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Finaxion Research · Only invest above the 200-day average · single stocks · Recomputed 2026-09-10

Does Only invest above the 200-day average work on CME?

Only invest above the 200-day average does not beat buy-and-hold on CME: -7.0 points a year over 24 years.

Total return
×17
Buy and hold
×70
CAGR
12.6%
Sharpe
0.48
Max drawdown
-57.6%
Trades
141
Out of sample
partly
Years
24
1×10×76×200320052007200920112013201520172019202120232025
StrategyCME

Findings

  1. Only invest above the 200-day average does not beat buy-and-hold on CME: -7.0 points a year over 24 years.
  2. Against the S&P 500 over the same window: +1.3 points a year.
  3. Total return ×17 versus ×70 for buy-and-hold, with 141 trades.
  4. The result holds only partly out of sample.
  5. Maximum drawdown -57.6%.
  6. It beats in neither half of the history (split at 2014).
  7. It ranks #50 of 235 markets for this strategy by annual excess over the S&P 500.

Findings derived from the full panel. Each carries its number and its denominator; the computations are reproducible with artifact 7a691ad4255c.

Exactly what was tested

Long while the close is above the 200-day SMA; exit when the close crosses below it. Next-close execution.

How to read it

The verdict compares the strategy with buying and holding CME over the same window, with round-trip costs per asset class. “Out of sample” is walk-forward: the rule is fit on one stretch and judged on the next. A result that beats in the full sample but not out of it is overfit. Full methodology in the protocol. How we test.

Open this backtest with its trades   Trades (CSV)

Every strategy on CME → · Full page for Only invest above the 200-day average →

How to cite

Finaxion Research (2026). Does Only invest above the 200-day average work on CME?. Daily backtest 1962-01-01–2026-08-31, artifact 7a691ad4255c. https://finaxion.app/en/research/200-day-sma-filter/cme

Not a recommendation. Past performance does not guarantee future results.