This one reversed our own expectation, so we publish it with the caveat attached.
We took every stock-month that met our movement criteria and split it by what KSE-100 had done in the 20 sessions before entry.
| KSE-100 in the prior 20 sessions | The stock then touched +20% |
|---|---|
| Falling | 52.4% |
| Flat or rising | 44.6% |
| Index above its 50-day average | 43.4% |
Buying into a weak index produced a higher hit rate than waiting for a healthy one. The gap is roughly 8 percentage points, on 825 observations.
The mechanism shows up when you look at what happened after entry rather than before:
| KSE-100 over the NEXT 30 sessions | Hit rate |
|---|---|
| Rose | 53.3% |
| Fell | 32.7% |
What you need is for the market to rise after you buy. Waiting until the index already looks strong means the rise you needed has partly happened. A weak index at entry is not itself good news - it simply leaves more of the move ahead of you.
The caveat, a separate ZEME study over 5 years and 2,465 observations found that market-up conditions beat market-down conditions on alpha. That measured a different thing - return relative to the index, not the probability of touching +20%. Two honest measurements of two different questions can disagree. Do not treat this as settled.
Measured: 52.4% of 397 entries made while KSE-100's 20-day return was negative touched +20%, against 44.6% of 428 entries made when it was flat or positive.