CBOE — Quantitative Analysis

17 backtested studies · Financial · updated daily

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Backtested studies for CBOE

• Banana Line
  Per-ticker 325-period MA (daily + weekly) for long-term mean-reversion + crossover analysis.
• Big Move Followthrough
  Analyzes forward returns after large single-day price moves, sliced by MA regime.
• Bullish Engulfing
  Bullish engulfing pattern detector with forward-return backtest.
• Valuation & Capital Health
  EV/Sales Z-Score and cash runway metrics.
• Growth Breakout
  Catalyst-driven 30-day high breakout on confirmed volume, with trend-leader gate and ATR-trailing exit. Targets explosive growth names where asymmetric payoffs reward wider trailing stops.
• Growth Scorecard
  Composite 12-point fundamental and technical scorecard.
• PEAD
  Post-Earnings Announcement Drift — forward returns by surprise bucket.
• Relative Strength
  Analyzes ticker performance vs SPY across multiple dimensions.
• Revenue & FCF Health
  Revenue acceleration, gross margin, FCF, and Rule of 40.
• Bear Resilience
  Per-ticker SPY-relative resilience during drawdowns.
• Dip Near ATH
  Consecutive down days while price is near its all-time high and drawdown is shallow — a high-probability bounce setup in a leader.
• Extension
  Per-ticker distance from 325MA, percentile-ranked vs own history.
• Ticker Floor
  Rising-MA dip-buy support: while the trend is up (EMA50 > 200, rising), pullbacks to the 13/21-EMA are high-probability dip-buys with a volatility-scaled swing target.
• MA Confluence
  Per-ticker triple-MA bull stack with pullback to nearest MA.
• 50MA Extension
  Per-ticker distance from 50MA, percentile-ranked vs own history.
• Ticker MACD Cross
  Bullish MACD crossovers (MACD up through signal) while a name is within 5% of its all-time high — momentum re-ignition in a leader, with forward 1W/1M/3M returns.
• Volume Climax
  Per-ticker volume-climax detector with intact long-term trend.