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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 SJM?

ADX: trade only in strong trends does not beat buy-and-hold on SJM: -11.8 points a year over 32 years.

Total return
-69.3%
Buy and hold
×12
CAGR
-3.6%
Sharpe
-0.35
Max drawdown
-80.8%
Trades
1033
Out of sample
overfit
Years
32
1×10×19951998200120042007201020132016201920222025
StrategySJM

Findings

  1. ADX: trade only in strong trends does not beat buy-and-hold on SJM: -11.8 points a year over 32 years.
  2. Against the S&P 500 over the same window: -14.7 points a year.
  3. Total return -69.3% versus ×12 for buy-and-hold, with 1033 trades.
  4. The result does not hold out of sample: it is overfit.
  5. Maximum drawdown -80.8%.
  6. It beats in neither half of the history (split at 2010).
  7. It ranks #216 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 SJM 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 SJM → · Full page for ADX: trade only in strong trends →

How to cite

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

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