Pattern hh_hl_structure

HH/HL Trend Structure

Detects trend structure shifts using swing highs and lows. Bullish: last two swing highs form a Higher High (exceeding z-score tolerance), then price pulls back to form a Higher Low above the previous swing low, confirmed after 5 bars. Bearish is the mirror (Lower Low + Lower High). Z-score tolerance adapts to each stock's volatility — tighter for low-vol, looser for high-vol stocks.

Signal family

Pattern — Formal chart-pattern detectors (double tops / bottoms, failed breakouts, HH/HL structure).

Parameters

Name Description Default Range
swing_window Swing detection window (bars each side) 10 3–30
confirmation_window Confirmation window for forming HL/LH 1 1–15
tolerance_zscore Min HH/LL move (z-scores of daily vol) 1.5 0.5–4.0
vol_window Volatility computation window 252 60–504
lookback Lookback window (bars) 252 60–504

Historical context

94,995 valid triggers on 3,320 distinct tickers between 2015-11-02 and 2026-04-21. Universe: us_only · mcap ≥ $100,000,000 · price ≥ $1 (3,322 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
-0.44%
vs random-date null: worse than random (pperm=1.000)
Bearish (negative alpha = signal right)
+0.02%
vs random-date null: beats random (pperm=0.010)

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_STRUCTURE fire in each regime?

The signal's bucket distribution is itself informative. If 50%+ of all HH_HL_STRUCTURE 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.

HH/HL Trend Structure (hh_hl_structure) — 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.

HH/HL Trend Structure (hh_hl_structure) — 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.

HH/HL Trend Structure (hh_hl_structure) — 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 % +0.07% -0.12% +0.06% +2.00% +11.24%
Bench % +0.00% +0.26% +0.86% +2.89% +13.34%
Alpha % +0.06% -0.36% -0.76% -0.85% -2.04%
Median alpha +0.02% -0.32% -1.05% -2.23% -8.29%
Hit rate (α>0) 50.8% 45.9% 44.4% 43.9% 39.9%
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 50,655 50,624 50,549 49,086 43,998
msci Stock % +0.07% -0.12% +0.06% +2.00% +11.24%
Bench % +0.07% +0.28% +0.78% +2.54% +10.88%
Alpha % -0.00% -0.39% -0.69% -0.47% +0.48%
Median alpha -0.04% -0.35% -1.01% -1.85% -5.55%
Hit rate (α>0) 48.8% 45.5% 44.4% 44.9% 42.9%
p (naive) 0.8800 <0.001 <0.001 <0.001 0.0319
p (HAC) 0.8800 <0.001 <0.001 <0.001 0.2246
N 50,574 50,465 50,331 48,885 43,871
spxew Stock % +0.07% -0.12% +0.06% +2.00% +11.24%
Bench % +0.04% +0.19% +0.57% +2.14% +9.59%
Alpha % +0.01% -0.29% -0.44% -0.06% +1.81%
Median alpha -0.02% -0.24% -0.73% -1.41% -4.56%
Hit rate (α>0) 49.5% 46.9% 46.0% 46.1% 44.2%
p (naive) 0.1532 <0.001 <0.001 0.5169 <0.001
p (HAC) 0.1537 <0.001 <0.001 0.5666 <0.001
N 50,460 50,128 50,167 48,749 43,604
Distribution of all 20d alpha outcomes for this direction. Median and winsorized mean shown.
HH/HL Trend Structure (hh_hl_structure) — 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.
HH/HL Trend Structure (hh_hl_structure) — 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 +0.06% -0.01% [-0.04%, +0.01%] 0.005
1d msci -0.00% -0.03% [-0.06%, -0.01%] 0.010
1d spxew +0.01% -0.03% [-0.06%, -0.01%] 0.005
5d spx -0.36% +0.05% [-0.02%, +0.14%] 1.000
5d msci -0.39% +0.06% [-0.02%, +0.15%] 1.000
5d spxew -0.29% +0.08% [+0.00%, +0.16%] 1.000
20d spx -0.76% +0.23% [+0.10%, +0.40%] 1.000
20d msci -0.69% +0.35% [+0.22%, +0.52%] 1.000
20d spxew -0.44% +0.42% [+0.29%, +0.59%] 1.000
60d spx -0.85% +0.71% [+0.46%, +1.00%] 1.000
60d msci -0.47% +1.15% [+0.92%, +1.45%] 1.000
60d spxew -0.06% +1.38% [+1.13%, +1.69%] 1.000
252d spx -2.04% +2.75% [+1.93%, +3.70%] 1.000
252d msci +0.48% +5.08% [+4.26%, +6.01%] 1.000
252d spxew +1.81% +6.40% [+5.61%, +7.35%] 1.000

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

Six recent bullish HH_HL_STRUCTURE 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_STRUCTURE looks like when it works)
HH/HL Trend Structure (hh_hl_structure) — 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 HH/HL Trend Structure (hh_hl_structure) — 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 HH/HL Trend Structure (hh_hl_structure) — 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 HH_HL_STRUCTURE looks like when it fails)
HH/HL Trend Structure (hh_hl_structure) — weakest bullish trigger #1 on a US mega-cap, showing the 20-day forward window where the signal failed HH/HL Trend Structure (hh_hl_structure) — weakest bullish trigger #2 on a US mega-cap, showing the 20-day forward window where the signal failed HH/HL Trend Structure (hh_hl_structure) — 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 4,155 -0.20% +0.41% -0.61% <0.001 -0.20% +0.28% -0.46% <0.001 -0.20% +0.01% -0.18% 0.0258
Trending + High vol Crisis selloff or parabolic rally 24,433 +0.15% +0.93% -0.71% <0.001 +0.15% +0.83% -0.63% <0.001 +0.15% +0.64% -0.38% <0.001
Non-trending + Low vol Quiet chop, summer doldrums 3,395 -0.12% +0.57% -0.68% <0.001 -0.12% +0.41% -0.52% <0.001 -0.12% +0.18% -0.28% 0.0036
Non-trending + High vol Classical "whipsaw zone" for momentum 18,689 +0.10% +0.92% -0.78% <0.001 +0.10% +0.89% -0.78% <0.001 +0.10% +0.71% -0.54% <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 13,874 -0.55% <0.001 -0.41% <0.001 -0.27% 0.0003
2020-2022 2020-01-01 → 2023-01-01 16,535 -0.66% <0.001 -0.67% <0.001 -0.80% <0.001
2023-2026 2023-01-01 → 2099-01-01 20,263 -0.97% <0.001 -0.89% <0.001 -0.24% 0.0073

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

Bench Metric 1d 5d 20d 60d 252d
spx Stock % -0.18% +0.21% +1.45% +4.32% +14.33%
Bench % +0.11% +0.45% +1.56% +4.16% +15.09%
Alpha % -0.29% -0.25% -0.05% +0.16% -0.71%
Median alpha -0.22% -0.36% -0.62% -1.57% -9.27%
Hit rate (α>0) 44.0% 46.2% 47.2% 46.1% 39.7%
p (naive) <0.001 <0.001 0.3577 0.1453 0.0116
p (HAC) <0.001 <0.001 0.3650 0.1993 0.1550
N 44,302 44,178 43,923 43,076 39,306
msci Stock % -0.18% +0.21% +1.45% +4.32% +14.33%
Bench % +0.05% +0.40% +1.36% +3.74% +12.98%
Alpha % -0.24% -0.19% +0.19% +0.65% +1.38%
Median alpha -0.20% -0.31% -0.41% -1.11% -7.11%
Hit rate (α>0) 45.2% 46.8% 48.2% 47.3% 42.0%
p (naive) <0.001 <0.001 0.0016 <0.001 <0.001
p (HAC) <0.001 <0.001 0.0018 <0.001 0.0063
N 43,946 43,716 43,423 42,655 38,763
spxew Stock % -0.18% +0.21% +1.45% +4.32% +14.33%
Bench % +0.07% +0.46% +1.52% +3.70% +11.78%
Alpha % -0.25% -0.23% +0.02% +0.67% +2.72%
Median alpha -0.18% -0.33% -0.50% -1.08% -5.66%
Hit rate (α>0) 45.4% 46.5% 47.6% 47.3% 43.2%
p (naive) <0.001 <0.001 0.7167 <0.001 <0.001
p (HAC) <0.001 <0.001 0.7208 <0.001 <0.001
N 43,967 43,422 43,296 42,349 38,863
Distribution of all 20d alpha outcomes for this direction. Median and winsorized mean shown.
HH/HL Trend Structure (hh_hl_structure) — 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.
HH/HL Trend Structure (hh_hl_structure) — 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 -0.29% -0.03% [-0.05%, -0.00%] 0.005
1d msci -0.24% -0.05% [-0.08%, -0.02%] 0.005
1d spxew -0.25% -0.05% [-0.08%, -0.03%] 0.005
5d spx -0.25% -0.00% [-0.09%, +0.08%] 0.005
5d msci -0.19% +0.00% [-0.08%, +0.09%] 0.005
5d spxew -0.23% +0.02% [-0.06%, +0.11%] 0.005
20d spx -0.05% +0.04% [-0.13%, +0.20%] 0.149
20d msci +0.19% +0.16% [-0.01%, +0.34%] 0.592
20d spxew +0.02% +0.23% [+0.07%, +0.40%] 0.010
60d spx +0.16% +0.08% [-0.22%, +0.42%] 0.741
60d msci +0.65% +0.52% [+0.21%, +0.85%] 0.806
60d spxew +0.67% +0.75% [+0.44%, +1.08%] 0.328
252d spx -0.71% +0.16% [-0.64%, +1.04%] 0.020
252d msci +1.38% +2.48% [+1.66%, +3.41%] 0.015
252d spxew +2.72% +3.86% [+3.08%, +4.68%] 0.005

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

Six recent bearish HH_HL_STRUCTURE 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_STRUCTURE looks like when it works)
HH/HL Trend Structure (hh_hl_structure) — 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 HH/HL Trend Structure (hh_hl_structure) — 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 HH/HL Trend Structure (hh_hl_structure) — 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 HH_HL_STRUCTURE looks like when it fails)
HH/HL Trend Structure (hh_hl_structure) — weakest bearish trigger #1 on a US mega-cap, showing the 20-day forward window where the signal failed HH/HL Trend Structure (hh_hl_structure) — weakest bearish trigger #2 on a US mega-cap, showing the 20-day forward window where the signal failed HH/HL Trend Structure (hh_hl_structure) — 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 1,217 +0.20% +0.71% -0.47% 0.0087 +0.20% +0.51% -0.25% 0.1673 +0.20% +0.41% -0.15% 0.3929
Trending + High vol Crisis selloff or parabolic rally 21,465 +1.90% +2.01% -0.05% 0.6018 +1.90% +1.74% +0.26% 0.0044 +1.90% +2.03% +0.00% 0.9949
Non-trending + Low vol Quiet chop, summer doldrums 1,384 +0.63% +0.68% +0.01% 0.9501 +0.63% +0.47% +0.22% 0.1447 +0.63% +0.43% +0.34% 0.0224
Non-trending + High vol Classical "whipsaw zone" for momentum 20,257 +1.11% +1.17% -0.03% 0.7188 +1.11% +1.05% +0.14% 0.1133 +1.11% +1.14% +0.05% 0.5866
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 11,566 +0.17% 0.0619 +0.43% <0.001 +0.17% 0.0569
2020-2022 2020-01-01 → 2023-01-01 14,972 -0.10% 0.3589 +0.40% 0.0004 -0.34% 0.0020
2023-2026 2023-01-01 → 2099-01-01 17,785 -0.17% 0.0819 -0.16% 0.1140 +0.24% 0.0159

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 -0.76% 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 HH/HL Trend Structure 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: Trending + Low vol — alpha -0.61% / 20d on 4,155 historical triggers.
  • Best bearish setup: Non-trending + Low vol — alpha +0.01% / 20d on 1,384 historical triggers.
  • Best era for bullish: 2015-2019 — alpha -0.55% / 20d.
  • Best era for bearish: 2015-2019 — alpha +0.17% / 20d.

3 · When it fails — common false positives

  • Weakest bullish cell: Non-trending + High vol — alpha -0.78% / 20d on 18,689 triggers.
  • Weakest bearish cell: Trending + Low vol — alpha -0.47% / 20d on 1,217 triggers.
  • Worst era for bullish: 2023-2026 — alpha -0.97% / 20d.
  • Worst era for bearish: 2023-2026 — alpha -0.17% / 20d.

Signal-specific failure patterns

Bullish structure signal is among the worst in the suite
HH/HL structure bullish (swing-high and swing-low both rising) at α=−0.76 at 20d (p(HAC)<1e-50, p_perm=1.000). The huge p-value magnitude comes from 50k triggers making the HAC test extraordinarily confident about the negative direction. Consistent across all three sub-periods: 2015-2019 α=−0.55, 2020-2022 α=−0.66, 2023-2026 α=−0.97 (worst). Structural-trend bullish is a structural loser on US large-caps.
evidence: bullish 20d α=−0.76 p_hac<1e-50 p_perm=1.000; 60d α=−0.85
Bearish structure is weak and mixed
Bearish HH/HL structure α=−0.05 at 20d vs SPX (p(HAC)=0.36, p_perm=0.15) — essentially noise against cap-weighted SPX. Against SPXEW the point-estimate is +0.02 at 20d (wrong direction for a bearish signal) with p_perm=0.010 significant. The split between benchmarks says the signal picks stocks weaker than cap-weighted megacaps but not weaker than the equal-weight median. Marginal at best.
evidence: bearish 20d vs SPX: α=−0.05 p_perm=0.15 (non-sig); vs SPXEW: α=+0.02 p_perm=0.010 (wrong direction but significant)
Why the bullish side is so broken
The signal identifies stocks in established uptrends via swing structure. By the time structure is visible and confirmed, the trend is typically 10-20 weeks old. Buying confirmed-uptrend stocks at the 10-20 week mark catches them near the point where mean-reversion kicks in or the trend matures. The worse-than-every-other-momentum-signal alpha reflects this late-entry problem.

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 structure 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 streak, 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.

  • Use as a regime classifier, not a trigger — HH/HL structure is better thought of as 'what kind of trend is this stock in' rather than 'should I buy/short now'. Apply as a filter to other signals.
  • Early-trend bullish refinement — The signal is worse at 20d than it is at 1d. Subset to triggers within the first 3 months of trend formation (trendiness-days counter). Testable from the existing metadata if the signal stores swing dates.

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? Pattern signals carry their own structural context; check that the implied support/resistance levels have historical relevance, not just the most-recent 3-month range.
  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

Neither direction tradable on its own under the current design. Bullish is a structural loser regardless of sub-period; bearish is noise. Best use: as a REGIME FILTER for other signals (e.g., 'take bullish RSI only when hh_hl_structure is also bullish' = trade momentum only in confirmed uptrends). Entry open T+1 if traded directly.