EMA Deviation
Median 1M return: +0.2%, 56% win rate.
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Multi-ticker price deviation from EMAs (20/50/200) measured in standard deviations.
- 10736 signals since 2000-01-01.
- Median 1M return: +0.2%, 56% win rate.
- SPY 5.4σ above +3σ EMA200 — 1D: +0.09% . 2D: +0.14% . 3D: +0.24% . 1W: +0.39%. Median 1 month forward: +1.4%.
Max Z-Score
+5.4σ
max deviation
Events
10736
total
SPY
+5.4σ
QQQ
+1.5σ
IWM
+2.1σ
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 | 4078 | 0.12 | 0.18 | 0.27 | 0.47 | 0.71 | 1.21 | 3.59 | 6.90 |
| +3σ | 2951 | 0.08 | 0.13 | 0.24 | 0.37 | 0.73 | 1.34 | 3.49 | 6.88 |
| -2σ | 2541 | 0.04 | 0.07 | 0.23 | 0.25 | 0.59 | 1.60 | 4.24 | 6.36 |
| -3σ | 1166 | 0 | -0.03 | 0.12 | 0.18 | 0.73 | 2.55 | 4.92 | 5.52 |