Retest Failure Strength

Quick Reference

Property	Value
Dimension	signal
Category	momentum
Version	v1.0
Output Column	retest_failure_strength

Price drawdown from window peak 鈥?measures failure to reclaim a level after retest (S/R flip confirmation).

Formula

(price / (rolling_max(price, window) + 1e-10)) - 1

CDM Inputs

Column	CDM Table	Description
price	cdm_trade_enriched	Trade data enriched with bar context 鈥?price, volume, side, trade type

Parameters

Parameter	Type	Default	Description
window	integer	50	Lookback window in ticks for peak reference

Output

Column: retest_failure_strength

Negative deviation from window maximum (0 = at peak, negative = below peak)

Market Intuition & Trading Rationale

Retest Failure Strength captures the classic "support becomes resistance" (or vice versa) phenomenon at the microstructure level. When price breaks through a level but then returns to test it, the retest outcome reveals whether the level has truly flipped. If price cannot reclaim the prior peak (stays negative), the breakout has failed 鈥?the old level is now resistance, and the reversal is confirmed.

The feature computes the percentage drawdown from the rolling maximum: 0 means price is at the window peak (no failure), increasingly negative values mean price is falling further from the peak. This is a continuous measure rather than a binary "failed/not failed" flag 鈥?the magnitude of the failure carries information. A shallow failure (-0.5%) is ambiguous; a deep failure (-3%) with sustained negative readings is a high-conviction reversal signal.

The rolling_max reference creates a dynamic, adaptive peak level that moves with the market. In a trending-up market, the peak is constantly being refreshed and retest_failure_strength stays near 0. In a reversal, the peak becomes "stale" (price stops reaching new highs) and retest_failure_strength drifts negative 鈥?capturing the degradation of upward momentum before it shows in price levels.

Usage Cases

• Failed breakout detection: After a breakout pushes price to a new peak, monitor retest_failure_strength on the retracement. Values below -0.02 (2% below peak) that persist for multiple ticks confirm the breakout is failing and a reversal is underway.
• S/R flip confirmation: When price breaks below a support level then rallies back, retest_failure_strength that stays negative (below the pre-breakdown peak) confirms the old support is now resistance. Enter short on the failed retest.
• Trend degradation early warning: In an uptrend, retest_failure_strength drifting from 0 toward -0.01 signals that price is no longer making fresh highs 鈥?the trend is stalling. This is an early exit signal for long positions before an actual price decline.
• feature set integration: In the microstructure_breakout pack, retest_failure_strength detects when a breakout retest fails 鈥?the core reversal signal in breakout-failure scenarios. When combined with abs_price_distance (confirming price is near the mean/retest zone), negative readings trigger the failure signal.

YAML Definition

name: retest_failure_strength
description: Price drawdown from window peak 鈥?measures failure to reclaim a level
  after retest (S/R flip confirmation).
category: momentum
dimension: signal
version: v0.9.0 (Beta)
required_inputs:
  - price
output_column: retest_failure_strength
output_description: Negative deviation from window maximum (0 = at peak, negative = below peak)
tags:
  - momentum
  - mean_reversion
  - signal
parameters:
  window:
    type: integer
    description: Lookback window in ticks for peak reference
    required: false
    default: 50
formula: (price / (rolling_max(price, window) + 1e-10)) - 1