What a daily % extreme was historically followed by, measured across our stock coverage.
What a daily % extreme was historically followed by, measured across our stock coverage.
How to read this. These figures are measured only on instruments currently in our coverage — a set of companies that survived. Signals that appear to have 'worked' on the downside are conditioned on these names having recovered; a company that fell and never came back would not be here to measure. Read every number below as a property of this surviving sample, not a universal rule, and never as advice.
All figures are ‘excess’ returns — measured relative to each instrument’s own historical drift, not relative to the market. This is not alpha and not a market-beating claim; it isolates the signal from the instrument’s background trend. Measured from the first day each signal appeared (not its most extreme point), so it reflects what was knowable in real time.
daily % showed no measurable forward signal. Across the full sample, episodes on this measure were followed by returns statistically indistinguishable from each instrument’s own drift — we report this as a null result rather than hide it.
Overbought / high extreme
Across 7014 past episodes where a stock was overbought on this signal, the 6998 with a complete 20-session forward window lagged a stock’s own trailing drift by 0.22 percentage points on average (48% of those 6998 beat drift).
| horizon | excess vs own drift | beat-drift rate | episodes with complete horizon |
|---|---|---|---|
| 1 session | +0.04% | 48% | 7014 |
| 5 sessions | -0.11% | 49% | 7012 |
| 20 sessions | -0.22% | 48% | 6998 |
Oversold / low extreme
Across 7028 past episodes where a stock was oversold on this signal, the 7010 with a complete 20-session forward window lagged a stock’s own trailing drift by 0.14 percentage points on average (49% of those 7010 beat drift).
| horizon | excess vs own drift | beat-drift rate | episodes with complete horizon |
|---|---|---|---|
| 1 session | +0.02% | 48% | 7028 |
| 5 sessions | +0.12% | 50% | 7021 |
| 20 sessions | -0.14% | 49% | 7010 |
By instrument
Each instrument’s own history on this signal (where it has enough episodes to characterize):