| Date | DD From 20d High | 60d Run-Up at Trigger | SPMO +20d | Ratio +10d | Ratio +20d | Ratio +40d | Ratio +60d |
|---|---|---|---|---|---|---|---|
| 2026-06-05 ★ | -6.8% | +15% | +3.7% | +11.7% | +1.4% | +0.5% | — |
| 2026-03-30 | -6.2% | -8% | +20.5% | +12.1% | +13.7% | +26.3% | +35.6% |
| 2026-02-04 | -5.6% | -7% | +2.2% | +2.4% | +3.4% | +2.2% | +13.4% |
| 2025-11-13 | -5.6% | -2% | +1.2% | +1.0% | -0.5% | -1.3% | -3.3% |
| 2025-03-03 | -5.1% | +5% | -5.1% | -0.9% | -3.1% | +3.1% | +11.1% |
| 2024-07-17 | -8.5% | +9% | -0.7% | -1.3% | +0.8% | +0.5% | +2.7% |
| 2024-04-19 | -5.8% | +5% | +7.9% | +2.9% | +3.1% | +15.6% | +8.7% |
| 2023-01-10 | -5.6% | -7% | -1.4% | -1.3% | -5.0% | -2.8% | -1.0% |
| 2022-03-07 | -6.5% | -13% | +10.8% | +5.1% | +4.9% | +1.7% | +1.6% |
| 2022-01-05 | -5.0% | -2% | -4.7% | -3.0% | -2.7% | -6.2% | -3.6% |
| 2021-05-03 | -5.1% | -10% | -0.9% | -4.9% | -2.8% | +7.0% | +8.4% |
| 2021-02-22 | -6.9% | -3% | -1.0% | -9.4% | -4.8% | -1.8% | -9.3% |
| 2021-01-06 | -5.6% | -9% | +5.5% | +4.6% | +4.7% | -7.0% | -4.5% |
| 2020-11-09 | -6.7% | +1% | +1.9% | -4.1% | -3.7% | -4.8% | -2.1% |
| 2020-09-08 | -5.2% | +7% | +3.7% | +3.7% | +3.3% | +1.4% | -3.2% |
| 2020-06-04 | -5.4% | +3% | +3.2% | +4.9% | +7.7% | +11.3% | +15.5% |
| 2020-03-16 | -6.5% | +8% | +25.8% | +8.0% | +8.0% | +12.3% | +10.8% |
| 2019-10-23 | -5.0% | -5% | +2.8% | -2.5% | -0.6% | -1.9% | +1.4% |
| 2019-09-10 | -5.4% | -4% | -1.0% | +1.3% | +2.1% | -5.8% | -3.3% |
| 2019-04-17 | -5.6% | -2% | +2.5% | +1.9% | +4.8% | +6.0% | +5.6% |
| 2018-10-10 | -5.8% | -5% | +1.9% | +0.0% | +1.6% | -0.8% | +1.2% |
| 2016-11-09 | -5.1% | -3% | +0.9% | -2.8% | -5.2% | -2.5% | -1.8% |
| 2016-07-01 | -5.0% | -4% | +4.8% | -2.9% | +2.9% | +1.3% | +1.7% |
| 2015-12-23 | -5.1% | +nan% | -5.8% | +6.1% | +4.6% | +1.9% | -2.7% |
| Horizon | N | SPMO Median | SPMO Win% | SPYV Median | Ratio Mean | Ratio Median | Ratio Win% | Base Win% | Edge |
|---|---|---|---|---|---|---|---|---|---|
| Day 1 | 24 | +0.2% | 58% | +0.1% | +0.4% | +0.3% | 67% | 53% | +0.3% |
| Day 3 | 24 | +0.6% | 54% | +0.3% | +0.7% | +0.2% | 58% | 54% | +0.6% |
| Day 5 | 24 | +0.7% | 54% | +0.8% | +1.0% | +1.0% | 67% | 55% | +0.9% |
| Day 10 | 24 | +0.5% | 62% | +0.9% | +1.4% | +1.1% | 58% | 56% | +1.1% |
| Day 15 | 24 | +1.5% | 67% | +0.8% | +1.8% | +1.9% | 67% | 58% | +1.3% |
| Day 20 | 24 | +2.1% | 67% | +1.8% | +1.6% | +1.9% | 62% | 58% | +1.0% |
| Day 30 | 24 | +2.8% | 71% | +2.2% | +1.9% | +0.6% | 54% | 59% | +1.1% |
| Day 40 | 24 | +3.3% | 67% | +1.8% | +2.3% | +0.9% | 58% | 59% | +1.2% |
| Day 50 | 24 | +4.7% | 83% | +3.0% | +2.4% | -0.1% | 46% | 60% | +1.0% |
| Day 60 | 23 | +6.5% | 83% | +3.7% | +3.6% | +1.4% | 57% | 62% | +1.9% |
| Horizon | N (days) | Ratio Median | 25th pct | 75th pct | Win% | Base Win% | Base Median |
|---|---|---|---|---|---|---|---|
| Day 5 | 95 | -0.6% | -2.0% | +0.9% | 41% | 55% | +0.2% |
| Day 10 | 95 | -0.0% | -1.1% | +1.5% | 48% | 56% | +0.3% |
| Day 20 | 95 | +0.2% | -1.8% | +1.8% | 55% | 58% | +0.5% |
| Day 30 | 95 | +0.3% | -2.9% | +2.6% | 56% | 59% | +0.7% |
| Day 40 | 94 | -0.4% | -3.2% | +2.4% | 48% | 59% | +0.9% |
| Day 50 | 84 | +0.5% | -3.5% | +2.9% | 58% | 60% | +1.2% |
| Day 60 | 74 | +3.0% | -0.7% | +5.9% | 72% | 62% | +1.5% |
Two mechanical scale-out overlays on the same trigger. Enter 100% within two days of the signal, then manage the position in tranches — 20% / 30% / 30%, with the final 20% always exiting at the end of the study window.
Where the deviations come from. For every completed historical precedent we measure how far the trade travelled in your favor (its Maximum Favorable Excursion). The three profit deviations span that favorable-outcome distribution — a low, median and high reading of how far these trades historically ran. (For thin samples these are the literal weakest / typical / strongest outcomes; for larger samples they are robust quartiles, so one outlier can't set the rungs.) The three loss deviations are the exact mirror of the profit deviations — the same levels flipped below the entry, so a +4% first take-profit pairs with a −4% first stop. It's a symmetric bracket. A rung only fills if price actually trades there; unfilled tranches exit with the balance at the window close. Mirrored for shorts (the profit-taker buys the name back lower; the loss-taker covers higher).
⚠️ Small-sample caveat. With only a handful of completed precedents these levels are illustrative, in-sample anchors — a disciplined way to turn "what this pattern historically did" into entry, take-profit and stop levels, not a statistically validated system. The live bracket is the payoff, not the backtest averages.
| Rung | Return | Price | Action | Live status |
|---|---|---|---|---|
| Profit · 3rd dev | +10.0% | 2.69 | sell 30% | pending |
| Profit · 2nd dev | +4.9% | 2.57 | sell 30% | ● filled |
| Profit · 1st dev | +1.9% | 2.5 | sell 20% | ● filled |
| ● Entry | 0.0% | 2.45 | buy 100% | Day 58 |
| Loss · 1st dev | -1.9% | 2.4 | cut 20% | ● cut |
| Loss · 2nd dev | -4.9% | 2.33 | cut 30% | ● cut |
| Loss · 3rd dev | -10.0% | 2.2 | cut 30% | ● cut |
| Signal date | Peak (MFE) | Trough (MAE) | Buy & hold | Profit-taker | P-devs | Loss-taker | L-devs |
|---|---|---|---|---|---|---|---|
| 2015-12-23 | +7.9% | -3.1% | -2.1% | +0.8% | ●●○ | -2.0% | ●○○ |
| 2016-07-01 | +2.4% | -3.9% | +1.6% | +1.7% | ●○○ | +0.9% | ●○○ |
| 2016-11-09 | +0.3% | -4.7% | -0.9% | -0.9% | ○○○ | -1.1% | ●○○ |
| 2018-10-10 | +2.3% | -5.0% | +0.8% | +1.0% | ●○○ | -1.4% | ●●○ |
| 2019-04-17 | +7.4% | +0.0% | +5.2% | +4.5% | ●●○ | +5.2% | ○○○ |
| 2019-09-10 | +2.9% | -5.3% | -3.2% | -2.1% | ●○○ | -3.4% | ●●○ |
| 2019-10-23 | +0.7% | -4.0% | +0.7% | +0.7% | ○○○ | +0.2% | ●○○ |
| 2020-03-16 | +8.8% | +0.0% | +7.4% | +5.6% | ●●○ | +7.4% | ○○○ |
| 2020-06-04 | +17.7% | -1.2% | +17.7% | +8.4% | ●●● | +17.7% | ○○○ |
| 2020-09-08 | +5.0% | -7.8% | -5.8% | -1.0% | ●●○ | -4.8% | ●●○ |
| 2020-11-09 | +4.1% | -2.3% | +1.6% | +1.7% | ●○○ | +0.9% | ●○○ |
| 2021-01-06 | +5.2% | -11.3% | -5.8% | -1.1% | ●●○ | -6.0% | ●●● |
| 2021-02-22 | +1.1% | -8.8% | -8.0% | -8.0% | ○○○ | -5.8% | ●●○ |
| 2021-05-03 | +11.5% | -3.3% | +10.3% | +6.9% | ●●● | +7.9% | ●○○ |
| 2022-01-05 | +0.2% | -8.2% | -3.6% | -3.6% | ○○○ | -3.7% | ●●○ |
| 2022-03-07 | +4.9% | -0.8% | +0.7% | +2.2% | ●●○ | +0.7% | ○○○ |
| 2023-01-10 | +1.0% | -6.9% | -0.5% | -0.5% | ○○○ | -2.1% | ●●○ |
| 2024-04-19 | +18.2% | +0.0% | +9.0% | +6.7% | ●●● | +9.0% | ○○○ |
| 2024-07-17 | +2.0% | -5.2% | +1.9% | +1.9% | ●○○ | -0.9% | ●●○ |
| 2025-03-03 | +11.2% | -4.8% | +11.1% | +7.1% | ●●● | +8.5% | ●○○ |
| 2025-11-13 | +1.8% | -6.0% | -4.2% | -4.2% | ○○○ | -3.9% | ●●○ |
| 2026-02-04 | +14.1% | -2.1% | +14.1% | +7.7% | ●●● | +10.9% | ●○○ |
| 2026-03-30 | +34.0% | +0.0% | +28.0% | +10.5% | ●●● | +28.0% | ○○○ |
The SPMO/SPYV spread (S&P 500 Momentum vs S&P 500 Value) went parabolic in April–May 2026 — roughly +25% in ten weeks — peaked on June 3 at 2.550, then crashed −6.8% in two sessions before stabilizing. The trailing 60-session run-up still sits at -7.0%, the 99.8th percentile of the spread's entire history. Is this the start of a new regime — a durable rotation into value — or is it more of the same, a buyable shock inside a momentum supercycle? We test both hypotheses separately.
Yes, modestly. Across all 24 instances where the ratio fell ≥5% from its 20-session high, the spread's 20-day median forward return is +1.9% (vs +0.5% baseline) with a 62% win rate. Momentum shocks in this pair have historically been absorbed, not extended — the shock alone carries no regime information. SPMO itself posts a 20-day median of +2.1% after shocks. This is the "more of the same" base case.
No — historically the opposite. Across all 95 sessions where the trailing 60-day ratio return exceeded +15% (spanning 7 episodes: 2020 COVID recovery, early 2024, mid-2025, and now), the spread's 60-day forward median is +3.0% with a 72% win rate. Extreme momentum stretch has been a sign of a hot regime in progress, not a top. The near-term (day 10–30) is flat-to-choppy — the run-up pauses — but three months out, momentum was higher in nearly nine out of ten observations. Critical caveat: those observations are heavily autocorrelated — effectively ~7 independent episodes, not 95 samples. Treat the 90%+ figure as "every prior episode resolved higher," not as a precise probability.
The current event is rarer than either cohort: a ≥5% spread shock while the 60-day run-up exceeded +10%. That has happened exactly twice in SPMO's history: July 23, 2024 — the onset of the great momentum unwind — and June 5, 2026. The 2024 path is the cautionary template: the ratio fell another -7.0% within 9 sessions, V-bounced back to flat by day 20, rolled over again (−5.7% at day 30), and was still −1.2% at day 60. Two months of violent chop — yet no regime change: momentum resumed leadership within a quarter and went on to make new relative highs throughout 2025. The current episode is tracking ahead of the 2024 path so far (-2.6% at day 59 vs -0.9% at the same point in 2024).
The data does not support a new-regime call from price action alone. Every prior parabolic stretch resolved with momentum higher three months later, and spread shocks have historically been absorbed. The honest read: regime intact, path hostile — the lone hybrid precedent says the next 4–8 weeks can stay violently choppy before the trend reasserts.
SPMO's history begins October 2015 — one factor cycle. The stretch cohort is ~7 independent episodes; the hybrid precedent is a sample of one. Standard errors on the shock-cohort win rates are roughly ±20 pct pts. Momentum-factor unwinds are famously fat-tailed (2009, 2016, 2024): the median path understates the tail. Past conditional probabilities do not guarantee future returns.