Does McClellan Summation Index actually work?

DEAD

No edge left once tested on a fair footing.

The claim

Marks bull/bear regimes via the cumulative McClellan Oscillator — McClellan / breadth tradition

What we did

Tested against Buy & hold SPY (gates) / same book no exit (overlay), 2012-2026, cumulative sum of the McClellan Oscillator.

The result

Result: -0.25 dSharpe (vs buy-hold)

dSharpe -0.25 to -0.42 across every rule (rising / vs-mean / level); all noise

Verdict

Every anchor-free rule on the Summation Index (rising, versus rolling-mean, level) scores negative and fails the noise floor. A famous indicator, a losing gate.

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.

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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.