FINAXIONResearch
Finaxion Research · ICT / Smart Money: the fair value gap · single stocks · Recomputed 2026-09-10

Does ICT / Smart Money: the fair value gap work on PFG?

ICT / Smart Money: the fair value gap does not beat buy-and-hold on PFG: -10.9 points a year over 25 years.

Total return
-24.1%
Buy and hold
920.1%
CAGR
-1.1%
Sharpe
-1.15
Max drawdown
-26.6%
Trades
200
Out of sample
overfit
Years
25
1×10×2002200420062008201020122014201620182020202220242026
StrategyPFG

Findings

  1. ICT / Smart Money: the fair value gap does not beat buy-and-hold on PFG: -10.9 points a year over 25 years.
  2. Against the S&P 500 over the same window: -11.2 points a year.
  3. Total return -24.1% versus +920.1% for buy-and-hold, with 200 trades.
  4. The result does not hold out of sample: it is overfit.
  5. Maximum drawdown -26.6%.
  6. It beats in neither half of the history (split at 2014).
  7. It ranks #127 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 baf59d3a43e0.

Exactly what was tested

Mechanical approximation: three-candle bullish gaps are detected within a 38-bar window; a return of price into the gap → entry; exit after 20 bars.

How to read it

The verdict compares the strategy with buying and holding PFG 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 PFG → · Full page for ICT / Smart Money: the fair value gap →

How to cite

Finaxion Research (2026). Does ICT / Smart Money: the fair value gap work on PFG?. Daily backtest 1962-01-01–2026-08-31, artifact baf59d3a43e0. https://finaxion.app/en/research/ict-fair-value-gap/pfg

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