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Signal Backtest
Event-study point-in-time: publication lags, non-overlapping windows, costs
Signal
COT extreme — Crowded Long (P≥95)
COT extreme — Crowded Short (P≤5)
Bullish Divergence (≥ +40)
Bearish Divergence (≤ −40)
Conviction-lite ≥ 75
Conviction-lite ≤ 25
RSI 14 — crosses below 30 (oversold)
RSI 14 — crosses above 70 (overbought)
Golden Cross — SMA 50 > SMA 200
Death Cross — SMA 50 < SMA 200
MACD — bullish crossover
MACD — bearish crossover
Bollinger — lower band breakdown (20, 2σ)
Bollinger — upper band breakout (20, 2σ)
Horizon
5D
20D
60D
Costs
0 bps
10 bps
25 bps
50 bps
Run
