349 | +0.24% | <0.001 | -0.09% | 0.0852 |
| 2023-2026 2023-01-01 → 2099-01-01 | 88,475 | -0.30% | <0.001 | -0.30% | <0.001 | +0.27% | <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 -0.28% 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 Highs/Lows streak 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 -0.07% / 20d on 124,133 historical triggers.
- Best bearish setup: Trending + High vol — alpha +0.03% / 20d on 73,497 historical triggers.
- Best era for bullish: 2020-2022 — alpha +0.04% / 20d.
- Best era for bearish: 2020-2022 — alpha +0.12% / 20d.
3 · When it fails — common false positives
- Weakest bullish cell: Trending + Low vol — alpha -0.49% / 20d on 15,812 triggers.
- Weakest bearish cell: Non-trending + Low vol — alpha -0.63% / 20d on 20,218 triggers.
- Worst era for bullish: 2023-2026 — alpha -0.51% / 20d.
- Worst era for bearish: 2023-2026 — alpha -0.30% / 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.
Trend-structure family
Higher-high / higher-low streak encodes the classical Dow-theory definition of an uptrend — a price structure of successively higher swing highs and swing lows (Dow theory as presented in Murphy, Technical Analysis of the Financial Markets, 1999; Edwards & Magee, Technical Analysis of Stock Trends, 11th ed. 2018). This overlaps with HH/HL structure, moving-average crossover, and long-term trend-break signals, which infer the same trend state from different measurements.
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.
- Reverse-engineer the bullish thesis — Bullish streak fails because it fires late. A streak-RESET signal (first HH-HL after a downtrend break) might capture the bullish turn before it's extended. Separate signal design task.
- Hold bearish trades the full 60d window — Bearish alpha doubles from 20d to 60d. Time stops > profit stops.
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
Bearish side is the tradable direction. 60d compounds from −0.10 to −0.22 — holding through the full window captures more alpha. Entry open T+1. Bullish side is structurally broken on US large-caps 2015-2026 regardless of which sub-period you pick (except the COVID-era noise).