The Test Bench › gate

Does Small-Cap Breadth (Russell % above 50-Day) actually work?

DEAD

No edge left once tested on a fair footing.

The claim

Small-Cap Breadth (Russell % above 50-Day) times market turns — Classic market-breadth canon

What we did

Tested against Buy & hold SPY, 2012-2026, thresholds swept, null-floor controlled.

The result

Result: 0.2 dSharpe (vs buy-hold), OOS

OOS edge +0.20 vs buy-hold; data-mining noise floor ~+0.40 (below it = noise)

Verdict

Small-cap participation -- 'the generals vs the troops.' OOS +0.20 -- noise. Makes a great narrative and a useless signal.

What the test did and did not do

survivorship-free universe
net of real costs
tested out of sample
point-in-time data
checked for look-ahead

Almost nobody publishing a backtest says which of these they did. We list the ones we failed as well as the ones we passed.

Tested 2026-06-23. The same treatment, applied to every other system, is on the test bench.

← SKEW<145 All findings StLouisFSI<0.5 →

Written with AI assistance from our own test database. The numbers are computed, not composed.
General market commentary for education, not personalised investment advice. Backtested results are hypothetical. Trading carries a real risk of loss.