Nifty 50: when does a trend start after a close 1% to 5% beyond the 10- or 20-period SMA?
Short answer. On daily candles a close at least 3% above the 10- or 20-day average has been followed by a sustained uptrend about 29%–30% of the time (38%–36% counting only the first signal of each 20-day cluster), against about 20% for any day already above its average, with the improvement present in both halves of the history but statistically weak (for the independent-episode estimate the lower 95% bound of the improvement is only about +5.7 to +6.2 percentage points). Closes below the averages have not indicated continuing downtrends: the median 10-day return after a ≥3% close below the 10/20-SMA was +0.5% / +1.2% (a bounce). Weekly results are mostly indistinguishable from baseline and monthly samples are too small to conclude anything. Of 300 pre-specified success-rate tests, 1 survives a multiple-comparison correction. The signal arrives late: before the median daily ≥3% up-signal the index had already risen +3.8% in 10 sessions; the next 10 sessions add a median +1.1%.
1. Data, coverage and treatment
| Series | Coverage | Sample | Source |
|---|---|---|---|
| Nifty 50 spot index, daily OHLC | 2007-09-17 to 2026-10-26 | 4,687 trading days | Yahoo Finance chart API, symbol ^NSEI, 2007-09-17 to 2012-12-31 (1,292 days used) |
| 2013-01-01 onward | 3,395 days | NSE official end-of-day index files nsearchives.nseindia.com/content/indices/ind_close_all_DDMMYYYY.csv (index named S&P CNX Nifty, later Nifty 50) |
- Cross-check. On the 3,382 days both sources cover, closing prices agree to within 0.000005% (median 0.000002%); no day differs by more than 0.25%. NSE's value is used wherever it exists; Yahoo is the only source for 2007-09 to 2012-12 and is used for closes only (its earlier opens are not trusted and never used in executable results).
- Missing and odd data. 31 Yahoo rows had no close and were dropped, with no interpolation. 13 NSE dates are absent from Yahoo and 13 Yahoo dates are absent from NSE after 2013 (special or holiday sessions); both are kept as supplied by the primary source. 3 bars were flagged for a move above 12% (2008-10-24, 2009-05-18, 2020-03-23); each is a real circuit-limit or crash day and is kept. Earlier history exists (NSE index data from 1990) but is not available in a reliable machine-readable form to us, so 2007-09-17 is the start.
- Candles. Daily 4,687; weekly 997 (last trading close of each Monday-to-Sunday week; the current week is dropped); monthly 229 (last trading close of each month; the current month is dropped). The SMA of n candles includes the signal candle; the first n−1 candles have no SMA.
2. What was tested and how repeats are treated
- Signals. Distance = (Close − SMA) / SMA × 100. An upward signal at threshold T is the first candle with distance ≥ +T after a candle below +T (downward: ≤ −T after a candle above −T), for T = 1…5, SMA 10 and 20, on each timeframe: 60 combinations, 4,163 signals.
- Repeats and several thresholds. A signal repeats only after the distance has been back below the threshold for a candle. A candle that jumps through several thresholds counts once in each threshold's own series (the series are nested). Counts per threshold are therefore not additive.
- Overlap. Descriptive figures use all first-cross signals. Confidence intervals and tests use a non-overlapping subset for each horizon (a later signal is skipped if it falls inside the previous signal's forward window). "Episodes" below are that subset at 20 candles.
- Baseline. Unconditional: every candle of that timeframe. Because an up-signal is a candle already above its SMA, a like-for-like baseline (every candle already on the same side of the SMA) is also shown; this was added after the first run and is reported as such in section 10.
Sustained trend: fixed before testing
| Timeframe | Forward window | Minimum net move | Persistence | Invalidation |
|---|---|---|---|---|
| Daily | 20 | 3% | 70% of the 20 forward closes beyond the signal close | any forward close on the wrong side of the signal-time SMA |
| Weekly | 10 | 4% | same | same |
| Monthly | 6 | 6% | same | same |
Sustained trend = net signed move ≥ the minimum at the end of the window, and persistence, and no invalidation. Alternatives shown in section 9: loose (half the move, 60% persistence), strict (1.5× the move, 80%), half-length and double-length windows. Trend onset = the previous P candles (10 daily, 5 weekly, 3 monthly) included a close on the other side of the SMA and the SMA slope was flat or against the signal; confirmation of an existing trend = all of them on the signal side with the SMA sloping with the signal; overextended = distance at or above the expanding 90th percentile of |distance| so far; overextended reversal = such a signal whose W-candle return is at or below minus half the minimum move. A false breakout = a close back across the SMA within 5 daily, 3 weekly or 2 monthly candles.
3. Results by timeframe
Every combination, upward and downward kept apart. "Success" = positive forward return after upward signals and negative after downward ones, compared with the unconditional rate. * fewer than 30 and † fewer than 10 non-overlapping episodes. MFE/MAE = median favourable/adverse excursion over the next 20 candles from highs and lows. Intervals are Wilson 95% on the non-overlapping subset.
Daily (primary evidence)
| Signal | Signals | Episodes (20-candle spacing) | Sustained trend: all signals · independent episodes (95% CI) | Same-side / all-candle baseline | Success 5 candles | Success 10 | Success 20 | Median return 10 / 20 (%) | Median MFE / MAE at 20 (%) | False breakouts | Close back across SMA within 20 · median candles |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 10-SMA +1% | 355 | 157 | 25% · 29% (22%–36%) | 20% / 14% | 56% vs 56% | 57% vs 57% | 61% vs 60% | +0.8 / +1.0 (base +0.5 / +1.0) | +3.3 / -2.6 | 42% (base 50%) | 94% · 6 |
| 10-SMA +2% | 185 | 102 | 32% · 30% (22%–39%) | 20% / 14% | 60% vs 56% | 62% vs 57% | 61% vs 60% | +1.1 / +1.6 (base +0.5 / +1.0) | +3.9 / -3.0 | 31% (base 50%) | 92% · 7 |
| 10-SMA +3% | 92 | 55 | 29% · 38% (27%–51%) | 20% / 14% | 61% vs 56% | 61% vs 57% | 61% vs 60% | +1.2 / +1.2 (base +0.5 / +1.0) | +4.2 / -3.0 | 29% (base 50%) | 91% · 7 |
| 10-SMA +4% | 50 | 30 | 32% · 37% (22%–54%) | 20% / 14% | 60% vs 56% | 66% vs 57% | 60% vs 60% | +1.8 / +1.1 (base +0.5 / +1.0) | +5.0 / -3.9 | 28% (base 50%) | 94% · 8 |
| 10-SMA +5% | 24 | 13 * | 38% · 54% (29%–77%) | 20% / 14% | 46% vs 56% | 62% vs 57% | 54% vs 60% | +1.2 / +0.7 (base +0.5 / +1.0) | +7.0 / -4.7 | 29% (base 50%) | 96% · 8 |
| 20-SMA +1% | 258 | 136 | 20% · 23% (17%–31%) | 21% / 14% | 56% vs 56% | 55% vs 57% | 61% vs 60% | +0.3 / +0.9 (base +0.5 / +1.0) | +3.0 / -2.4 | 35% (base 33%) | 79% · 6 |
| 20-SMA +2% | 205 | 113 | 26% · 29% (22%–38%) | 21% / 14% | 59% vs 56% | 63% vs 57% | 58% vs 60% | +1.0 / +0.9 (base +0.5 / +1.0) | +3.1 / -1.9 | 18% (base 33%) | 72% · 10 |
| 20-SMA +3% | 147 | 77 | 30% · 36% (27%–48%) | 21% / 14% | 62% vs 56% | 65% vs 57% | 61% vs 60% | +1.1 / +1.3 (base +0.5 / +1.0) | +3.7 / -2.4 | 12% (base 33%) | 67% · 11 |
| 20-SMA +4% | 86 | 49 | 27% · 27% (16%–40%) | 21% / 14% | 63% vs 56% | 56% vs 57% | 64% vs 60% | +0.5 / +1.6 (base +0.5 / +1.0) | +3.7 / -2.7 | 8% (base 33%) | 71% · 11 |
| 20-SMA +5% | 50 | 28 * | 30% · 32% (18%–51%) | 21% / 14% | 58% vs 56% | 58% vs 57% | 58% vs 60% | +0.6 / +0.7 (base +0.5 / +1.0) | +4.8 / -3.7 | 6% (base 33%) | 70% · 12 |
| 10-SMA −1% | 284 | 139 | 16% · 15% (10%–22%) | 13% / 7% | 45% vs 44% | 42% vs 43% | 39% vs 40% | +0.9 / +1.1 (base +0.5 / +1.0) | +2.8 / -3.4 | 54% (base 63%) | 98% · 5 |
| 10-SMA −2% | 186 | 98 | 16% · 18% (12%–27%) | 13% / 7% | 40% vs 44% | 39% vs 43% | 40% vs 40% | +1.3 / +1.6 (base +0.5 / +1.0) | +3.2 / -4.5 | 52% (base 63%) | 98% · 5 |
| 10-SMA −3% | 113 | 56 | 18% · 21% (13%–34%) | 13% / 7% | 48% vs 44% | 46% vs 43% | 36% vs 40% | +0.5 / +2.2 (base +0.5 / +1.0) | +3.8 / -4.6 | 45% (base 63%) | 98% · 6 |
| 10-SMA −4% | 58 | 35 | 21% · 20% (10%–36%) | 13% / 7% | 45% vs 44% | 50% vs 43% | 36% vs 40% | +0.2 / +3.0 (base +0.5 / +1.0) | +3.8 / -6.3 | 40% (base 63%) | 98% · 6 |
| 10-SMA −5% | 33 | 17 * | 30% · 35% (17%–59%) | 13% / 7% | 52% vs 44% | 64% vs 43% | 45% vs 40% | -1.5 / +0.2 (base +0.5 / +1.0) | +7.5 / -5.7 | 30% (base 63%) | 97% · 8 |
| 20-SMA −1% | 224 | 114 | 14% · 15% (10%–23%) | 14% / 7% | 47% vs 44% | 43% vs 43% | 47% vs 40% | +0.5 / +0.5 (base +0.5 / +1.0) | +3.3 / -3.1 | 44% (base 44%) | 88% · 6 |
| 20-SMA −2% | 171 | 93 | 19% · 21% (14%–30%) | 14% / 7% | 46% vs 44% | 45% vs 43% | 43% vs 40% | +0.6 / +0.8 (base +0.5 / +1.0) | +3.1 / -3.7 | 32% (base 44%) | 84% · 7 |
| 20-SMA −3% | 123 | 66 | 21% · 23% (14%–34%) | 14% / 7% | 45% vs 44% | 42% vs 43% | 44% vs 40% | +1.2 / +0.5 (base +0.5 / +1.0) | +3.5 / -4.3 | 22% (base 44%) | 88% · 9 |
| 20-SMA −4% | 81 | 44 | 17% · 20% (11%–35%) | 14% / 7% | 38% vs 44% | 41% vs 43% | 38% vs 40% | +1.2 / +1.4 (base +0.5 / +1.0) | +3.9 / -5.6 | 17% (base 44%) | 89% · 9 |
| 20-SMA −5% | 60 | 29 * | 17% · 17% (8%–35%) | 14% / 7% | 42% vs 44% | 43% vs 43% | 33% vs 40% | +1.3 / +3.9 (base +0.5 / +1.0) | +3.8 / -5.8 | 18% (base 44%) | 88% · 11 |
Weekly
| Signal | Signals | Episodes (20-candle spacing) | Sustained trend: all signals · independent episodes (95% CI) | Same-side / all-candle baseline | Success 5 candles | Success 10 | Success 20 | Median return 10 / 20 (%) | Median MFE / MAE at 20 (%) | False breakouts | Close back across SMA within 20 · median candles |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 10-SMA +1% | 93 | 39 | 27% · 25% (16%–37%) | 30% / 22% | 67% vs 60% | 62% vs 63% | 68% vs 65% | +2.5 / +5.2 (base +2.3 / +3.8) | +9.7 / -5.0 | 25% (base 30%) | 92% · 6 |
| 10-SMA +2% | 96 | 38 | 27% · 19% (11%–31%) | 30% / 22% | 66% vs 60% | 60% vs 63% | 66% vs 65% | +1.4 / +4.4 (base +2.3 / +3.8) | +9.0 / -5.2 | 22% (base 30%) | 93% · 7 |
| 10-SMA +3% | 81 | 32 | 36% · 31% (20%–44%) | 30% / 22% | 63% vs 60% | 62% vs 63% | 65% vs 65% | +1.9 / +3.7 (base +2.3 / +3.8) | +8.8 / -4.7 | 17% (base 30%) | 91% · 7 |
| 10-SMA +4% | 62 | 29 * | 32% · 36% (23%–51%) | 30% / 22% | 55% vs 60% | 63% vs 63% | 58% vs 65% | +2.6 / +3.2 (base +2.3 / +3.8) | +7.6 / -5.4 | 19% (base 30%) | 89% · 7 |
| 10-SMA +5% | 44 | 24 * | 27% · 31% (18%–49%) | 30% / 22% | 55% vs 60% | 61% vs 63% | 64% vs 65% | +1.7 / +3.2 (base +2.3 / +3.8) | +8.0 / -6.0 | 20% (base 30%) | 89% · 6 |
| 20-SMA +1% | 51 | 28 * | 33% · 33% (21%–49%) | 32% / 23% | 63% vs 60% | 71% vs 63% | 71% vs 65% | +3.0 / +4.2 (base +2.4 / +4.1) | +8.8 / -4.7 | 25% (base 18%) | 65% · 5 |
| 20-SMA +2% | 57 | 28 * | 37% · 38% (24%–53%) | 32% / 23% | 67% vs 60% | 67% vs 63% | 65% vs 65% | +3.0 / +2.8 (base +2.4 / +4.1) | +8.6 / -5.2 | 18% (base 18%) | 72% · 9 |
| 20-SMA +3% | 54 | 27 * | 33% · 31% (18%–47%) | 32% / 23% | 74% vs 60% | 69% vs 63% | 65% vs 65% | +3.0 / +3.8 (base +2.4 / +4.1) | +8.4 / -4.5 | 9% (base 18%) | 65% · 11 |
| 20-SMA +4% | 46 | 24 * | 35% · 33% (20%–50%) | 32% / 23% | 74% vs 60% | 67% vs 63% | 67% vs 65% | +2.3 / +3.8 (base +2.4 / +4.1) | +8.4 / -4.5 | 2% (base 18%) | 67% · 11 |
| 20-SMA +5% | 56 | 25 * | 27% · 23% (12%–39%) | 32% / 23% | 61% vs 60% | 57% vs 63% | 57% vs 65% | +0.8 / +2.3 (base +2.4 / +4.1) | +6.8 / -4.7 | 2% (base 18%) | 70% · 9 |
| 10-SMA −1% | 71 | 33 | 20% · 16% (8%–29%) | 13% / 7% | 58% vs 40% | 47% vs 37% | 36% vs 35% | +0.6 / +2.6 (base +2.3 / +3.8) | +7.3 / -7.2 | 39% (base 47%) | 100% · 5 |
| 10-SMA −2% | 63 | 32 | 11% · 10% (4%–23%) | 13% / 7% | 52% vs 40% | 44% vs 37% | 33% vs 35% | +1.2 / +5.4 (base +2.3 / +3.8) | +7.2 / -8.0 | 34% (base 47%) | 100% · 5 |
| 10-SMA −3% | 52 | 25 * | 10% · 9% (3%–24%) | 13% / 7% | 49% vs 40% | 48% vs 37% | 38% vs 35% | +1.4 / +5.5 (base +2.3 / +3.8) | +7.3 / -9.7 | 38% (base 47%) | 100% · 4 |
| 10-SMA −4% | 44 | 23 * | 12% · 14% (6%–31%) | 13% / 7% | 37% vs 40% | 35% vs 37% | 35% vs 35% | +3.7 / +7.8 (base +2.3 / +3.8) | +5.6 / -11.1 | 42% (base 47%) | 100% · 4 |
| 10-SMA −5% | 29 | 17 * | 14% · 14% (5%–35%) | 13% / 7% | 36% vs 40% | 32% vs 37% | 32% vs 35% | +5.8 / +8.8 (base +2.3 / +3.8) | +3.5 / -14.2 | 39% (base 47%) | 100% · 4 |
| 20-SMA −1% | 46 | 27 * | 13% · 12% (5%–28%) | 13% / 6% | 57% vs 40% | 44% vs 37% | 40% vs 35% | +0.5 / +5.2 (base +2.4 / +4.1) | +7.5 / -8.0 | 31% (base 34%) | 96% · 6 |
| 20-SMA −2% | 42 | 24 * | 15% · 7% (2%–23%) | 13% / 6% | 52% vs 40% | 49% vs 37% | 44% vs 35% | +0.0 / +2.2 (base +2.4 / +4.1) | +7.6 / -7.8 | 24% (base 34%) | 95% · 6 |
| 20-SMA −3% | 44 | 22 * | 17% · 15% (6%–32%) | 13% / 6% | 52% vs 40% | 43% vs 37% | 43% vs 35% | +1.1 / +3.4 (base +2.4 / +4.1) | +7.2 / -7.6 | 14% (base 34%) | 93% · 6 |
| 20-SMA −4% | 39 | 19 * | 16% · 12% (4%–30%) | 13% / 6% | 51% vs 40% | 43% vs 37% | 38% vs 35% | +3.5 / +5.6 (base +2.4 / +4.1) | +7.2 / -10.3 | 11% (base 34%) | 92% · 6 |
| 20-SMA −5% | 35 | 18 * | 18% · 13% (5%–32%) | 13% / 6% | 41% vs 40% | 29% vs 37% | 29% vs 35% | +4.7 / +8.0 (base +2.4 / +4.1) | +5.0 / -11.5 | 15% (base 34%) | 91% · 5 |
Monthly (small samples: read with caution)
| Signal | Signals | Episodes (20-candle spacing) | Sustained trend: all signals · independent episodes (95% CI) | Same-side / all-candle baseline | Success 5 candles | Success 10 | Success 20 | Median return 10 / 20 (%) | Median MFE / MAE at 20 (%) | False breakouts | Close back across SMA within 20 · median candles |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 10-SMA +1% | 17 | 8 † | 18% · 20% (7%–45%) | 34% / 29% | 59% vs 67% | 82% vs 77% | 100% vs 88% | +8.1 / +29.3 (base +8.4 / +18.9) | +35.1 / -6.7 | 12% (base 22%) | 94% · 6 |
| 10-SMA +2% | 20 | 8 † | 30% · 35% (17%–59%) | 34% / 29% | 65% vs 67% | 80% vs 77% | 100% vs 88% | +8.1 / +27.1 (base +8.4 / +18.9) | +31.5 / -6.9 | 10% (base 22%) | 95% · 6 |
| 10-SMA +3% | 22 | 8 † | 36% · 38% (18%–61%) | 34% / 29% | 59% vs 67% | 86% vs 77% | 90% vs 88% | +8.1 / +26.8 (base +8.4 / +18.9) | +32.5 / -6.7 | 0% (base 22%) | 95% · 7 |
| 10-SMA +4% | 20 | 7 † | 40% · 36% (16%–61%) | 34% / 29% | 60% vs 67% | 85% vs 77% | 89% vs 88% | +7.5 / +27.0 (base +8.4 / +18.9) | +33.3 / -6.2 | 0% (base 22%) | 95% · 7 |
| 10-SMA +5% | 19 | 7 † | 47% · 38% (18%–64%) | 34% / 29% | 63% vs 67% | 84% vs 77% | 76% vs 88% | +12.3 / +23.0 (base +8.4 / +18.9) | +33.8 / -5.8 | 0% (base 22%) | 100% · 10 |
| 20-SMA +1% | 14 | 8 † | 36% · 33% (14%–61%) | 34% / 32% | 64% vs 68% | 79% vs 76% | 100% vs 87% | +10.1 / +27.7 (base +8.2 / +18.4) | +36.0 / -5.2 | 7% (base 9%) | 50% · 9 |
| 20-SMA +2% | 15 | 8 † | 33% · 33% (14%–61%) | 34% / 32% | 60% vs 68% | 80% vs 76% | 100% vs 87% | +8.0 / +27.2 (base +8.2 / +18.4) | +34.3 / -10.3 | 7% (base 9%) | 53% · 7 |
| 20-SMA +3% | 15 | 8 † | 20% · 23% (8%–50%) | 34% / 32% | 53% vs 68% | 73% vs 76% | 100% vs 87% | +7.7 / +26.8 (base +8.2 / +18.4) | +32.6 / -11.9 | 7% (base 9%) | 60% · 5 |
| 20-SMA +4% | 16 | 8 † | 25% · 31% (13%–58%) | 34% / 32% | 56% vs 68% | 81% vs 76% | 100% vs 87% | +7.8 / +26.8 (base +8.2 / +18.4) | +34.1 / -7.6 | 0% (base 9%) | 50% · 7 |
| 20-SMA +5% | 14 | 8 † | 21% · 23% (8%–50%) | 34% / 32% | 50% vs 68% | 79% vs 76% | 100% vs 87% | +7.5 / +27.3 (base +8.2 / +18.4) | +34.1 / -6.3 | 0% (base 9%) | 50% · 5 |
| 10-SMA −1% | 14 | 7 † | 7% · 0% (0%–26%) | 8% / 4% | 29% vs 33% | 31% vs 23% | 8% vs 12% | +6.1 / +16.7 (base +8.4 / +18.9) | +16.6 / -19.7 | 62% (base 48%) | 100% · 2 |
| 10-SMA −2% | 14 | 7 † | 8% · 9% (2%–38%) | 8% / 4% | 31% vs 33% | 33% vs 23% | 17% vs 12% | +5.4 / +17.8 (base +8.4 / +18.9) | +14.7 / -24.3 | 50% (base 48%) | 100% · 2 |
| 10-SMA −3% | 14 | 6 † | 8% · 10% (2%–40%) | 8% / 4% | 31% vs 33% | 25% vs 23% | 9% vs 12% | +7.4 / +18.8 (base +8.4 / +18.9) | +14.4 / -28.9 | 50% (base 48%) | 100% · 2 |
| 10-SMA −4% | 14 | 6 † | 8% · 12% (2%–47%) | 8% / 4% | 25% vs 33% | 18% vs 23% | 0% vs 12% | +8.7 / +22.9 (base +8.4 / +18.9) | +9.6 / -28.2 | 36% (base 48%) | 100% · 4 |
| 10-SMA −5% | 10 | 6 † | 11% · 14% (3%–51%) | 8% / 4% | 11% vs 33% | 0% vs 23% | 0% vs 12% | +16.3 / +29.4 (base +8.4 / +18.9) | +6.3 / -34.6 | 38% (base 48%) | 100% · 4 |
| 20-SMA −1% | 8 | 6 † | 0% · 0% (0%–35%) | 0% / 0% | 29% vs 32% | 0% vs 24% | 0% vs 13% | +16.3 / +39.3 (base +8.2 / +18.4) | +9.4 / -41.3 | 50% (base 33%) | 100% · 4 |
| 20-SMA −2% | 6 | 4 † | 0% · 0% (-0%–43%) | 0% / 0% | 40% vs 32% | 0% vs 24% | 0% vs 13% | +11.2 / +22.8 (base +8.2 / +18.4) | +9.7 / -24.8 | 0% (base 33%) | 100% · 6 |
| 20-SMA −3% | 7 | 4 † | 0% · 0% (-0%–43%) | 0% / 0% | 0% vs 32% | 0% vs 24% | 0% vs 13% | +8.6 / +24.8 (base +8.2 / +18.4) | +9.2 / -28.4 | 0% (base 33%) | 100% · 5 |
| 20-SMA −4% | 7 | 4 † | 0% · 0% (-0%–43%) | 0% / 0% | 0% vs 32% | 0% vs 24% | 0% vs 13% | +15.4 / +23.7 (base +8.2 / +18.4) | +6.3 / -30.3 | 0% (base 33%) | 100% · 5 |
| 20-SMA −5% | 7 | 4 † | 0% · 0% (-0%–43%) | 0% / 0% | 0% vs 32% | 0% vs 24% | 0% vs 13% | +15.4 / +23.7 (base +8.2 / +18.4) | +6.3 / -30.3 | 0% (base 33%) | 100% · 5 |
4. Heatmaps: threshold versus horizon
5. 10-SMA versus 20-SMA
6. Event study: typical paths around the signal
Upward signals arrive after a run-up and are followed by a modest continuation; downward signals arrive after a sell-off and are followed, on the median, by a rebound, not by further decline. The bands overlap zero for most of the post-signal path on weekly and monthly charts.
7. Outcome dispersion and downside risk
8. Annotated historical charts: successes and failures
Selection method. For each chart, signals are split into those meeting the sustained-trend definition and those that did not; the three signals in each group whose forward W-candle move is closest to that group's median are shown (ties by earliest date). No signal was chosen for how it looks. Dates: {"ann_D20_up": {"sustained": ["2010-03-02", "2009-07-17", "2017-01-12"], "failed": ["2025-05-15", "2023-07-06", "2022-03-29"]}, "ann_D20_down": {"sustained": ["2011-11-17", "2026-03-04", "2008-02-06"], "failed": ["2022-06-13", "2014-12-16", "2010-12-09"]}, "ann_W10_up": {"sustained": ["2016-03-18", "2021-08-27", "2023-12-01"], "failed": ["2009-12-24", "2023-09-15", "2021-02-05"]}}.
9. Robustness
Sustained-trend rate under five definitions (all signals)
| Timeframe | Signal | Signals | primary | loose | strict | half window | double window |
|---|---|---|---|---|---|---|---|
| Daily | 10-SMA +1% | 355 | 25% | 32% | 17% | 18% | 23% |
| Daily | 10-SMA +2% | 185 | 32% | 40% | 20% | 22% | 30% |
| Daily | 10-SMA +3% | 92 | 29% | 39% | 20% | 24% | 29% |
| Daily | 10-SMA +4% | 50 | 32% | 44% | 26% | 24% | 44% |
| Daily | 10-SMA +5% | 24 | 38% | 42% | 33% | 21% | 50% |
| Daily | 20-SMA +1% | 258 | 20% | 29% | 14% | 17% | 23% |
| Daily | 20-SMA +2% | 205 | 26% | 36% | 19% | 18% | 31% |
| Daily | 20-SMA +3% | 147 | 30% | 43% | 15% | 18% | 35% |
| Daily | 20-SMA +4% | 86 | 27% | 43% | 19% | 29% | 34% |
| Daily | 20-SMA +5% | 50 | 30% | 40% | 16% | 18% | 42% |
| Daily | 10-SMA −1% | 284 | 16% | 21% | 11% | 14% | 13% |
| Daily | 10-SMA −2% | 186 | 16% | 20% | 10% | 13% | 12% |
| Daily | 10-SMA −3% | 113 | 18% | 23% | 16% | 22% | 15% |
| Daily | 10-SMA −4% | 58 | 21% | 29% | 16% | 21% | 21% |
| Daily | 10-SMA −5% | 33 | 30% | 36% | 24% | 33% | 30% |
| Daily | 20-SMA −1% | 224 | 14% | 22% | 11% | 15% | 13% |
| Daily | 20-SMA −2% | 171 | 19% | 24% | 12% | 15% | 15% |
| Daily | 20-SMA −3% | 123 | 21% | 25% | 12% | 20% | 12% |
| Daily | 20-SMA −4% | 81 | 17% | 19% | 14% | 16% | 15% |
| Daily | 20-SMA −5% | 60 | 17% | 20% | 12% | 20% | 17% |
| Monthly | 10-SMA +1% | 17 | 18% | 35% | 18% | 29% | 47% |
| Monthly | 10-SMA +2% | 20 | 30% | 40% | 20% | 30% | 45% |
| Monthly | 10-SMA +3% | 22 | 36% | 41% | 32% | 27% | 57% |
| Monthly | 10-SMA +4% | 20 | 40% | 40% | 40% | 30% | 58% |
| Monthly | 10-SMA +5% | 19 | 47% | 47% | 42% | 16% | 61% |
| Monthly | 20-SMA +1% | 14 | 36% | 50% | 36% | 43% | 64% |
| Monthly | 20-SMA +2% | 15 | 33% | 47% | 33% | 40% | 53% |
| Monthly | 20-SMA +3% | 15 | 20% | 33% | 20% | 33% | 50% |
| Monthly | 20-SMA +4% | 16 | 25% | 38% | 19% | 19% | 53% |
| Monthly | 20-SMA +5% | 14 | 21% | 36% | 14% | 14% | 46% |
| Monthly | 10-SMA −1% | 14 | 7% | 14% | 7% | 7% | 8% |
| Monthly | 10-SMA −2% | 14 | 8% | 23% | 8% | 8% | 8% |
| Monthly | 10-SMA −3% | 14 | 8% | 23% | 8% | 8% | 8% |
| Monthly | 10-SMA −4% | 14 | 8% | 17% | 8% | 0% | 9% |
| Monthly | 10-SMA −5% | 10 | 11% | 11% | 11% | 0% | 0% |
| Monthly | 20-SMA −1% | 8 | 0% | 0% | 0% | 14% | 0% |
| Monthly | 20-SMA −2% | 6 | 0% | 0% | 0% | 0% | 0% |
| Monthly | 20-SMA −3% | 7 | 0% | 0% | 0% | 0% | 0% |
| Monthly | 20-SMA −4% | 7 | 0% | 0% | 0% | 0% | 0% |
| Monthly | 20-SMA −5% | 7 | 0% | 0% | 0% | 0% | 0% |
| Weekly | 10-SMA +1% | 93 | 27% | 41% | 19% | 28% | 34% |
| Weekly | 10-SMA +2% | 96 | 27% | 42% | 22% | 21% | 38% |
| Weekly | 10-SMA +3% | 81 | 36% | 47% | 25% | 23% | 40% |
| Weekly | 10-SMA +4% | 62 | 32% | 48% | 21% | 15% | 39% |
| Weekly | 10-SMA +5% | 44 | 27% | 43% | 14% | 16% | 41% |
| Weekly | 20-SMA +1% | 51 | 33% | 49% | 24% | 27% | 41% |
| Weekly | 20-SMA +2% | 57 | 37% | 54% | 25% | 30% | 35% |
| Weekly | 20-SMA +3% | 54 | 33% | 59% | 22% | 24% | 43% |
| Weekly | 20-SMA +4% | 46 | 35% | 50% | 20% | 22% | 41% |
| Weekly | 20-SMA +5% | 56 | 27% | 45% | 21% | 21% | 34% |
| Weekly | 10-SMA −1% | 71 | 20% | 29% | 14% | 21% | 17% |
| Weekly | 10-SMA −2% | 63 | 11% | 16% | 8% | 15% | 13% |
| Weekly | 10-SMA −3% | 52 | 10% | 16% | 6% | 8% | 16% |
| Weekly | 10-SMA −4% | 44 | 12% | 14% | 7% | 7% | 12% |
| Weekly | 10-SMA −5% | 29 | 14% | 14% | 11% | 11% | 18% |
| Weekly | 20-SMA −1% | 46 | 13% | 22% | 11% | 17% | 11% |
| Weekly | 20-SMA −2% | 42 | 15% | 22% | 12% | 14% | 12% |
| Weekly | 20-SMA −3% | 44 | 17% | 21% | 17% | 14% | 12% |
| Weekly | 20-SMA −4% | 39 | 16% | 22% | 11% | 8% | 14% |
| Weekly | 20-SMA −5% | 35 | 18% | 18% | 12% | 12% | 15% |
Splits at the 3% threshold: halves, context, SMA slope, regime (n: sustained-trend %)
| Timeframe | Signal | Signals | First half / second half | Onset | Confirmation | SMA rising / falling | Bull / bear regime | Overextended: reversal % |
|---|---|---|---|---|---|---|---|---|
| Daily | 10-SMA +3% | 92 | 28% / 33% | 45: 33% | 16: 44% | 48: 23% / 43: 35% | 42: 29% / 37: 35% | 16: 19% |
| Daily | 20-SMA +3% | 147 | 30% / 30% | 44: 27% | 61: 34% | 107: 30% / 39: 31% | 104: 31% / 34: 32% | 1: 0% |
| Daily | 10-SMA −3% | 113 | 20% / 12% | 45: 18% | 21: 5% | 36: 17% / 77: 18% | 35: 11% / 61: 16% | 28: 50% |
| Daily | 20-SMA −3% | 123 | 24% / 17% | 45: 24% | 41: 17% | 34: 24% / 87: 21% | 47: 21% / 67: 15% | 3: 33% |
| Monthly | 10-SMA +3% | 22 | 45% / 27% | 7: 29% | 7: 57% | 16: 38% / 6: 33% | 22: 36% / 0: n/a | 0: n/a |
| Monthly | 20-SMA +3% | 15 | 29% / 12% | 1: 0% | 6: 0% | 12: 8% / 2: 50% | 13: 23% / 2: 0% | 0: n/a |
| Monthly | 10-SMA −3% | 14 | 12% / 0% | 10: 10% | 2: 0% | 9: 11% / 4: 0% | 0: n/a / 13: 8% | 0: n/a |
| Monthly | 20-SMA −3% | 7 | 0% / 0% | 4: 0% | 0: n/a | 3: 0% / 2: 0% | 1: 0% / 4: 0% | 1: 100% |
| Weekly | 10-SMA +3% | 81 | 35% / 37% | 35: 34% | 26: 42% | 48: 40% / 32: 31% | 63: 38% / 14: 36% | 0: n/a |
| Weekly | 20-SMA +3% | 54 | 38% / 29% | 18: 44% | 27: 22% | 41: 29% / 13: 46% | 52: 31% / 2: 100% | 0: n/a |
| Weekly | 10-SMA −3% | 52 | 11% / 7% | 26: 15% | 12: 8% | 22: 14% / 28: 7% | 16: 0% / 31: 10% | 1: 0% |
| Weekly | 20-SMA −3% | 44 | 22% / 11% | 16: 6% | 14: 29% | 17: 6% / 25: 24% | 5: 0% / 35: 14% | 0: n/a |
Halves split the candles chronologically (first half to 2017-04-28 for daily). Regime = close above / below the 200-day, 40-week or 10-month SMA at the signal. Conclusions that depend on a split with fewer than 30 signals are not supported.
Multiple comparisons. 300 success-rate tests (60 combinations × 5 horizons), exact binomial tests against the unconditional baseline, Benjamini-Hochberg at 10%: 1 survive; against the same-side baseline: 0. Combinations meeting the full reading rule (edge in both halves, BH-significant, at least 30 non-overlapping signals): Daily 10-SMA +1% at 1 candle(s).
10. Executable view (entry at the next open, 2013 onward, 0.10% round-trip cost)
A signal is known only after its candle closes, so the trade is entered at the next candle's open and exited at the close of candle t+h (or at the open after the first close back across the SMA). Cost assumption 0.10% round trip (index futures or an index ETF; no leverage, margin or tax). "All-candle" = the same trade started on every candle.
Daily
| Signal | Trades | Hold 5 candles: mean · hit | Hold 10 | Hold 20 | Exit on SMA cross-back (mean) |
|---|---|---|---|---|---|
| 10-SMA +1% | 257 | +0.04% · 52% (all-candle +0.01% · 52%) | +0.26% · 55% (all-candle +0.24% · 55%) | +0.78% · 60% (all-candle +0.69% · 59%) | +0.16% |
| 10-SMA +2% | 109 | +0.37% · 54% (all-candle +0.01% · 52%) | +0.61% · 61% (all-candle +0.24% · 55%) | +1.13% · 61% (all-candle +0.69% · 59%) | +0.36% |
| 10-SMA +3% | 37 | +0.36% · 65% (all-candle +0.01% · 52%) | +1.04% · 70% (all-candle +0.24% · 55%) | +1.93% · 68% (all-candle +0.69% · 59%) | +0.55% |
| 10-SMA +4% | 18 * | +0.47% · 61% (all-candle +0.01% · 52%) | +0.82% · 67% (all-candle +0.24% · 55%) | +2.09% · 72% (all-candle +0.69% · 59%) | +0.98% |
| 10-SMA +5% | 8 † | +0.28% · 50% (all-candle +0.01% · 52%) | +0.20% · 38% (all-candle +0.24% · 55%) | +2.07% · 75% (all-candle +0.69% · 59%) | +1.44% |
| 20-SMA +1% | 188 | +0.08% · 55% (all-candle +0.01% · 52%) | +0.21% · 54% (all-candle +0.24% · 55%) | +0.66% · 60% (all-candle +0.69% · 59%) | +0.13% |
| 20-SMA +2% | 150 | +0.08% · 51% (all-candle +0.01% · 52%) | +0.41% · 62% (all-candle +0.24% · 55%) | +0.94% · 55% (all-candle +0.69% · 59%) | +0.53% |
| 20-SMA +3% | 95 | +0.25% · 57% (all-candle +0.01% · 52%) | +0.46% · 66% (all-candle +0.24% · 55%) | +1.00% · 63% (all-candle +0.69% · 59%) | +0.51% |
| 20-SMA +4% | 47 | +0.11% · 49% (all-candle +0.01% · 52%) | +0.23% · 49% (all-candle +0.24% · 55%) | +1.32% · 70% (all-candle +0.69% · 59%) | +0.60% |
| 20-SMA +5% | 17 * | -0.26% · 41% (all-candle +0.01% · 52%) | +0.16% · 47% (all-candle +0.24% · 55%) | +1.25% · 71% (all-candle +0.69% · 59%) | +1.66% |
| 10-SMA −1% | 201 | -0.54% · 40% (all-candle -0.21% · 44%) | -1.02% · 36% (all-candle -0.44% · 42%) | -1.22% · 38% (all-candle -0.89% · 39%) | -0.52% |
| 10-SMA −2% | 121 | -0.88% · 40% (all-candle -0.21% · 44%) | -1.44% · 33% (all-candle -0.44% · 42%) | -1.66% · 34% (all-candle -0.89% · 39%) | -1.04% |
| 10-SMA −3% | 49 | -0.57% · 43% (all-candle -0.21% · 44%) | -0.32% · 45% (all-candle -0.44% · 42%) | -1.43% · 33% (all-candle -0.89% · 39%) | -0.22% |
| 10-SMA −4% | 18 * | -1.19% · 28% (all-candle -0.21% · 44%) | +0.27% · 44% (all-candle -0.44% · 42%) | -2.14% · 22% (all-candle -0.89% · 39%) | -0.24% |
| 10-SMA −5% | 6 † | +2.14% · 50% (all-candle -0.21% · 44%) | +7.74% · 83% (all-candle -0.44% · 42%) | +4.31% · 50% (all-candle -0.89% · 39%) | +5.30% |
| 20-SMA −1% | 155 | -0.50% · 41% (all-candle -0.21% · 44%) | -0.61% · 42% (all-candle -0.44% · 42%) | -0.75% · 43% (all-candle -0.89% · 39%) | -0.47% |
| 20-SMA −2% | 117 | -0.78% · 42% (all-candle -0.21% · 44%) | -0.95% · 38% (all-candle -0.44% · 42%) | -1.37% · 41% (all-candle -0.89% · 39%) | -0.88% |
| 20-SMA −3% | 71 | -0.65% · 35% (all-candle -0.21% · 44%) | -1.19% · 41% (all-candle -0.44% · 42%) | -1.45% · 42% (all-candle -0.89% · 39%) | -1.44% |
| 20-SMA −4% | 40 | -1.14% · 30% (all-candle -0.21% · 44%) | -1.63% · 28% (all-candle -0.44% · 42%) | -2.09% · 30% (all-candle -0.89% · 39%) | -1.84% |
| 20-SMA −5% | 23 * | +0.38% · 48% (all-candle -0.21% · 44%) | +1.80% · 48% (all-candle -0.44% · 42%) | -0.63% · 22% (all-candle -0.89% · 39%) | +0.41% |
Weekly and monthly executable results
Weekly
| Signal | Trades | Hold 5 | Hold 10 | Hold 20 | Cross-back exit |
|---|---|---|---|---|---|
| 10-SMA +1% | 71 | +1.51% · 62% (all-candle +0.87% · 59%) | +1.95% · 63% (all-candle +1.99% · 67%) | +4.71% · 68% (all-candle +4.32% · 67%) | +1.93% |
| 10-SMA +2% | 69 | +1.23% · 64% (all-candle +0.87% · 59%) | +2.10% · 65% (all-candle +1.99% · 67%) | +3.71% · 66% (all-candle +4.32% · 67%) | +1.75% |
| 10-SMA +3% | 58 | +1.22% · 60% (all-candle +0.87% · 59%) | +2.49% · 67% (all-candle +1.99% · 67%) | +3.91% · 69% (all-candle +4.32% · 67%) | +2.58% |
| 10-SMA +4% | 41 | +0.23% · 51% (all-candle +0.87% · 59%) | +2.98% · 73% (all-candle +1.99% · 67%) | +3.65% · 61% (all-candle +4.32% · 67%) | +3.03% |
| 10-SMA +5% | 26 * | +0.47% · 50% (all-candle +0.87% · 59%) | +3.37% · 77% (all-candle +1.99% · 67%) | +6.33% · 73% (all-candle +4.32% · 67%) | +3.31% |
| 20-SMA +1% | 39 | +0.54% · 62% (all-candle +0.87% · 59%) | +1.67% · 74% (all-candle +1.99% · 67%) | +4.29% · 73% (all-candle +4.32% · 67%) | +3.72% |
| 20-SMA +2% | 42 | +0.91% · 64% (all-candle +0.87% · 59%) | +1.58% · 69% (all-candle +1.99% · 67%) | +2.56% · 65% (all-candle +4.32% · 67%) | +2.27% |
| 20-SMA +3% | 39 | +1.48% · 67% (all-candle +0.87% · 59%) | +2.26% · 72% (all-candle +1.99% · 67%) | +2.65% · 67% (all-candle +4.32% · 67%) | +3.12% |
| 20-SMA +4% | 32 | +1.83% · 66% (all-candle +0.87% · 59%) | +2.63% · 62% (all-candle +1.99% · 67%) | +3.93% · 62% (all-candle +4.32% · 67%) | +3.93% |
| 20-SMA +5% | 46 | +1.15% · 54% (all-candle +0.87% · 59%) | +1.74% · 54% (all-candle +1.99% · 67%) | +2.74% · 57% (all-candle +4.32% · 67%) | +2.75% |
| 10-SMA −1% | 50 | +0.33% · 51% (all-candle -1.07% · 37%) | -0.78% · 44% (all-candle -2.19% · 33%) | -4.45% · 32% (all-candle -4.52% · 32%) | -0.61% |
| 10-SMA −2% | 42 | -0.39% · 40% (all-candle -1.07% · 37%) | -2.03% · 40% (all-candle -2.19% · 33%) | -5.85% · 29% (all-candle -4.52% · 32%) | -1.67% |
| 10-SMA −3% | 29 * | -0.07% · 43% (all-candle -1.07% · 37%) | -1.36% · 52% (all-candle -2.19% · 33%) | -4.27% · 38% (all-candle -4.52% · 32%) | -2.17% |
| 10-SMA −4% | 24 * | -1.30% · 38% (all-candle -1.07% · 37%) | -2.58% · 33% (all-candle -2.19% · 33%) | -5.37% · 33% (all-candle -4.52% · 32%) | -3.13% |
| 10-SMA −5% | 12 * | -1.10% · 33% (all-candle -1.07% · 37%) | -3.21% · 33% (all-candle -2.19% · 33%) | -7.81% · 25% (all-candle -4.52% · 32%) | -3.17% |
| 20-SMA −1% | 31 | +0.61% · 50% (all-candle -1.07% · 37%) | -1.30% · 39% (all-candle -2.19% · 33%) | -3.38% · 39% (all-candle -4.52% · 32%) | -2.17% |
| 20-SMA −2% | 29 * | +0.46% · 50% (all-candle -1.07% · 37%) | -0.60% · 48% (all-candle -2.19% · 33%) | -2.39% · 45% (all-candle -4.52% · 32%) | -2.62% |
| 20-SMA −3% | 28 * | +0.11% · 43% (all-candle -1.07% · 37%) | -1.19% · 36% (all-candle -2.19% · 33%) | -3.31% · 43% (all-candle -4.52% · 32%) | -2.41% |
| 20-SMA −4% | 26 * | -0.45% · 35% (all-candle -1.07% · 37%) | -2.06% · 38% (all-candle -2.19% · 33%) | -4.95% · 35% (all-candle -4.52% · 32%) | -3.39% |
| 20-SMA −5% | 21 * | -2.41% · 29% (all-candle -1.07% · 37%) | -4.21% · 19% (all-candle -2.19% · 33%) | -8.18% · 19% (all-candle -4.52% · 32%) | -5.08% |
Monthly
| Signal | Trades | Hold 5 | Hold 10 | Hold 20 | Cross-back exit |
|---|---|---|---|---|---|
| 10-SMA +1% | 13 * | +3.83% · 69% (all-candle +4.66% · 69%) | +10.12% · 77% (all-candle +10.23% · 77%) | +29.94% · 100% (all-candle +21.58% · 89%) | +8.40% |
| 10-SMA +2% | 14 * | +1.14% · 71% (all-candle +4.66% · 69%) | +8.87% · 71% (all-candle +10.23% · 77%) | +27.72% · 100% (all-candle +21.58% · 89%) | +6.65% |
| 10-SMA +3% | 16 * | +1.73% · 62% (all-candle +4.66% · 69%) | +11.61% · 75% (all-candle +10.23% · 77%) | +24.57% · 93% (all-candle +21.58% · 89%) | +8.04% |
| 10-SMA +4% | 16 * | +1.85% · 62% (all-candle +4.66% · 69%) | +11.44% · 75% (all-candle +10.23% · 77%) | +23.75% · 93% (all-candle +21.58% · 89%) | +7.76% |
| 10-SMA +5% | 14 * | +5.59% · 64% (all-candle +4.66% · 69%) | +17.49% · 86% (all-candle +10.23% · 77%) | +21.76% · 92% (all-candle +21.58% · 89%) | +13.03% |
| 20-SMA +1% | 10 * | +8.54% · 80% (all-candle +4.66% · 69%) | +18.64% · 90% (all-candle +10.23% · 77%) | +31.11% · 100% (all-candle +21.58% · 89%) | +23.86% |
| 20-SMA +2% | 11 * | +6.85% · 73% (all-candle +4.66% · 69%) | +17.10% · 91% (all-candle +10.23% · 77%) | +28.17% · 100% (all-candle +21.58% · 89%) | +20.34% |
| 20-SMA +3% | 11 * | +3.72% · 64% (all-candle +4.66% · 69%) | +12.45% · 82% (all-candle +10.23% · 77%) | +24.36% · 100% (all-candle +21.58% · 89%) | +13.83% |
| 20-SMA +4% | 12 * | +0.50% · 58% (all-candle +4.66% · 69%) | +11.80% · 83% (all-candle +10.23% · 77%) | +24.45% · 100% (all-candle +21.58% · 89%) | +14.70% |
| 20-SMA +5% | 11 * | -1.67% · 55% (all-candle +4.66% · 69%) | +10.93% · 82% (all-candle +10.23% · 77%) | +26.64% · 100% (all-candle +21.58% · 89%) | +14.39% |
| 10-SMA −1% | 10 * | -5.30% · 27% (all-candle -4.86% · 31%) | -8.97% · 20% (all-candle -10.43% · 22%) | -23.49% · 20% (all-candle -21.78% · 11%) | -4.12% |
| 10-SMA −2% | 7 † | -6.05% · 25% (all-candle -4.86% · 31%) | -11.96% · 14% (all-candle -10.43% · 22%) | -26.13% · 29% (all-candle -21.78% · 11%) | -4.84% |
| 10-SMA −3% | 7 † | -6.33% · 25% (all-candle -4.86% · 31%) | -14.78% · 0% (all-candle -10.43% · 22%) | -30.22% · 17% (all-candle -21.78% · 11%) | -5.99% |
| 10-SMA −4% | 7 † | -10.50% · 25% (all-candle -4.86% · 31%) | -21.76% · 0% (all-candle -10.43% · 22%) | -43.45% · 0% (all-candle -21.78% · 11%) | -11.05% |
| 10-SMA −5% | 6 † | -12.22% · 14% (all-candle -4.86% · 31%) | -24.04% · 0% (all-candle -10.43% · 22%) | -46.85% · 0% (all-candle -21.78% · 11%) | -12.45% |
| 20-SMA −1% | 5 † | -7.26% · 33% (all-candle -4.86% · 31%) | -20.58% · 0% (all-candle -10.43% · 22%) | -42.80% · 0% (all-candle -21.78% · 11%) | -4.74% |
| 20-SMA −2% | 2 † | -12.18% · 33% (all-candle -4.86% · 31%) | -33.49% · 0% (all-candle -10.43% · 22%) | -62.19% · 0% (all-candle -21.78% · 11%) | -18.15% |
| 20-SMA −3% | 2 † | -15.77% · 0% (all-candle -4.86% · 31%) | -33.70% · 0% (all-candle -10.43% · 22%) | -63.51% · 0% (all-candle -21.78% · 11%) | -20.76% |
| 20-SMA −4% | 2 † | -15.77% · 0% (all-candle -4.86% · 31%) | -33.70% · 0% (all-candle -10.43% · 22%) | -63.51% · 0% (all-candle -21.78% · 11%) | -20.76% |
| 20-SMA −5% | 2 † | -15.77% · 0% (all-candle -4.86% · 31%) | -33.70% · 0% (all-candle -10.43% · 22%) | -63.51% · 0% (all-candle -21.78% · 11%) | -20.76% |
Long trades after daily up-signals earned roughly what a long trade started on any day earned (the all-candle figure in brackets), with differences far inside the sampling error at these sample sizes; short trades after down-signals mostly lost money after costs (the exceptions rest on 6 to 23 trades), as the rebounds in section 6 suggest.
11. Does a larger distance mean stronger confirmation, or a stretched move?
For daily upward signals the sustained-trend rate rises only from about 25% at 1% to 29%–32% at 3–4% (10-SMA), and the 20-SMA from 20% to 30%; the false-breakout rate for the 20-SMA falls from 35% to 6%. But the median 10-candle run-up already completed before the signal grows from +1.6% (1%) to +7.1% (5%), while the median forward return does not rise with the threshold (20-SMA: +1.1% at 3% versus +0.6% at 5% over 10 candles, with only 28 non-overlapping episodes at 5%). Larger distances therefore mostly identify moves that are already stretched; the confirmation they add is small and imprecise. For downward signals larger distances mark capitulation that tends to rebound.
12. Scorecard
Ranked by the lower bound of the sustained-trend improvement over the same-side baseline (95% Wilson interval on non-overlapping signals), among combinations with at least 20 signals. No combination is named "best" on its highest return alone.
| Combination | Signals / independent | Sustained trend: all signals · independent (95% CI) | Same-side baseline | Improvement (independent vs baseline) | Success at 10 vs baseline | Better than baseline in both halves | BH-significant at 10 candles | |
|---|---|---|---|---|---|---|---|---|
| Strongest | Daily 10-SMA +5% | 24 / 13 | 38% · 54% (29%–77%) | 20% | +33.5 pp (lower bound +8.8) | 62% vs 57% | yes | no |
| Strongest | Daily 10-SMA +3% | 92 / 55 | 29% · 38% (27%–51%) | 20% | +17.8 pp (lower bound +6.2) | 61% vs 57% | yes | no |
| Strongest | Daily 20-SMA +3% | 147 / 77 | 30% · 36% (27%–48%) | 21% | +15.6 pp (lower bound +5.7) | 65% vs 57% | yes | no |
| Strongest | Daily 10-SMA −5% | 33 / 17 | 30% · 35% (17%–59%) | 13% | +22.2 pp (lower bound +4.2) | 64% vs 43% | yes | no |
| Strongest | Daily 10-SMA +1% | 355 / 156 | 25% · 29% (22%–36%) | 20% | +8.5 pp (lower bound +2.0) | 57% vs 57% | yes | no |
| Strongest | Daily 10-SMA +4% | 50 / 30 | 32% · 37% (22%–54%) | 20% | +16.3 pp (lower bound +1.5) | 66% vs 57% | yes | no |
| Weakest | Weekly 20-SMA +5% | 56 / 35 | 27% · 23% (12%–39%) | 32% | -9.5 pp (lower bound -20.3) | 57% vs 63% | no | no |
| Weakest | Weekly 10-SMA +2% | 96 / 62 | 27% · 19% (11%–31%) | 30% | -10.8 pp (lower bound -18.7) | 60% vs 63% | no | no |
| Weakest | Monthly 10-SMA +4% | 20 / 14 | 40% · 36% (16%–61%) | 34% | +1.3 pp (lower bound -18.1) | 85% vs 77% | no | no |
| Weakest | Monthly 10-SMA +2% | 20 / 17 | 30% · 35% (17%–59%) | 34% | +0.9 pp (lower bound -17.1) | 80% vs 77% | no | no |
| Weakest | Monthly 10-SMA +3% | 22 / 16 | 36% · 38% (18%–61%) | 34% | +3.1 pp (lower bound -15.9) | 86% vs 77% | no | no |
| Weakest | Weekly 20-SMA +3% | 54 / 36 | 33% · 31% (18%–47%) | 32% | -1.8 pp (lower bound -14.4) | 69% vs 63% | no | no |
13. Plain-English answer
Which distance has historically given the most reliable evidence of a continuing Nifty trend, and how early or late does the signal arrive?
- Daily, upward. The best-supported evidence is a daily close roughly 2% to 4% above the 10- or 20-day SMA. After such a close, a sustained uptrend followed in about 29%–32% of all signals against about 20% for days already above their average, success at 5–10 days was 61%–65% against 56% unconditionally, and the improvement showed up in both halves of the 19-year history. It is a modest edge, not a statistically firm one (only 1 of 300 tests survive the multiple-comparison correction, and the lower bound of the improvement is only about +5.7 to +6.2 points). The 5% threshold looks best but rests on about 13 independent episodes. It is late: the index has typically already risen +3.8% in the previous 10 sessions, the median further gain over the next 10 is about +1.1%, and a close back across the average typically comes within about 7–11 sessions (about 29% of 10-SMA and 12% of 20-SMA signals fail within 5 sessions). The 20-SMA gives fewer false breakouts than the 10-SMA at the same distance.
- The one result that passes every test is short-term: after the first daily close at least 1% above the 10-day SMA, the next session closed higher 64% of the time against 53% unconditionally (n = 355), positive in both halves. It is a one-day effect and does not carry to longer horizons.
- Daily, downward. No reliable evidence of a continuing downtrend. After closes 3% or more below either average the median next-10-session return was positive (+0.5% and +1.2%), and only 18%–21% became sustained downtrends. These signals mostly mark a sell-off that is already -4.4% deep.
- Weekly. Sustained-trend rates after weekly up-signals (36% for 10-SMA +3%, 33% for 20-SMA +3%) are not distinguishable from the 32% baseline; the 20-week SMA at 3–4% shows higher short-horizon success (74% at 5 weeks) on only about 27 independent episodes. Down-signals again precede rebounds.
- Monthly. Between 6 and 22 signals per combination, so no conclusion is supportable. Direction of the median paths is up after both up and down signals, which reflects the long upward drift of the index.
The honest summary: after a daily close at least a few percent above its 10- or 20-day average, Nifty has continued higher somewhat more often than at random, but the move is usually well under way, the gain that follows is small relative to the run-up that preceded it, and roughly three in ten 10-SMA signals (and one in eight 20-SMA signals) fail within a week. Nothing here supports treating a particular threshold as a trading edge.
14. Disclosures, limits and sources
- The first run used a normal-approximation z-test; it was replaced by an exact binomial test because the approximation is invalid below 30 observations (one monthly result had been flagged significant only because of that). The like-for-like same-side baseline was added after the first run because the trend criterion's invalidation rule makes an all-candle baseline unfair. Neither change touched the definitions, thresholds or signals.
- Annual drift matters: Nifty rose in about 57% of 10-day windows over this period, so any upward test must beat that, and downward tests face a headwind.
- Candle-level overlap, regime changes (2008, 2020), index-composition changes and the Yahoo-sourced years before 2013 (closes only) are caveats; opens before 2013 are not used. Dividends are not included (price index).
- Executable results assume next-open fills with no slippage beyond the 0.10% round-trip cost; no tax, margin or financing.
- Sources: Yahoo Finance ^NSEI history; NSE India index closing archives; code and pre-registration in the project repository (
research/smatrend/). Education and research only; not investment advice.
Research and education only. Hypothetical and back-tested results have inherent limitations and do not guarantee future results. Not investment advice; the publisher is not presented as a SEBI-registered investment adviser or research analyst.