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Finaxion Research · ADX: trade only in strong trends · single stocks · Recomputed 2026-09-10

Does ADX: trade only in strong trends work on CBOE?

ADX: trade only in strong trends does not beat buy-and-hold on CBOE: -12.1 points a year over 16 years.

Total return
94.8%
Buy and hold
×12
CAGR
4.2%
Sharpe
0.09
Max drawdown
-49.6%
Trades
551
Out of sample
—
Years
16
1×10×13×20112013201520172019202120232025
StrategyCBOE

Findings

  1. ADX: trade only in strong trends does not beat buy-and-hold on CBOE: -12.1 points a year over 16 years.
  2. Against the S&P 500 over the same window: -10.4 points a year.
  3. Total return +94.8% versus ×12 for buy-and-hold, with 551 trades.
  4. Maximum drawdown -49.6%.
  5. It beats in neither half of the history (split at 2018).
  6. It ranks #137 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 5bea546c394a.

Exactly what was tested

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

How to read it

The verdict compares the strategy with buying and holding CBOE 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 CBOE → · Full page for ADX: trade only in strong trends →

How to cite

Finaxion Research (2026). Does ADX: trade only in strong trends work on CBOE?. Daily backtest 1962-01-01–2026-08-31, artifact 5bea546c394a. https://finaxion.app/en/research/adx-trend-filter/cboe

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