EMA Deviation
Median 1M return: +0.3%, 57% win rate.
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Multi-ticker price deviation from EMAs (20/50/200) measured in standard deviations.
- 8554 signals since 2000-01-01.
- Median 1M return: +0.3%, 57% win rate.
- SPY 8.1σ above +3σ EMA200 — 1D: +0.08% . 2D: +0.16% . 3D: +0.27% . 1W: +0.43%. Median 1 month forward: +1.6%.
Max Z-Score
+8.1σ
max deviation
Events
8554
total
SPY
+8.1σ
QQQ
+3.6σ
IWM
+6.7σ
When to run this study
Track price deviation from EMAs in standard deviations. Triggers when price crosses 2 or 3 sigma levels above or below 20, 50, and 200-period EMAs. Useful for identifying mean-reversion setups at extreme deviations.
Historical results
All Tickers: Returns by σ Level
| σ | N | 1D | 2D | 3D | 1W | 2W | 1M | 3M | 6M |
|---|---|---|---|---|---|---|---|---|---|
| +2σ | 3355 | 0.12 | 0.19 | 0.30 | 0.50 | 0.75 | 1.36 | 3.92 | 7.31 |
| +3σ | 2515 | 0.07 | 0.13 | 0.24 | 0.40 | 0.79 | 1.40 | 3.80 | 7.41 |
| -2σ | 1918 | 0.04 | 0.11 | 0.24 | 0.29 | 0.93 | 1.98 | 5.28 | 8.18 |
| -3σ | 766 | -0.03 | 0.08 | 0.22 | 0.17 | 1.15 | 3.16 | 6.46 | 7.70 |