Wyckoff Accumulation and Distribution
NO EDGEPrice action and volume are interpreted together to distinguish accumulation from distribution within a trading range. A breakout is favored when it confirms the inferred balance of supply and demand.
| THE STRATEGY | $SPX BUY & HOLD | |
|---|---|---|
| Growth a year (CAGR) | 0.2% | 9.0% |
| Return per unit of risk (Sharpe) | 0.06 | 0.66 |
| Worst fall (max drawdown) | -35.2% | -52.6% |
// GROWTH OF $1, LOG SCALE
Tested on years it never saw (from the split): 1.4% a year against 12.4% for the benchmark; Sharpe -0.05 in the training years, 0.18 after.
After 25 bps of trading costs: -2.2% a year. WITHIN RANDOM
// DECADE BY DECADE
| ERA | STRATEGY | BENCHMARK |
|---|---|---|
| 1990s | -0.2% | 15.5% |
| 2000s | -2.2% | -2.6% |
| 2010s | 0.6% | 11.6% |
| 2020s | 3.7% | 14.1% |
// THE IDEA, AS PUBLISHED
Richard D. Wyckoff, 'Studies in Tape Reading' (as Rollo Tape, 1910) and his later stock market course (about 1931) · 1910
- Mark a trading range after a prior decline (accumulation) or advance (distribution)
- Judge effort vs result: volume and bar spread on rallies and declines inside the range
- Go long on a successful test after a spring or on a backup after a breakout; inverse for distribution
- Risk point below the spring or back inside the range
A real computation on the QuantGPT warehouse, survivorship-free, walk-forward. Gross returns, no costs except where stated. Past performance is not a promise. Findings, not advice. COMPUTED 2026-09-24 20:50 ON THE QUANTGPT WAREHOUSE. COMPANIES THAT LATER DELISTED ARE NOT IN THIS UNIVERSE YET (A FIX IS IN PROGRESS), SO THE RESULT LEANS TOWARD SURVIVORS. FUNDAMENTALS BY FILING DATE. NOT INVESTMENT ADVICE.