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.
- 8589 signals since 2000-01-01.
- Median 1M return: +0.3%, 57% win rate.
- SPY 7.3σ above +3σ EMA200 — 1D: +0.08% . 2D: +0.16% . 3D: +0.27% . 1W: +0.43%. Median 1 month forward: +1.6%.
Max Z-Score
+7.3σ
max deviation
Events
8589
total
SPY
+7.3σ
QQQ
+6.1σ
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 | 3369 | 0.12 | 0.19 | 0.30 | 0.50 | 0.74 | 1.35 | 3.93 | 7.40 |
| +3σ | 2528 | 0.07 | 0.13 | 0.24 | 0.39 | 0.77 | 1.40 | 3.82 | 7.46 |
| -2σ | 1924 | 0.06 | 0.12 | 0.25 | 0.30 | 0.95 | 2.01 | 5.28 | 8.38 |
| -3σ | 768 | -0.03 | 0.10 | 0.24 | 0.18 | 1.17 | 3.19 | 6.46 | 7.80 |