Trend ma_crossover

Moving Average Crossover

Golden Cross (bullish): fast MA crosses above slow MA. Death Cross (bearish): fast MA crosses below slow MA.

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
fast Fast MA period 50 5–200
slow Slow MA period 200 20–500

Historical context

36,000 valid triggers on 3,056 distinct tickers between 2016-02-19 and 2026-04-21. Universe: us_only · mcap ≥ $100,000,000 · price ≥ $1 (3,149 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
+0.01%
vs random-date null: worse than random (pperm=0.990)
Bearish (negative alpha = signal right)
+0.14%
vs random-date null: inside null (pperm=0.080)

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 MA_CROSSOVER fire in each regime?

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

Moving Average Crossover (ma_crossover) — 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.

Moving Average Crossover (ma_crossover) — 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.

Moving Average Crossover (ma_crossover) — 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 % -0.06% +0.09% +0.61% +2.40% +11.60%
Bench % -0.01% +0.21% +1.02% +2.81% +14.93%
Alpha % -0.06% -0.10% -0.37% -0.39% -3.34%
Median alpha -0.05% -0.25% -0.83% -2.25% -10.97%
Hit rate (α>0) 48.6% 47.1% 45.4% 44.1% 37.3%
p (naive) 0.0012 0.0116 <0.001 0.0175 <0.001
p (HAC) 0.0012 0.0128 <0.001 0.0203 <0.001
N 17,903 17,877 17,813 17,473 15,237
msci Stock % -0.06% +0.09% +0.61% +2.40% +11.60%
Bench % +0.04% +0.21% +0.90% +2.43% +12.19%
Alpha % -0.10% -0.11% -0.24% +0.03% -0.58%
Median alpha -0.09% -0.25% -0.75% -1.85% -8.05%
Hit rate (α>0) 47.8% 47.3% 46.1% 45.1% 40.4%
p (naive) <0.001 0.0091 0.0057 0.8764 0.1587
p (HAC) <0.001 0.0102 0.0067 0.8804 0.4368
N 17,871 17,818 17,765 17,389 15,172
spxew Stock % -0.06% +0.09% +0.61% +2.40% +11.60%
Bench % +0.01% +0.15% +0.67% +1.82% +10.22%
Alpha % -0.08% -0.05% +0.01% +0.63% +1.54%
Median alpha -0.05% -0.17% -0.53% -1.25% -5.95%
Hit rate (α>0) 48.6% 48.0% 47.2% 46.2% 42.2%
p (naive) <0.001 0.1954 0.9484 0.0001 0.0001
p (HAC) <0.001 0.2028 0.9491 0.0003 0.0336
N 17,812 17,690 17,595 17,336 15,098
Distribution of all 20d alpha outcomes for this direction. Median and winsorized mean shown.
Moving Average Crossover (ma_crossover) — 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.
Moving Average Crossover (ma_crossover) — 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% [-0.05%, +0.03%] 0.980
1d msci -0.10% -0.03% [-0.08%, +0.01%] 0.995
1d spxew -0.08% -0.04% [-0.08%, +0.01%] 0.960
5d spx -0.10% +0.19% [-0.09%, +2.81%] 0.990
5d msci -0.11% +0.20% [-0.09%, +2.83%] 0.990
5d spxew -0.05% +0.22% [-0.07%, +2.86%] 0.955
20d spx -0.37% +0.31% [-0.10%, +2.94%] 1.000
20d msci -0.24% +0.44% [+0.02%, +3.08%] 1.000
20d spxew +0.01% +0.51% [+0.09%, +3.15%] 0.990
60d spx -0.39% +0.61% [-0.13%, +3.13%] 0.995
60d msci +0.03% +1.06% [+0.32%, +3.60%] 1.000
60d spxew +0.63% +1.28% [+0.53%, +3.84%] 0.935
252d spx -3.34% +0.62% [-0.72%, +2.13%] 1.000
252d msci -0.58% +2.95% [+1.57%, +4.42%] 1.000
252d spxew +1.54% +4.28% [+2.93%, +5.77%] 1.000

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

Six recent bullish MA_CROSSOVER 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 MA_CROSSOVER looks like when it works)
Moving Average Crossover (ma_crossover) — 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 Moving Average Crossover (ma_crossover) — 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 Moving Average Crossover (ma_crossover) — 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 MA_CROSSOVER looks like when it fails)
Moving Average Crossover (ma_crossover) — weakest bullish trigger #1 on a US mega-cap, showing the 20-day forward window where the signal failed Moving Average Crossover (ma_crossover) — weakest bullish trigger #2 on a US mega-cap, showing the 20-day forward window where the signal failed Moving Average Crossover (ma_crossover) — 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 1,686 +0.04% +0.61% -0.55% 0.0008 +0.04% +0.36% -0.27% 0.0987 +0.04% +0.09% -0.03% 0.8618
Trending + High vol Crisis selloff or parabolic rally 7,658 +0.38% +1.04% -0.61% <0.001 +0.38% +0.94% -0.51% 0.0009 +0.38% +0.59% -0.12% 0.4111
Non-trending + Low vol Quiet chop, summer doldrums 1,687 +0.14% +0.84% -0.68% <0.001 +0.14% +0.55% -0.39% 0.0031 +0.14% +0.38% -0.25% 0.0517
Non-trending + High vol Classical "whipsaw zone" for momentum 6,874 +1.20% +1.13% +0.08% 0.5819 +1.20% +1.06% +0.17% 0.2667 +1.20% +0.97% +0.27% 0.0665
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 4,338 -0.97% <0.001 -0.65% <0.001 -0.58% <0.001
2020-2022 2020-01-01 → 2023-01-01 5,479 +0.62% <0.001 +0.50% 0.0014 +0.32% 0.0406
2023-2026 2023-01-01 → 2099-01-01 8,088 -0.70% <0.001 -0.50% 0.0006 +0.12% 0.4126

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

Bench Metric 1d 5d 20d 60d 252d
spx Stock % +0.01% +0.22% +1.43% +4.95% +14.90%
Bench % +0.05% +0.29% +1.62% +4.75% +15.70%
Alpha % -0.05% -0.06% -0.15% +0.20% -0.77%
Median alpha -0.04% -0.18% -0.55% -1.44% -8.79%
Hit rate (α>0) 48.9% 47.9% 47.2% 45.9% 39.4%
p (naive) 0.0135 0.1553 0.0669 0.1913 0.0613
p (HAC) 0.0137 0.1609 0.0769 0.2870 0.3737
N 18,091 18,037 17,815 17,464 15,961
msci Stock % +0.01% +0.22% +1.43% +4.95% +14.90%
Bench % +0.07% +0.25% +1.48% +4.26% +13.58%
Alpha % -0.03% -0.04% -0.00% +0.73% +1.28%
Median alpha -0.06% -0.17% -0.45% -0.87% -6.61%
Hit rate (α>0) 48.7% 48.2% 47.7% 47.6% 42.0%
p (naive) 0.0889 0.3117 0.9729 <0.001 0.0019
p (HAC) 0.0892 0.3181 0.9739 0.0001 0.1366
N 18,004 17,894 17,657 17,340 15,797
spxew Stock % +0.01% +0.22% +1.43% +4.95% +14.90%
Bench % +0.05% +0.17% +1.34% +4.23% +12.91%
Alpha % -0.05% +0.03% +0.14% +0.77% +2.20%
Median alpha -0.06% -0.07% -0.37% -0.71% -5.92%
Hit rate (α>0) 48.4% 49.2% 48.0% 47.8% 42.7%
p (naive) 0.0051 0.5232 0.0990 <0.001 <0.001
p (HAC) 0.0052 0.5285 0.1108 <0.001 0.0083
N 17,986 17,839 17,590 17,259 15,757
Distribution of all 20d alpha outcomes for this direction. Median and winsorized mean shown.
Moving Average Crossover (ma_crossover) — 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.
Moving Average Crossover (ma_crossover) — 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 -0.05% +0.04% [-0.05%, +0.04%] 0.070
1d msci -0.03% +0.01% [-0.08%, +0.03%] 0.532
1d spxew -0.05% +0.01% [-0.08%, +0.02%] 0.229
5d spx -0.06% +0.28% [-0.07%, +2.79%] 0.050
5d msci -0.04% +0.29% [-0.07%, +2.82%] 0.085
5d spxew +0.03% +0.31% [-0.05%, +2.85%] 0.343
20d spx -0.15% +0.39% [-0.10%, +2.83%] 0.005
20d msci -0.00% +0.52% [+0.03%, +2.98%] 0.015
20d spxew +0.14% +0.58% [+0.10%, +3.05%] 0.080
60d spx +0.20% +0.63% [-0.13%, +3.25%] 0.328
60d msci +0.73% +1.08% [+0.31%, +3.74%] 0.428
60d spxew +0.77% +1.29% [+0.55%, +3.98%] 0.184
252d spx -0.77% +0.67% [-0.64%, +2.21%] 0.020
252d msci +1.28% +3.00% [+1.70%, +4.61%] 0.005
252d spxew +2.20% +4.32% [+3.02%, +5.83%] 0.005

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

Six recent bearish MA_CROSSOVER 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 MA_CROSSOVER looks like when it works)
Moving Average Crossover (ma_crossover) — 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 Moving Average Crossover (ma_crossover) — 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 Moving Average Crossover (ma_crossover) — 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 MA_CROSSOVER looks like when it fails)
Moving Average Crossover (ma_crossover) — weakest bearish trigger #1 on a US mega-cap, showing the 20-day forward window where the signal failed Moving Average Crossover (ma_crossover) — weakest bearish trigger #2 on a US mega-cap, showing the 20-day forward window where the signal failed Moving Average Crossover (ma_crossover) — 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 1,143 -0.04% +0.57% -0.61% 0.0005 -0.04% +0.41% -0.47% 0.0074 -0.04% +0.24% -0.24% 0.1400
Trending + High vol Crisis selloff or parabolic rally 7,850 +1.96% +2.37% -0.43% 0.0062 +1.96% +2.15% -0.20% 0.2053 +1.96% +2.07% -0.09% 0.5900
Non-trending + Low vol Quiet chop, summer doldrums 1,445 +0.20% +0.62% -0.45% 0.0039 +0.20% +0.45% -0.27% 0.0767 +0.20% +0.24% -0.03% 0.8406
Non-trending + High vol Classical "whipsaw zone" for momentum 7,657 +1.41% +1.18% +0.26% 0.0395 +1.41% +1.14% +0.32% 0.0123 +1.41% +1.01% +0.48% 0.0001
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 4,421 +0.09% 0.5174 +0.18% 0.2101 +0.16% 0.2643
2020-2022 2020-01-01 → 2023-01-01 5,967 -0.34% 0.0578 +0.04% 0.8104 -0.28% 0.1153
2023-2026 2023-01-01 → 2099-01-01 7,707 -0.13% 0.3414 -0.14% 0.3026 +0.46% 0.0006

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 -0.37% 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 Moving Average Crossover 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 +0.08% / 20d on 6,874 historical triggers.
  • Best bearish setup: Non-trending + High vol — alpha +0.26% / 20d on 7,657 historical triggers.
  • Best era for bullish: 2020-2022 — alpha +0.62% / 20d.
  • Best era for bearish: 2015-2019 — alpha +0.09% / 20d.

3 · When it fails — common false positives

  • Weakest bullish cell: Non-trending + Low vol — alpha -0.68% / 20d on 1,687 triggers.
  • Weakest bearish cell: Trending + Low vol — alpha -0.61% / 20d on 1,143 triggers.
  • Worst era for bullish: 2015-2019 — alpha -0.97% / 20d.
  • Worst era for bearish: 2020-2022 — alpha -0.34% / 20d.

Signal-specific failure patterns

The Golden Cross has not worked on US large-caps in this window
50DMA-crossing-above-200DMA (the 'golden cross') fires 17,905 bullish triggers 2015-2026. Average 20d alpha vs SPX is −0.37% (p(HAC)<1e-5, p_perm=1.000). At 60d the damage deepens to −0.39%. Popular media treats Golden Cross as structurally bullish; the data says the opposite on this universe. Reason: by the time the MA cross prints, the rally is mature and subsequent forward returns trend toward benchmark.
evidence: bullish 20d vs SPX: α=−0.37 N=17,905 p_perm=1.000; 60d α=−0.39 p_perm=0.995
2015-2019 bullish was terrible; 2020-2022 was a lucky streak
Sub-period breakdown for bullish golden cross: 2015-2019 α=−0.97 (disastrous), 2020-2022 α=+0.62 (positive — the COVID-rebound anomaly), 2023-2026 α=−0.70 (back to disaster). The positive 2020-2022 print is what happens when an indicator that normally fires late gets lucky with a V-shaped recovery — the timing was fortuitous rather than predictive.
evidence: bullish 20d vs SPX: 2015-19 −0.97, 2020-22 +0.62, 2023-26 −0.70
Bearish 'Death Cross' has meaningful edge at 20d, disappears by 60d
50DMA crossing below 200DMA (death cross) delivers α=−0.16 bearish at 20d (p_perm=0.005 significant) but fades to +0.20 at 60d (p=0.29 not significant). The short-term panic signal is real — stocks undergoing MA breakdown tend to keep declining for weeks — but the 60d+ horizon becomes confounded by the eventual bottom formation and bounce.
evidence: bearish 20d vs SPX: α=−0.16 p_perm=0.005; bearish 60d α=+0.20 p_perm=0.33
Bearish worst in non-trend high-vol (counterintuitive)
The 'textbook favorable' bearish regime — already trending, adding death cross — shows α=−0.61 (trending_low_vol). The WORST regime is nontrend_high_vol at α=+0.26 (signal fails — stocks OUT-perform). Death crosses in chaotic, already-declining markets tend to mark bottoms, not continuations. Don't trade bearish MA crossover during volatility spikes.
evidence: 20d bearish by regime vs SPX: trending_low_vol −0.61 (best), nontrend_high_vol +0.26 (worst)

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-follower family

Moving-average crossover signals are derived from the intersection of two price moving averages at different lookbacks and are classified as trend-following (Murphy, Technical Analysis of the Financial Markets, 1999; Kirkpatrick & Dahlquist, Technical Analysis, 3rd ed. 2015). This construction overlaps with MACD, which is the difference of two EMAs (Appel, Technical Analysis: Power Tools for Active Investors, 2005); stacking MA crossover with MACD in the same direction 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.

  • Use as confirmation filter, not entry trigger — The signal's natural home is as a regime gate: 'take MACD bullish trades only when the 50DMA > 200DMA' or 'take RSI bearish only during death-cross regime'. Used as a filter layered onto other triggers, MA crossover improves other signals' precision without its own weak forward returns doing damage.
  • Volume confirmation for bearish death cross — Death crosses on expanding volume are more decisive than on contracting volume (the latter is often a late-stage rollover that's about to bounce). A filter requiring volume > 1.2× 20d average during the week the cross prints would sharpen the bearish signal. Testable, not yet implemented.
  • Faster MA parameters — This backtest uses 50/200, the classical parameters. Shorter crossovers (e.g. 20/50) fire earlier in trend changes but also noisier. A formal parameter grid search (20/50, 50/150, 50/200, 100/200) would reveal whether the 'signal fires too late' issue can be resolved by going faster.

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

MA crossover is a lagging, structural indicator — it's not a timing signal. By the time the 50DMA crosses the 200DMA, the underlying trend has been building for weeks. Use it as a REGIME FILTER (i.e. trade other signals only when the MA state favors your direction), not as an entry trigger on its own. Entry = open T+1. The bearish 20d trade is the only cell with meaningful alpha and passing p_perm; everything else is noise.