Does McClellan Oscillator actually work?

DEAD

No edge left once tested on a fair footing.

The claim

Times the market via breadth momentum (19/39-day EMA of advances minus declines) — Sherman & Marian McClellan / breadth tradition

What we did

Tested against Buy & hold SPY (gates) / same book no exit (overlay), 2012-2026, built from real S&P advance-decline ($ADSPD).

The result

Result: -0.31 dSharpe (vs buy-hold)

dSharpe -0.31 (IS +0.02 -> OOS -0.53, collapses out-of-sample)

Verdict

The famous McClellan Oscillator LOSES to buy-and-hold as a risk gate and collapses out-of-sample -- a fast, jumpy reading that whipsaws. Our Risk Reducer beats it decisively (+0.48 vs -0.31).

What the test did and did not do

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

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.

← MOVE<100 All findings McClellan Summation Index →

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.