FINAXIONResearch
Finaxion Research · Smart Money: the liquidity sweep · single stocks · Recomputed 2026-09-10

Does Smart Money: the liquidity sweep work on LII?

Smart Money: the liquidity sweep does not beat buy-and-hold on LII: -14.3 points a year over 27 years.

Total return
-14.5%
Buy and hold
×32
CAGR
-0.6%
Sharpe
-1.10
Max drawdown
-23.7%
Trades
106
Out of sample
overfit
Years
27
1×10×52×20002002200420062008201020122014201620182020202220242026
StrategyLII

Findings

  1. Smart Money: the liquidity sweep does not beat buy-and-hold on LII: -14.3 points a year over 27 years.
  2. Against the S&P 500 over the same window: -9.1 points a year.
  3. Total return -14.5% versus ×32 for buy-and-hold, with 106 trades.
  4. The result does not hold out of sample: it is overfit.
  5. Maximum drawdown -23.7%.
  6. It beats in neither half of the history (split at 2013).
  7. It ranks #26 of 227 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 2544360d2bb7.

Exactly what was tested

Mechanical approximation: 25-bar low pierced with a close back above it on the same bar → entry; exit after 20 bars.

How to read it

The verdict compares the strategy with buying and holding LII 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 LII → · Full page for Smart Money: the liquidity sweep →

How to cite

Finaxion Research (2026). Does Smart Money: the liquidity sweep work on LII?. Daily backtest 1962-01-01–2026-08-31, artifact 2544360d2bb7. https://finaxion.app/en/research/liquidity-sweep/lii

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