FINAXIONResearch
Finaxion Research · Trend following · Updated 2026-09-10

ADX: trade only in strong trends

Works in few markets

Its ground: crypto, on daily, buying several assets in signal — it beats in 16 of 961 combinations.

Markets beaten
14 / 489
Vs. index
-10.1 pts/yr
Total return
30.4%
Sharpe
-0.27
Max drawdown
-40.6%
Trades
1089
1×10×19941997200020032006200920122015201820212024
StrategyBuy and hold

Detail on the index (S&P 500), which is the reference for the chart, the robustness suite and the neighbours.

What works and what does not in ADX: trade only in strong trends?

The strategy ADX: trade only in strong trends does not work consistently in any asset class; it does least badly on cryptocurrencies: 1 of 14 (7%). It does worst on single stocks: it beats in 12 of 904. Of the 14 daily markets where it beats, 5 hold out of sample (36%), but no neighbouring parameter beats the index: the published setting is a point, not a region.

  1. There is no asset class where ADX: trade only in strong trends works consistently; it does least badly on cryptocurrencies: 1 of 14 (7%).
  2. It does worst on single stocks: it beats in 12 of 904.
  3. Of the 14 daily markets where it beats, 5 hold out of sample (36%).
  4. No neighbouring parameter beats the index: the published setting is a point, not a region.
  5. It improves as the bar gets longer: on 5-minute bars it beats in 0 of 118; on 4-hour bars, in 2 of 118.
  6. It has aged: in 55 markets it beat in the first half of the history and stopped in the second; the reverse happens in only 13.
  7. Its best daily market is BTC/USD: +32.0 points a year over the S&P 500 across 12 years, 391 trades.
  8. Its worst daily market is AVB: -21.8 points a year against the S&P 500.

Findings derived from the full panel. Each carries its number and its denominator; the computations are reproducible with artifact 5bea546c394a.

The promise

“With ADX above 25 there is a trend; if +DI crosses above −DI, buy. That’s how you avoid sideways markets.”

Exactly what we tested

Long while +DI(14) is above −DI(14); flat when −DI overtakes +DI. Next-close execution.

Why

In every market

Indices and ETFs · 0 / 6 · against the s&p 500 over the same window: 0 / 6

AssetReturnBuy and holdDifferenceVs. S&P 500 (CAGR/yr)TradesOut of sample
S&P 500 (SPY)+30.4%+3081.0%-3050.7%-10.1 pts1089OVERFIT
Nasdaq-100 (QQQ)+193.6%+1565.8%-1372.3%-4.6 pts885OVERFIT
Russell 2000 (IWM)-29.8%+801.9%-831.7%-10.0 pts954OVERFIT
Emergentes (EEM)+23.1%+830.9%-807.9%-10.8 pts859OVERFIT
Oro (GLD)+118.2%+820.3%-702.1%-7.3 pts770OVERFIT
Bonos 20 años (TLT)-45.2%+131.2%-176.4%-13.7 pts863OVERFIT

Balanced portfolio: Dow 30 (max 10 positions) · 0 / 1 · against the s&p 500 over the same window: 0 / 1

AssetReturnBuy and holdDifferenceVs. S&P 500 (CAGR/yr)TradesOut of sample
Dow 30 (cartera) (30 · max 10)+417.1%+3081.0%-2663.9%-5.8 pts15164—

Balanced portfolio: Nasdaq-100 (max 20 positions) · 1 / 1 · against the s&p 500 over the same window: 1 / 1

AssetReturnBuy and holdDifferenceVs. S&P 500 (CAGR/yr)TradesOut of sample
Nasdaq-100 (cartera) (98 · max 20)+4561.9%+3081.0%+1480.9%+1.3 pts32324—

Balanced portfolio: S&P 500 (max 25 positions) · 0 / 1 · against the s&p 500 over the same window: 0 / 1

AssetReturnBuy and holdDifferenceVs. S&P 500 (CAGR/yr)TradesOut of sample
S&P 500 (cartera) (498 · max 25)+65.4%+3081.0%-3015.6%-9.3 pts44021—

Stocks, one by one (Dow 30 + Nasdaq-100) · 10 / 470 · against the s&p 500 over the same window: 26 / 216

AssetReturnBuy and holdDifferenceVs. S&P 500 (CAGR/yr)TradesOut of sample
AAPL+94177.1%+322813.1%-228636.0%before 19931347OVERFIT
AMGN+1327.8%+187272.6%-185944.8%before 19931363OVERFIT
AMZN+7114.4%+265196.1%-258081.7%+6.1 pts921OVERFIT
AXP-62.7%+27029.4%-27092.1%before 19931774OVERFIT
BA+2861.4%+108724.7%-105863.2%before 19932070OVERFIT
CAT+4005.4%+172708.3%-168702.9%before 19932010OVERFIT
CRM+717.2%+5992.9%-5275.7%-1.0 pts671OVERFIT
CSCO+717.3%+222956.6%-222239.3%before 19931122MARGINAL
CVX+46.0%+68037.6%-67991.6%before 19932153OVERFIT
DIS+5291.3%+189847.3%-184556.0%before 19932017OVERFIT
GOOGL+577.7%+13534.3%-12956.6%-2.2 pts683OVERFIT
GS+306.3%+2027.1%-1720.9%-3.2 pts919MARGINAL
HD+1051.6%+1985758.9%-1984707.3%before 19931424OVERFIT
HON-58.6%+21058.8%-21117.4%before 19932116OVERFIT
IBM+408.9%+16203.8%-15794.9%before 19932035OVERFIT
JNJ+10.9%+445196.6%-445185.7%before 19932164OVERFIT
JPM+594.4%+34522.5%-33928.1%before 19931446OVERFIT
KO+550.4%+199349.6%-198799.2%before 19932111OVERFIT
MCD+1203.1%+236707.0%-235503.8%before 19931928OVERFIT
MMM+37.6%+31160.0%-31122.4%before 19932094OVERFIT
MRK+98.3%+233375.1%-233276.8%before 19932045OVERFIT
MSFT+2053.3%+859506.0%-857452.7%before 19931339MARGINAL
NKE+1500.2%+32003.7%-30503.5%before 19931392OVERFIT
NVDA+48165.2%+587720.8%-539555.6%+16.4 pts839MARGINAL
PG+52.0%+59706.6%-59654.7%before 19932160OVERFIT
SHW+18.5%+231766.6%-231748.0%before 19931530OVERFIT
TRV+102.0%+12287.7%-12185.8%before 19931598OVERFIT
UNH+1045.6%+353381.4%-352335.7%before 19931332OVERFIT
V-21.0%+2961.1%-2982.1%-13.4 pts665INCONCLUSIVE
WMT+71.7%+915365.3%-915293.6%before 19931854OVERFIT
ABNBn/a · history < 10y (5.7y)
ADBE+2398.6%+147731.1%-145332.5%before 19931223MARGINAL
ADI-60.9%+81534.0%-81595.0%before 19931508OVERFIT
ADP+82.9%+74205.9%-74123.0%before 19931527OVERFIT
ADSK+301.2%+58084.6%-57783.3%before 19931395OVERFIT
AEP+515.9%+13797.6%-13281.7%before 19932008MARGINAL
ALABn/a · history < 10y (2.4y)
ALNY+1494.7%+3338.4%-1843.8%+2.3 pts706MARGINAL
AMAT+1491.5%+664974.8%-663483.3%before 19931470OVERFIT
AMD+5865.0%+14863.3%-8998.3%before 19931472MARGINAL
APPn/a · history < 10y (5.4y)
ARMn/a · history < 10y (3.0y)
ASML+225.2%+96277.5%-96052.3%-7.2 pts1036OVERFIT
AVGO+342.4%+32512.1%-32169.7%-5.6 pts596INCONCLUSIVE
AXON+10314.2%+123065.2%-112751.0%+10.8 pts784OVERFIT
BKNG+151.1%+922.2%-771.1%-5.2 pts822OVERFIT
BKR-90.9%+933.9%-1024.7%before 19931330OVERFIT
CCEP+246.5%+7081.8%-6835.3%before 19931297OVERFIT
CDNS+136.8%+16839.0%-16702.2%before 19931239OVERFIT
CEGn/a · history < 10y (4.6y)
CMCSA+135.0%+47049.9%-46914.9%before 19931449OVERFIT
COST-8.9%+12800.7%-12809.6%before 19931356OVERFIT
CPRT+146.1%+21554.9%-21408.9%-8.1 pts1041OVERFIT
CRWDn/a · history < 10y (7.2y)
CSX-67.4%+40426.1%-40493.5%before 19931505OVERFIT
CTAS+982.5%+123411.3%-122428.8%before 19931339OVERFIT
DASHn/a · history < 10y (5.7y)
DDOGn/a · history < 10y (6.9y)
DXCM+1309.9%+3002.6%-1692.6%+1.9 pts667MARGINAL
EAn/a · history < 10y (9.0y)
EXC+288.4%+17730.6%-17442.1%before 19931710OVERFIT
FANG+14.2%+1406.8%-1392.6%-13.9 pts508INCONCLUSIVE
FAST+7535.1%+262350.7%-254815.5%before 19931144MARGINAL
FER+78.0%+593.7%-515.6%-10.6 pts198INCONCLUSIVE
FTNT+33.4%+10184.6%-10151.2%-12.5 pts539INCONCLUSIVE
GEHCn/a · history < 10y (3.7y)
GILD+214.2%+33594.8%-33380.6%before 19931065OVERFIT
HONAn/a · history < 10y (0.2y)
IDXX+650.9%+58789.5%-58138.6%before 19931114OVERFIT
INTC+735.1%+49216.9%-48481.8%before 19931512OVERFIT
INTU-15.0%+15430.2%-15445.2%-11.3 pts1122MARGINAL
ISRG+667.8%+18484.9%-17817.0%-0.3 pts826MARGINAL
KDP+21.6%+1090.2%-1068.6%-10.7 pts615INCONCLUSIVE
KHC-37.1%-42.2%+5.1%-18.4 pts314INCONCLUSIVE
KLAC+600.0%+289399.1%-288799.1%before 19931404OVERFIT
LIN-65.2%+10777.0%-10842.2%before 19931228OVERFIT
LITE+481.1%+5280.9%-4799.8%+3.0 pts355INCONCLUSIVE
LRCX+302.9%+159814.6%-159511.7%before 19931368OVERFIT
MAR+237.6%+2539.5%-2301.9%-4.5 pts922OVERFIT
MCHP+0.2%+41961.5%-41961.3%-10.8 pts1072OVERFIT
MDLZ-47.6%+461.4%-509.0%-11.9 pts818OVERFIT
MELI+1271.7%+6911.0%-5639.3%+3.6 pts575INCONCLUSIVE
META+10.9%+1410.2%-1399.4%-14.5 pts455INCONCLUSIVE
MNST+17124.7%+61968.9%-44844.1%before 19931132MARGINAL
MPWR+299.3%+15002.1%-14702.8%-4.4 pts732OVERFIT
MRVL+386.1%+1645.0%-1258.9%-2.2 pts870OVERFIT
MSTR+40701.6%+1158.6%+39543.0%+14.8 pts849OVERFIT
MU+4299.6%+70877.8%-66578.2%before 19931297MARGINAL
NFLX+8953.4%+67643.2%-58689.8%+10.1 pts641MARGINAL
NXPI-16.2%+1721.2%-1737.3%-15.8 pts556INCONCLUSIVE
ODFL-95.1%+36444.7%-36539.8%before 19931220OVERFIT
ORLY+638.8%+55255.7%-54616.9%-4.7 pts1032OVERFIT
PANW+148.5%+4215.4%-4066.9%-8.3 pts441INCONCLUSIVE
PCAR+750.1%+57106.4%-56356.3%before 19931424OVERFIT
PDDn/a · history < 10y (8.1y)
PEP-71.9%+37760.7%-37832.6%before 19931840OVERFIT
PLTRn/a · history < 10y (5.9y)
PYPL-50.6%+44.7%-95.3%-20.5 pts342INCONCLUSIVE
QCOM+123.1%+50430.1%-50307.1%before 19931097OVERFIT
REGN+45.1%+3718.3%-3673.2%before 19931048OVERFIT
ROP+189.2%+26003.6%-25814.3%before 19931031OVERFIT
ROST+4726.2%+55801.1%-51074.9%before 19931224MARGINAL
SBUX-21.6%+43019.5%-43041.2%before 19931145OVERFIT
SHOP+417.2%+8568.8%-8151.6%+1.8 pts349INCONCLUSIVE
SNDKn/a · history < 10y (1.5y)
SNPS-91.3%+5482.1%-5573.4%before 19931181OVERFIT
STX+13994.3%+15614.6%-1620.3%+11.8 pts714OVERFIT
TER+3960.5%+31309.8%-27349.3%before 19931618MARGINAL
TMUS-32.1%+318.0%-350.0%-12.9 pts621INCONCLUSIVE
TRI-43.4%+578.4%-621.8%-13.0 pts781OVERFIT
TSLA+1822.5%+23002.8%-21180.3%+5.0 pts517INCONCLUSIVE
TTWO+101.3%+5509.7%-5408.4%-7.7 pts920OVERFIT
TXN-54.1%+38040.6%-38094.7%before 19931832OVERFIT
VRTX+210.9%+12000.4%-11789.6%before 19931073MARGINAL
WBD-54.1%+302.2%-356.2%-14.7 pts721OVERFIT
WDAY-23.2%+305.5%-328.7%-16.7 pts471INCONCLUSIVE
WDC+55862.5%+66202.2%-10339.8%before 19931398GENERALIZED
XEL+815.7%+7388.9%-6573.2%before 19931610OVERFIT
A-12.6%+486.3%-499.0%-8.9 pts863OVERFIT
ABBV+298.6%+1156.0%-857.4%-4.2 pts391INCONCLUSIVE
ABT-19.2%+62056.2%-62075.4%before 19931576OVERFIT
ACGL-61.4%+4268.0%-4329.4%-13.6 pts1042OVERFIT
ACN+239.1%+1726.5%-1487.4%-4.5 pts793OVERFIT
ADM-92.1%+9265.6%-9357.7%before 19931574OVERFIT
AEE-30.9%+813.9%-844.8%-10.6 pts956OVERFIT
AES+344.6%+647.5%-302.9%before 19931048OVERFIT
AFL+246.2%+205848.4%-205602.2%before 19931498OVERFIT
AIG+178.5%+468.3%-289.8%before 19931658OVERFIT
AIZ+54.5%+1585.5%-1531.0%-8.9 pts737OVERFIT
AJG+3214.4%+41899.5%-38685.1%before 19931257OVERFIT
AKAM-18.8%-25.2%+6.4%-9.3 pts806OVERFIT
ALB-3.5%+3091.3%-3094.8%-11.0 pts1041OVERFIT
ALGN+85.5%+846.9%-761.4%-6.4 pts788OVERFIT
ALL+12.3%+3674.2%-3661.9%-10.5 pts1116OVERFIT
ALLE+39.5%+265.9%-226.4%-11.3 pts414INCONCLUSIVE
AMCR-50.5%+100.6%-151.1%-19.8 pts378INCONCLUSIVE
AME-44.2%+25325.0%-25369.2%before 19931422OVERFIT
AMP+63.3%+2154.1%-2090.8%-8.8 pts718OVERFIT
AMT+58.9%+1310.2%-1251.2%-7.4 pts915OVERFIT
ANET+247.1%+5592.8%-5345.7%-3.0 pts371INCONCLUSIVE
AON+75.9%+29815.0%-29739.1%before 19931456OVERFIT
AOS+697.3%+13924.9%-13227.6%before 19931296OVERFIT
APA-77.5%+2417.2%-2494.7%before 19931531OVERFIT
APD-81.1%+20722.2%-20803.3%before 19931591OVERFIT
APH+504.5%+146951.6%-146447.1%before 19931144OVERFIT
APO+287.1%+1845.9%-1558.8%-4.8 pts505INCONCLUSIVE
APTV-0.7%+174.0%-174.7%-15.3 pts500INCONCLUSIVE
ARE-39.9%+624.3%-664.1%-11.4 pts1007OVERFIT
ARES+85.5%+1191.9%-1106.3%-8.8 pts419INCONCLUSIVE
ATO+2.0%+13696.4%-13694.4%before 19931419OVERFIT
AVB-49.4%+42.3%-91.7%-21.8 pts384INCONCLUSIVE
AVY-25.2%+8544.4%-8569.6%before 19931727OVERFIT
AWK-29.3%+950.9%-980.2%-13.7 pts648INCONCLUSIVE
AZO+308.8%+40631.8%-40322.9%before 19931070OVERFIT
BAC+4068.2%+4053.1%+15.0%before 19931624MARGINAL
BALL+973.3%+49568.6%-48595.2%before 19931699OVERFIT
BAX-93.7%+1778.4%-1872.1%before 19931516OVERFIT
BBY+5786.1%+89506.6%-83720.6%before 19931230OVERFIT
BDX-43.0%+21440.4%-21483.3%before 19931765OVERFIT
BEN+2376.4%+130378.8%-128002.4%before 19931351OVERFIT
BF-B+16.6%+14873.5%-14856.9%before 19931474OVERFIT
BG-23.7%+1105.5%-1129.3%-10.6 pts814OVERFIT
BIIB-15.5%+6832.8%-6848.3%before 19931109OVERFIT
BLDR-6.0%+393.7%-399.7%-11.4 pts670OVERFIT
BLK+152.9%+13724.5%-13571.6%-5.2 pts873OVERFIT
BMY-33.5%+23662.6%-23696.1%before 19931715OVERFIT
BNY+93.4%+32230.3%-32137.0%before 19931637OVERFIT
BR+112.2%+1234.2%-1122.0%-7.1 pts625INCONCLUSIVE
BRK-B+42.5%+2072.5%-2030.0%-9.2 pts978OVERFIT
BRO+343.9%+76212.8%-75868.9%before 19931205OVERFIT
BSX-42.5%+1028.2%-1070.7%before 19931072OVERFIT
BX+324.7%+1023.3%-698.7%-3.0 pts603INCONCLUSIVE
BXP-69.1%+888.9%-958.1%-13.5 pts915OVERFIT
C+241.9%+1897.9%-1656.1%before 19931592OVERFIT
CAH+1059.1%+39284.8%-38225.6%before 19931355OVERFIT
CARRn/a · history < 10y (6.5y)
CASY+17.5%+80461.2%-80443.8%before 19931332OVERFIT
CB-36.8%+6587.6%-6624.4%-12.2 pts1140OVERFIT
CBOE+94.8%+1060.1%-965.3%-10.4 pts551INCONCLUSIVE
CBRE+48.1%+2283.8%-2235.7%-9.2 pts684OVERFIT
CCI+38.6%+899.9%-861.2%-7.9 pts900OVERFIT
CCL+264.3%+1154.4%-890.0%before 19931230OVERFIT
CDW+64.5%+858.2%-793.7%-10.6 pts429INCONCLUSIVE
CF+529.6%+5815.9%-5286.4%-1.9 pts667OVERFIT
CFG+69.0%+349.9%-280.9%-9.3 pts394INCONCLUSIVE
CHD+419.8%+93736.5%-93316.8%before 19931442OVERFIT
CHRW-18.3%+4307.6%-4325.9%-10.1 pts965OVERFIT
CHTR+13.8%+335.5%-321.7%-13.4 pts516INCONCLUSIVE
CI+793.6%+12980.8%-12187.2%before 19931357OVERFIT
CIEN+105.4%+195.6%-90.2%-7.4 pts893OVERFIT
CINF+1099.4%+41545.9%-40446.5%before 19931372OVERFIT
CL-62.9%+20919.0%-20981.9%before 19931798OVERFIT
CLX+15.6%+6184.2%-6168.6%before 19931698OVERFIT
CME+188.7%+6884.2%-6695.5%-6.8 pts761OVERFIT
CMG+249.9%+4221.6%-3971.7%-4.8 pts627OVERFIT
CMI+6804.8%+28968.2%-22163.5%before 19931612MARGINAL
CMS+1253.6%+630.8%+622.8%before 19931530OVERFIT
CNC+472.6%+4388.8%-3916.3%-2.7 pts723MARGINAL
CNP+287.4%+13998.0%-13710.6%before 19932052OVERFIT
COF+26.7%+5724.6%-5697.9%-10.4 pts1044OVERFIT
COHR+450.8%+68288.9%-67838.1%before 19931198OVERFIT
COINn/a · history < 10y (5.4y)
COO+784.4%+879.8%-95.4%before 19931326OVERFIT
COP+46.0%+13561.7%-13515.7%before 19931479OVERFIT
COR+503.5%+17062.1%-16558.5%-5.1 pts1011OVERFIT
CPAY+17.5%+1383.7%-1366.2%-13.3 pts505INCONCLUSIVE
CPT-36.2%+2453.9%-2490.2%-12.3 pts1142OVERFIT
CRH-87.7%+7617.9%-7705.5%before 19931200OVERFIT
CRL+138.1%+1210.2%-1072.1%-5.1 pts795OVERFIT
CSGP+1356.7%+3390.6%-2033.9%+1.2 pts881OVERFIT
CTSH+75.1%+35498.3%-35423.2%-7.0 pts937OVERFIT
CTVAn/a · history < 10y (7.3y)
CVNAn/a · history < 10y (9.3y)
CVS+115.1%+15658.6%-15543.6%before 19931716OVERFIT
D+182.1%+17762.4%-17580.3%before 19931510OVERFIT
DAL+57.9%+339.1%-281.2%-8.4 pts572INCONCLUSIVE
DD+9.8%+10113.6%-10103.9%before 19931796OVERFIT
DE+3.8%+101089.1%-101085.2%before 19931792OVERFIT
DECK-66.5%+7024.7%-7091.3%-14.1 pts1040OVERFIT
DELL+318.1%+4059.8%-3741.7%+0.2 pts331INCONCLUSIVE
DG+13.7%+550.3%-536.5%-13.5 pts515INCONCLUSIVE
DGX+22.1%+9626.0%-9603.9%-9.4 pts951OVERFIT
DHI-45.7%+13111.0%-13156.7%before 19931124OVERFIT
DHR+468.9%+483557.2%-483088.4%before 19931535OVERFIT
DLR-19.5%+3540.7%-3560.3%-12.2 pts661OVERFIT
DLTR+72.2%+10731.5%-10659.2%-9.3 pts948OVERFIT
DOC+9.9%+6136.8%-6126.9%before 19931277OVERFIT
DOV+992.8%+29264.8%-28272.0%before 19931464MARGINAL
DOWn/a · history < 10y (7.4y)
DPZ+246.1%+5638.6%-5392.5%-5.3 pts682OVERFIT
DRI+17.4%+6998.7%-6981.3%-10.3 pts1066OVERFIT
DTE+797.3%+35264.3%-34467.0%before 19932034OVERFIT
DUK+185.1%+16239.0%-16053.9%before 19931468OVERFIT
DVA+124.3%+4219.3%-4095.0%-8.0 pts966OVERFIT
DVN-5.4%+1411.9%-1417.3%before 19931382OVERFIT
EBAY+1091.5%+14035.1%-12943.6%+0.0 pts894OVERFIT
ECHO-50.6%+227.3%-277.9%-15.1 pts590INCONCLUSIVE
ECL+13.7%+20174.1%-20160.3%before 19931779OVERFIT
ED+3591.6%+45081.6%-41490.1%before 19931948OVERFIT
EFX+1870.5%+77234.4%-75363.9%before 19931421MARGINAL
EG-53.0%+2975.7%-3028.7%-13.0 pts1039OVERFIT
EIX+436.2%+14610.5%-14174.4%before 19931719OVERFIT
EL-37.2%+1551.3%-1588.5%-12.0 pts1013OVERFIT
ELV+89.3%+2326.9%-2237.6%-7.6 pts805OVERFIT
EME+1284.2%+59203.5%-57919.3%-2.5 pts1048OVERFIT
EMR-50.0%+19839.1%-19889.2%before 19931843OVERFIT
EOG+313.1%+9279.7%-8966.6%before 19931206OVERFIT
EQIX+54.4%+240.5%-186.1%-6.8 pts819OVERFIT
EQR+1.9%+44.2%-42.3%-15.0 pts342INCONCLUSIVE
EQT+550.6%+19557.1%-19006.5%before 19931475MARGINAL
ERIE+209.7%+3362.8%-3153.2%-6.9 pts954MARGINAL
ES+151.2%+2960.1%-2808.9%before 19931730OVERFIT
ESS+4.7%+5274.8%-5270.1%-10.9 pts1082OVERFIT
ETN+11620.1%+116541.5%-104921.4%before 19931610MARGINAL
ETR+98.8%+19797.9%-19699.1%before 19931716OVERFIT
EVRG-20.1%+5086.7%-5106.8%before 19931726OVERFIT
EW-7.4%+6500.0%-6507.4%-8.5 pts847OVERFIT
EXEn/a · history < 10y (5.6y)
EXPD+378.8%+148324.6%-147945.8%before 19931315OVERFIT
EXPE-30.5%+916.1%-946.6%-12.8 pts680OVERFIT
EXR+259.6%+2698.9%-2439.4%-5.3 pts656MARGINAL
F+53.1%+6752.4%-6699.3%before 19931769OVERFIT
FCX+206.5%+1061.6%-855.1%-7.0 pts1035OVERFIT
FDS+814.7%+9088.9%-8274.2%-2.6 pts965OVERFIT
FDX+107.9%+53776.9%-53669.1%before 19931503OVERFIT
FDXFn/a · history < 10y (0.3y)
FE-36.6%+563.0%-599.6%-11.1 pts926OVERFIT
FFIV+1226.4%+5374.0%-4147.7%+1.5 pts857OVERFIT
FICO+964.7%+94747.8%-93783.1%before 19931183OVERFIT
FIS-74.4%+363.8%-438.2%-14.8 pts838OVERFIT
FITB+1150.1%+28280.0%-27129.9%before 19931326OVERFIT
FIX+103.1%+11966.2%-11863.2%-7.1 pts922MARGINAL
FLEX+90.2%+7898.6%-7808.4%-8.9 pts1046OVERFIT
FOXn/a · history < 10y (7.5y)
FOXAn/a · history < 10y (7.5y)
FRT-56.6%+24360.2%-24416.9%before 19931774OVERFIT
FSLR-4.6%+716.1%-720.7%-11.2 pts656OVERFIT
FTV-44.5%+100.1%-144.6%-21.1 pts358INCONCLUSIVE
GD+799.7%+221689.9%-220890.1%before 19932088OVERFIT
GDDY-17.5%+389.4%-406.9%-15.7 pts395INCONCLUSIVE
GE+339.9%+54356.2%-54016.3%before 19932092OVERFIT
GEN+384.2%+12085.6%-11701.4%before 19931151OVERFIT
GEVn/a · history < 10y (2.4y)
GIS-62.0%+15015.5%-15077.5%before 19931513OVERFIT
GL+643.9%+12680.6%-12036.7%before 19931504OVERFIT
GLW+1036.3%+19301.2%-18264.9%before 19931393OVERFIT
GM-34.4%+240.1%-274.5%-17.1 pts533INCONCLUSIVE
GNRC+189.3%+2091.1%-1901.7%-7.9 pts484INCONCLUSIVE
GPC-68.4%+12785.5%-12854.0%before 19931553OVERFIT
GPN-38.2%+2567.9%-2606.1%-10.9 pts811OVERFIT
GRMN+38.5%+5377.3%-5338.9%-7.7 pts778OVERFIT
GWW+375.6%+55300.2%-54924.6%before 19931735OVERFIT
HAL+147.2%+2860.8%-2713.6%before 19931679OVERFIT
HAS+1456.0%+201529.8%-200073.7%before 19931483OVERFIT
HBAN+273.1%+3799.5%-3526.4%before 19931416OVERFIT
HCA+175.8%+1699.7%-1524.0%-7.4 pts459INCONCLUSIVE
HIG-9.2%+951.1%-960.3%-10.7 pts996OVERFIT
HII+283.6%+883.6%-600.1%-5.1 pts470INCONCLUSIVE
HLT+35.4%+659.1%-623.8%-11.7 pts453INCONCLUSIVE
HOODn/a · history < 10y (5.1y)
HPE+169.3%+625.0%-455.8%-5.3 pts328INCONCLUSIVE
HPQ+262.0%+77945.5%-77683.5%before 19932064OVERFIT
HRL+12.8%+19046.1%-19033.3%before 19931486OVERFIT
HSIC-8.5%+1913.1%-1921.6%-10.8 pts1053OVERFIT
HST+915.0%+12843.9%-11928.8%before 19931444OVERFIT
HSY+1.0%+53964.6%-53963.5%before 19931532OVERFIT
HUBB+55.2%+3853.5%-3798.3%-9.7 pts1078OVERFIT
HUM+106.3%+20168.9%-20062.5%before 19931477OVERFIT
HWMn/a · history < 10y (9.8y)
IBKR+28.4%+1526.1%-1497.7%-9.5 pts631INCONCLUSIVE
ICE+208.6%+2307.9%-2099.3%-5.6 pts657OVERFIT
IEX+336.1%+12761.2%-12425.1%before 19931164OVERFIT
IFF-70.4%+4754.9%-4825.3%before 19931709OVERFIT
INCY+3104.9%+6471.7%-3366.8%+0.2 pts979OVERFIT
INVHn/a · history < 10y (9.6y)
IP-38.0%+4590.1%-4628.2%before 19932103OVERFIT
IQV+50.6%+520.3%-469.6%-11.1 pts435INCONCLUSIVE
IRn/a · history < 10y (9.3y)
IRM+29.7%+9911.6%-9881.9%-9.5 pts951OVERFIT
IT-34.9%+6431.0%-6465.9%-12.2 pts1101OVERFIT
ITW+458.4%+51254.1%-50795.7%before 19931780OVERFIT
IVZ+254.6%+1093.8%-839.2%-6.5 pts997OVERFIT
J+157.7%+33544.7%-33387.0%before 19931427OVERFIT
JBHT+925.2%+24926.6%-24001.4%before 19931292OVERFIT
JBL+4818.1%+41217.7%-36399.6%+1.5 pts1016MARGINAL
JCI+196.3%+4376.5%-4180.2%before 19931268OVERFIT
JKHY+568.4%+71288.2%-70719.9%before 19931211OVERFIT
KEY-58.7%+1405.6%-1464.2%before 19931304OVERFIT
KEYS+36.8%+1042.3%-1005.5%-11.7 pts404INCONCLUSIVE
KIM+36.6%+3036.5%-2999.8%before 19931080OVERFIT
KKR+35.0%+1784.9%-1749.8%-12.9 pts519INCONCLUSIVE
KMB+9.0%+16039.9%-16030.9%before 19931545OVERFIT
KMI-9.2%+117.5%-126.7%-14.5 pts517INCONCLUSIVE
KR+1656.7%+182706.1%-181049.4%before 19931906OVERFIT
KVUEn/a · history < 10y (3.3y)
L+1520.4%+22398.8%-20878.5%before 19931424MARGINAL
LDOS-15.2%+530.2%-545.5%-11.9 pts637OVERFIT
LEN+71.7%+29032.9%-28961.2%before 19931468OVERFIT
LH+84.6%+1408.2%-1323.6%before 19931127OVERFIT
LHX+40.9%+8519.5%-8478.6%before 19931420OVERFIT
LII+104.3%+3122.4%-3018.2%-5.8 pts880OVERFIT
LLY+161.4%+129720.0%-129558.6%before 19931762OVERFIT
LMT-11.3%+67444.7%-67456.0%before 19932064OVERFIT
LNT+190.1%+9408.5%-9218.4%before 19931710OVERFIT
LOW+2818.5%+77328.4%-74509.9%before 19931474MARGINAL
LULU+373.7%+759.0%-385.3%-2.6 pts596INCONCLUSIVE
LUV+383.2%+24508.5%-24125.3%before 19931522OVERFIT
LVS+8.4%+50.3%-41.9%-10.5 pts670OVERFIT
LYB-4.5%+648.8%-653.3%-14.3 pts588INCONCLUSIVE
LYV+441.0%+1558.0%-1116.9%-2.6 pts608OVERFIT
MA+234.5%+14066.9%-13832.4%-5.1 pts707OVERFIT
MAA-39.1%+3525.2%-3564.3%-12.3 pts1088OVERFIT
MAS+182.8%+7423.1%-7240.3%before 19931498OVERFIT
MCK+2.8%+6946.5%-6943.7%-11.1 pts1025OVERFIT
MCO-19.1%+7753.9%-7773.1%-11.7 pts1015OVERFIT
MDT+139.2%+51421.0%-51281.8%before 19931692OVERFIT
MET-55.2%+1176.9%-1232.2%-11.3 pts944OVERFIT
MGM+430.6%+1501.4%-1070.8%before 19931136MARGINAL
MKC+1033.3%+14401.8%-13368.5%before 19931554MARGINAL
MLM-21.8%+3089.6%-3111.3%-11.6 pts1068OVERFIT
MO+1169.5%+2914781.4%-2913611.9%before 19932049OVERFIT
MOS+43.3%+268.9%-225.7%before 19931225OVERFIT
MPC+1565.4%+2972.8%-1407.4%+5.9 pts487INCONCLUSIVE
MRNAn/a · history < 10y (7.7y)
MRSH+575.1%+21192.9%-20617.7%before 19931652MARGINAL
MS+137.8%+6159.1%-6021.3%-8.3 pts1056OVERFIT
MSCI+25.9%+2406.7%-2380.8%-10.0 pts633INCONCLUSIVE
MSI+54.5%+79243.2%-79188.6%before 19932071OVERFIT
MTB+3882.5%+105049.8%-101167.3%before 19931358OVERFIT
MTD+52.4%+9346.3%-9294.0%-8.0 pts943OVERFIT
NCLH-59.5%-34.9%-24.6%-21.2 pts476INCONCLUSIVE
NDAQ+75.8%+2371.2%-2295.4%-8.6 pts741MARGINAL
NDSN+11879.9%+37769.3%-25889.4%before 19931285MARGINAL
NEE+690.3%+23772.9%-23082.5%before 19931698MARGINAL
NEM+22.2%+2099.8%-2077.6%before 19931495OVERFIT
NI-32.9%+5234.9%-5267.8%before 19931732OVERFIT
NOC+573.0%+23369.3%-22796.3%before 19931353OVERFIT
NOW+0.5%+2907.9%-2907.4%-14.9 pts497INCONCLUSIVE
NRG+138.3%+1442.6%-1304.2%-7.1 pts728OVERFIT
NSC+232.8%+24520.7%-24287.8%before 19931453OVERFIT
NTAP+4550.7%+19659.8%-15109.0%+2.8 pts948OVERFIT
NTRS+1259.8%+53074.8%-51815.0%before 19931395OVERFIT
NUE+512.2%+70209.1%-69696.8%before 19931467OVERFIT
NVR+518.0%+61512.0%-60994.0%-5.2 pts1047OVERFIT
NWS+46.1%+152.4%-106.3%-11.5 pts415INCONCLUSIVE
NWSA-29.8%+122.2%-152.1%-17.0 pts457INCONCLUSIVE
O-10.8%+5366.4%-5377.2%-11.5 pts1030OVERFIT
OKE+244.1%+19101.6%-18857.5%before 19931471OVERFIT
OMC-22.3%+15677.5%-15699.9%before 19931487OVERFIT
ON+2683.2%+208.7%+2474.5%+5.0 pts812MARGINAL
ORCL+2814.7%+296729.4%-293914.7%before 19931287OVERFIT
OTISn/a · history < 10y (6.5y)
OXY+80.2%+3580.0%-3499.8%before 19931452OVERFIT
PCG+127.6%+1389.7%-1262.1%before 19931718OVERFIT
PEG+116.4%+18884.4%-18768.0%before 19931524OVERFIT
PFE-68.9%+20062.7%-20131.6%before 19931743OVERFIT
PFG-54.5%+920.1%-974.7%-13.3 pts858OVERFIT
PGR+25810.6%+819581.9%-793771.3%before 19931319OVERFIT
PH+538.7%+41129.4%-40590.8%before 19931470MARGINAL
PHM+952.2%+95847.7%-94895.5%before 19931460OVERFIT
PLD-41.3%+1782.5%-1823.9%-11.2 pts945OVERFIT
PM+201.1%+785.7%-584.6%-6.1 pts569INCONCLUSIVE
PNC+1101.5%+37937.9%-36836.4%before 19931534OVERFIT
PNR+2131.7%+11510.8%-9379.1%before 19931514OVERFIT
PNW-12.6%+2247.6%-2260.2%before 19931704OVERFIT
PODD+565.6%+831.5%-265.9%-0.5 pts582INCONCLUSIVE
PPG+161.9%+21327.4%-21165.6%before 19931498OVERFIT
PPL+296.0%+7311.8%-7015.9%before 19931496MARGINAL
PRU-16.5%+767.8%-784.2%-10.8 pts808OVERFIT
PSA-51.6%+13958.7%-14010.3%before 19931438OVERFIT
PSKY-24.4%-34.8%+10.4%-12.4 pts655OVERFIT
PSX+315.0%+1071.7%-756.7%-4.2 pts449INCONCLUSIVE
PTC-95.7%+8443.5%-8539.2%before 19931233OVERFIT
PWR+1193.8%+8155.1%-6961.2%+0.2 pts916OVERFIT
Qn/a · history < 10y (0.8y)
RCL+5592.9%+4611.6%+981.3%+2.0 pts1054OVERFIT
REG-19.3%+2046.5%-2065.8%-11.5 pts1052OVERFIT
RF+643.8%+7230.0%-6586.2%before 19931340OVERFIT
RJF+1093.8%+52691.1%-51597.3%before 19931324OVERFIT
RL-74.9%+1376.9%-1451.8%-14.1 pts968OVERFIT
RMD+108.4%+43254.4%-43146.0%-8.4 pts965OVERFIT
ROK+36.8%+57325.7%-57288.9%before 19931536OVERFIT
ROL-85.9%+36503.9%-36589.8%before 19931526OVERFIT
RSG+10.2%+1977.7%-1967.5%-8.5 pts867OVERFIT
RTX+484.9%+231131.9%-230647.0%before 19932102OVERFIT
RVTY-18.3%+25547.2%-25565.5%before 19931801OVERFIT
SBAC+629.7%+2259.6%-1629.9%-0.9 pts905OVERFIT
SCHW+564.1%+45501.9%-44937.8%before 19931294OVERFIT
SJM-69.3%+1119.0%-1188.3%-14.7 pts1033OVERFIT
SLB-87.1%+1125.4%-1212.5%before 19931491OVERFIT
SMCI+30.8%+4155.7%-4124.9%-9.7 pts599INCONCLUSIVE
SNA+49.0%+12522.0%-12473.1%before 19931704OVERFIT
SO+142.0%+32617.4%-32475.4%before 19931534OVERFIT
SOLVn/a · history < 10y (2.4y)
SPG+9.1%+5330.6%-5321.5%-10.6 pts1022OVERFIT
SPGI+355.4%+140503.3%-140147.9%before 19931703OVERFIT
SRE-35.5%+1463.0%-1498.5%-10.4 pts950OVERFIT
STE-67.7%+15491.4%-15559.1%before 19931157OVERFIT
STLD+1386.5%+7831.8%-6445.3%-0.5 pts958OVERFIT
STT+2891.8%+199686.1%-196794.4%before 19931383OVERFIT
STZ-51.1%+10007.0%-10058.0%before 19931136MARGINAL
SW+49.8%+775.0%-725.1%-9.8 pts403INCONCLUSIVE
SWK-92.3%+5887.9%-5980.2%before 19931565OVERFIT
SWKS-52.1%+1317.3%-1369.4%before 19931374OVERFIT
SYF+257.0%+325.2%-68.2%-2.8 pts388INCONCLUSIVE
SYK+1266.1%+430371.4%-429105.4%before 19931438OVERFIT
SYY-14.6%+115885.9%-115900.6%before 19931698OVERFIT
T+209.3%+10219.8%-10010.5%before 19931305OVERFIT
TAP-95.9%+518.8%-614.7%before 19931604OVERFIT
TDG+35.7%+13285.3%-13249.6%-9.5 pts694OVERFIT
TDY+4.8%+7164.6%-7159.8%-8.2 pts904OVERFIT
TECH+154.7%+79246.8%-79092.1%before 19931139OVERFIT
TEL-9.7%+671.1%-680.8%-11.3 pts668INCONCLUSIVE
TFC+805.9%+10226.4%-9420.6%before 19931370OVERFIT
TGT+172.0%+90566.5%-90394.5%before 19931667OVERFIT
TJX+79.6%+36154.4%-36074.9%before 19931338OVERFIT
TKO+25.6%+1638.9%-1613.3%-8.0 pts834OVERFIT
TMO+478.7%+36784.3%-36305.5%before 19931487OVERFIT
TPL+82085.3%+75277.1%+6808.2%before 19931321OVERFIT
TPR+113.5%+7766.6%-7653.1%-5.7 pts832OVERFIT
TRGP+759.4%+2202.9%-1443.5%+0.3 pts481INCONCLUSIVE
TRMB+46.1%+3366.4%-3320.3%before 19931101OVERFIT
TROW+564.0%+35932.6%-35368.6%before 19931248OVERFIT
TSCO+181.0%+15199.0%-15018.1%-7.7 pts973MARGINAL
TSN+82.3%+4340.8%-4258.6%before 19931402OVERFIT
TT+603.0%+49748.2%-49145.2%before 19931522OVERFIT
TTDn/a · history < 10y (9.9y)
TXT+212.0%+4901.2%-4689.2%before 19931696OVERFIT
TYL-50.1%+43359.1%-43409.2%before 19931491OVERFIT
UAL+412.3%+240.6%+171.6%-2.9 pts628OVERFIT
UBERn/a · history < 10y (7.3y)
UDR-11.8%+14119.5%-14131.2%before 19931358OVERFIT
UHS+13045.5%+15293.2%-2247.7%before 19931243OVERFIT
ULTA+30.3%+1721.3%-1691.0%-9.6 pts575INCONCLUSIVE
UNP+31.9%+30311.4%-30279.5%before 19931549OVERFIT
UPS-62.7%+233.2%-295.9%-12.1 pts897OVERFIT
URI+3312.8%+7088.3%-3775.5%+3.7 pts836GENERALIZED
USB+1674.7%+44799.0%-43124.3%before 19931518OVERFIT
VEEV+18.4%+668.8%-650.5%-12.9 pts401INCONCLUSIVE
VICIn/a · history < 10y (8.7y)
VLO+5672.8%+23394.0%-17721.1%before 19931327OVERFIT
VLTOn/a · history < 10y (2.9y)
VMC+1342.8%+48759.3%-47416.5%before 19931648OVERFIT
VRSK-29.2%+648.8%-678.0%-16.5 pts565INCONCLUSIVE
VRSN+2015.1%+5322.0%-3307.0%+2.0 pts859OVERFIT
VRTn/a · history < 10y (8.1y)
VSTn/a · history < 10y (9.9y)
VTR+135.5%+1496.8%-1361.4%-6.8 pts918OVERFIT
VTRS-72.2%+1568.8%-1641.0%before 19931463OVERFIT
VZ+28.1%+4889.1%-4861.0%before 19931331OVERFIT
WAB-24.4%+4137.7%-4162.1%-11.7 pts981OVERFIT
WAT+169.2%+10865.4%-10696.2%-7.2 pts981OVERFIT
WEC+222.0%+23656.8%-23434.8%before 19931514OVERFIT
WELL+0.2%+58774.1%-58773.9%before 19931429OVERFIT
WFC+176.0%+63452.2%-63276.3%before 19931796OVERFIT
WM+538.6%+8471.2%-7932.6%before 19931240OVERFIT
WMB+215.1%+11974.1%-11759.0%before 19931409OVERFIT
WSM+98.9%+69865.8%-69766.9%before 19931406OVERFIT
WST+3176.2%+79208.6%-76032.4%before 19931373OVERFIT
WTW-7.2%+1181.6%-1188.8%-9.7 pts845OVERFIT
WY-85.4%+1781.4%-1866.8%before 19931820OVERFIT
WYNN+215.9%+1217.6%-1001.7%-6.5 pts728OVERFIT
XOM-76.2%+183657.9%-183734.1%before 19932292OVERFIT
XYL+8.8%+455.0%-446.3%-14.7 pts510INCONCLUSIVE
XYZ+136.1%+527.5%-391.5%-6.4 pts321INCONCLUSIVE
YUM-76.8%+4282.5%-4359.3%-14.3 pts1004OVERFIT
ZBH-27.6%+292.2%-319.8%-10.9 pts799OVERFIT
ZBRA-43.4%+8617.7%-8661.0%before 19931065OVERFIT
ZTS-34.5%+179.3%-213.8%-17.7 pts481INCONCLUSIVE

Forex · 2 / 8 · against the s&p 500 over the same window: 0 / 8

AssetReturnBuy and holdDifferenceVs. S&P 500 (CAGR/yr)TradesOut of sample
EUR/USD-9.5%-3.1%-6.4%-11.5 pts817OVERFIT
GBP/USD-34.6%-21.2%-13.4%-12.9 pts824OVERFIT
USD/JPY-2.1%+40.2%-42.4%-10.3 pts966OVERFIT
USD/MXN-4.0%+49.9%-53.9%-11.2 pts782OVERFIT
AUD/USD-20.3%-6.6%-13.6%-12.3 pts731OVERFIT
USD/CAD-23.7%+1.7%-25.4%-12.3 pts826OVERFIT
USD/CHF-31.5%-41.4%+9.9%-12.8 pts808OVERFIT
NZD/USD+13.9%-8.1%+22.0%-10.5 pts756OVERFIT

Crypto · 1 / 2 · against the s&p 500 over the same window: 1 / 2

AssetReturnBuy and holdDifferenceVs. S&P 500 (CAGR/yr)TradesOut of sample
Bitcoin+68927.1%+17075.3%+51851.8%+32.0 pts391INCONCLUSIVE
Ethern/a · history < 10y (8.8y)
Litecoin+119.2%+859.3%-740.2%-9.1 pts491INCONCLUSIVE
Solanan/a · history < 10y (6.4y)
Cardanon/a · history < 10y (8.8y)
Dogecoinn/a · history < 10y (8.8y)

And intraday?

5-minute to 4-hour bars, every asset from where intraday history exists (stocks 2016, forex 2003, crypto 2015), against holding that same asset. Difference versus buy-and-hold. No walk-forward (see protocol).

Asset5 min15 min1 hour4 hoursDaily
Litecoin-1348.2%-1348.2%-1348.2%-1340.6%-740.2%
Solanan/an/an/an/an/a
Cardanon/an/an/an/an/a
Dogecoinn/an/an/an/an/a
EUR/USD-87.7%-87.3%-85.0%-40.6%-6.4%
GBP/USD-87.5%-87.1%-66.5%-24.2%-13.4%
USD/JPY-136.0%-135.2%-115.3%-62.8%-42.4%
AUD/USD————-13.6%
USD/CAD-136.7%-136.3%-96.6%-44.1%-25.4%
USD/CHF-85.1%-84.9%-52.7%-21.3%+9.9%
NZD/USD-82.5%-82.3%-74.2%-24.3%+22.0%
S&P 500 (SPY)-454.0%-453.9%-432.0%-334.1%-3050.7%
Nasdaq-100 (QQQ)-705.1%-705.1%-659.6%-532.6%-1372.3%
Russell 2000 (IWM)-307.3%-307.3%-294.1%-224.3%-831.7%
Emergentes (EEM)-269.1%-269.1%-244.3%-207.1%-807.9%
Oro (GLD)-397.4%-397.4%-364.3%-300.2%-702.1%
Bonos 20 años (TLT)-91.8%-91.8%-81.8%-32.7%-176.4%
AAPL-1349.6%-1349.5%-1245.4%-974.8%-228636.0%
AMGN-379.1%-379.1%-363.9%-178.3%-185944.8%
AMZN-836.5%-836.4%-756.3%-685.9%-258081.7%
AXP-573.8%-573.7%-532.5%-426.9%-27092.1%
BA-166.5%-166.5%-128.1%+34.2%-105863.2%
CAT-1513.0%-1512.9%-1437.2%-1159.5%-168702.9%
CRM-339.5%-339.5%-314.1%-221.2%-5275.7%
CSCO-570.4%-570.4%-551.0%-471.7%-222239.3%
CVX-358.2%-358.2%-343.4%-299.3%-67991.6%
DIS-114.8%-114.8%-105.6%-61.1%-184556.0%
GOOGL-920.8%-920.8%-849.0%-746.4%-12956.6%
GS-723.2%-723.2%-662.9%-553.1%-1720.9%
HD-324.2%-324.2%-284.4%-224.0%-1984707.3%
HON-280.6%-280.6%-264.3%-170.4%-21117.4%
IBM-286.6%-286.6%-236.6%-167.8%-15794.9%
JNJ-357.5%-357.5%-344.9%-287.3%-445185.7%
JPM-742.2%-742.2%-723.6%-600.2%-33928.1%
KO-293.4%-293.4%-282.0%-217.3%-198799.2%
MCD-285.6%-285.6%-261.7%-226.3%-235503.8%
MMM-200.3%-200.3%-188.0%-129.0%-31122.4%
MRK-412.7%-412.7%-394.2%-274.0%-233276.8%
MSFT-1077.0%-1077.0%-1051.6%-911.0%-857452.7%
NKE-74.3%-74.3%-51.7%-37.3%-30503.5%
NVDA-27586.0%-27585.4%-26941.2%-25218.7%-539555.6%
PG-246.9%-246.9%-228.5%-198.4%-59654.7%
SHW-449.0%-448.9%-436.4%-380.6%-231748.0%
TRV-422.1%-422.0%-409.2%-360.2%-12185.8%
UNH-401.4%-401.3%-366.4%-295.8%-352335.7%
V-543.9%-543.9%-528.9%-482.9%-2982.1%
WMT-607.6%-607.6%-564.3%-507.8%-915293.6%
ABNBn/an/an/an/an/a
ADBE-317.0%-317.0%-303.7%-205.6%-145332.5%
ADI-814.6%-814.6%-793.3%-732.6%-81595.0%
ADP-441.3%-441.3%-430.8%-353.0%-74123.0%
ADSK-432.2%-432.2%-410.1%-364.4%-57783.3%
AEP-305.4%-305.4%-283.6%-240.4%-13281.7%
ALABn/an/an/an/an/a
ALNY-254.9%-254.8%-226.4%-112.7%-1843.8%
AMAT-2817.9%-2817.9%-2710.6%-2517.8%-663483.3%
AMD-16807.9%-16807.4%-16236.3%-15271.4%-8998.3%
APPn/an/an/an/an/a
ARMn/an/an/an/an/a
ASML-2158.7%-2158.6%-2097.9%-1794.4%-96052.3%
AVGO-3403.2%-3403.0%-3199.4%-3205.9%-32169.7%
AXON-3569.4%-3569.3%-3192.4%-2721.8%-112751.0%
BKNG-421.6%-421.5%-389.1%-354.7%-771.1%
BKRn/an/an/an/a-1024.7%
CCEP-415.8%-415.7%-395.7%-331.5%-6835.3%
CDNS-1658.0%-1658.0%-1613.0%-1490.4%-16702.2%
CEGn/an/an/an/an/a
CMCSA-135.8%-135.8%-130.8%-111.1%-46914.9%
COST-707.4%-707.4%-673.2%-588.9%-12809.6%
CPRT-700.6%-700.6%-661.4%-516.0%-21408.9%
CRWDn/an/an/an/an/a
CSX-696.6%-696.6%-680.9%-590.2%-40493.5%
CTAS-1031.2%-1031.1%-973.8%-846.4%-122428.8%
DASHn/an/an/an/an/a
DDOGn/an/an/an/an/a
DXCM-462.8%-462.8%-380.7%-222.0%-1692.6%
EA————n/a
EXC-318.9%-318.9%-308.3%-281.1%-17442.1%
FANG-393.3%-393.1%-358.8%-297.6%-1392.6%
FAST-656.9%-656.9%-624.8%-562.3%-254815.5%
FERn/an/an/an/a-515.6%
FTNT-2745.6%-2745.6%-2699.6%-2567.9%-10151.2%
GEHCn/an/an/an/an/a
GILD-214.0%-214.0%-206.1%-165.4%-33380.6%
HONAn/an/an/an/an/a
IDXX-780.4%-780.3%-763.7%-656.6%-58138.6%
INTC-333.1%-333.0%-309.4%-201.8%-48481.8%
INTU-414.2%-414.2%-394.5%-360.4%-15445.2%
ISRG-612.6%-612.5%-568.1%-513.0%-17817.0%
KHC-56.8%-56.8%-50.7%-20.0%+5.1%
KLAC-3063.6%-3063.6%-3001.7%-2957.7%-288799.1%
LINn/an/an/an/a-10842.2%
LITE-4008.1%-4007.6%-3875.8%-3617.6%-4799.8%
LRCX-4481.4%-4481.4%-4387.2%-4060.9%-159511.7%
MAR-594.3%-594.2%-556.3%-461.4%-2301.9%
MCHP-391.6%-391.6%-356.5%-276.8%-41961.3%
MDLZ-182.0%-182.0%-172.2%-137.5%-509.0%
MELI-1800.1%-1800.0%-1771.2%-1646.3%-5639.3%
META-570.4%-570.4%-550.7%-484.1%-1399.4%
MNST-194.8%-194.8%-176.8%-98.8%-44844.1%
MPWR-2250.5%-2250.4%-2210.9%-2151.2%-14702.8%
MRVL-2679.8%-2679.7%-2632.9%-2412.7%-1258.9%
MSTR-743.9%-743.9%-481.8%+2106.0%+39543.0%
MU-6675.8%-6675.5%-5827.1%-6004.1%-66578.2%
NFLX-743.2%-743.2%-711.9%-455.7%-58689.8%
NXPI-300.5%-300.5%-286.2%-253.0%-1737.3%
ODFL-1063.8%-1063.7%-1019.9%-822.6%-36539.8%
ORLY-539.4%-539.4%-501.1%-412.5%-54616.9%
PANW-1299.9%-1299.9%-1154.7%-863.2%-4066.9%
PCAR-580.1%-580.1%-565.2%-519.9%-56356.3%
PDDn/an/an/an/an/a
PEP-196.8%-196.8%-189.6%-157.0%-37832.6%
PLTRn/an/an/an/an/a
PYPL-155.8%-155.8%-136.9%-97.9%-95.3%
QCOM-438.6%-438.6%-422.1%-263.1%-50307.1%
REGN-155.2%-155.2%-147.8%-95.2%-3673.2%
ROP-244.2%-244.2%-231.1%-169.6%-25814.3%
ROST-465.7%-465.7%-452.9%-419.5%-51074.9%
SBUX-232.0%-232.0%-224.1%-191.5%-43041.2%
SHOP-5944.8%-5943.4%-5075.2%-4958.8%-8151.6%
SNDKn/an/an/an/an/a
SNPS-985.3%-985.2%-928.2%-811.3%-5573.4%
STX-3652.5%-3652.5%-3561.5%-3535.8%-1620.3%
TER-1857.0%-1857.0%-1731.0%-1462.5%-27349.3%
TMUS-489.7%-489.7%-472.0%-434.2%-350.0%
TRI-362.7%-362.6%-335.2%-236.7%-621.8%
TSLA-2341.6%-2340.9%-782.6%-400.0%-21180.3%
TTWO-688.9%-688.9%-668.6%-635.9%-5408.4%
TXN-637.7%-637.7%-617.2%-551.7%-38094.7%
VRTX-440.8%-440.8%-422.4%-380.7%-11789.6%
WBDn/an/an/an/a-356.2%
WDAY-263.3%-263.2%-240.1%-163.3%-328.7%
WDC-1171.5%-1171.3%-1099.5%-872.6%-10339.8%
XEL-295.9%-295.9%-281.7%-232.8%-6573.2%
KDP-278.1%-278.1%-266.6%-204.2%-1068.6%
USD/MXN-135.0%-134.6%-136.4%-84.9%-53.9%
Bitcoin-18084.8%-18084.8%-18084.8%-17890.3%+51851.8%
Ether————n/a

2 / 472 · against the s&p 500 over the same window: 12 / 472

What if I nudge the parameters? (on the index)

ParametersReturnSharpeMax DDVs. index
period 14, adx_threshold 2530.4%-0.27-40.6%-3050.7%
period 14, adx_threshold 2030.4%-0.27-40.6%-3050.7%
period 14, adx_threshold 3030.4%-0.27-40.6%-3050.7%
period 20, adx_threshold 25175.6%-0.05-27.9%-2905.4%

A rule that only works at the exact textbook numbers and dies one notch away is not an edge: it is luck.

Out of sample and robustness (on the index)

Walk-forward: OVERFIT · 0%

Deflated Sharpe: 0.09 (< 0.95)

Robustness suite: MODERATE

By halves: First half did not beat (-11.5% vs +237.3%); Second half did not beat (+47.3% vs +843.1%).

5 fold(s) scored; 0% within the robust degradation band [0.5, 1.5].

Mean OOS/IS Sharpe degradation = 0.

Deflated Sharpe 0.0913 < 0.95 — edge does not clear the multiple-trials selection-bias hurdle.

Receipt

Computed on 2026-09-10 · period: each asset from its first bar (1962-01-01 to 2026-08-31) · round-trip costs: stocks and index 10 bps, forex 2 bps, crypto 30 bps · artifact 5bea546c394a · Finaxion engine

By market

Each market's page, ordered by annual excess over the S&P 500. The first 12 are shown; the rest are in the sitemap. See all 25 markets

Sources for the claim

How to cite

Finaxion Research (2026). ADX: trade only in strong trends: works in few markets. Daily backtest 1962-01-01–2026-08-31, artifact 5bea546c394a. https://finaxion.app/en/research/adx-trend-filter

Reproduce it with your own strategy