NR7 / inside-day breakout (Toby Crabel 1990)

Thesis (rejected): A day with the narrowest range of the last 7 bars, or an inside day, is a volatility coil — when the next day breaks out of the prior bar's range by ≥ 0.5 %, the move continues for 2-5 trading days.

Code: research/nr7_breakout.py Report: research/nr7_breakout_report.json (n=655,737 events)

Why it failed: On the full US universe (197k NR7 long-breakouts, 178k short-breakouts) the long side is ~0 edge across every horizon. The short side shows a tiny +0.4 % contrarian edge at 40d — i.e. the textbook-bearish breakout of an NR7 to the downside is on average a weak long opportunity. Same effect as bear-flag and death- cross: bearish technical signals on already-selling names are mean- reverting, not continuation.

Verdict: Skip. Likely needs intraday data to work the way Crabel described it. The short-side mean-reversion is already captured (in much bigger size) by the drawdown-bounce cohort.