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Finaxion Research · Parabolic SAR: follow the dots · single stocks · Recomputed 2026-09-10

Does Parabolic SAR: follow the dots work on CME?

Parabolic SAR: follow the dots does not beat buy-and-hold on CME: -17.9 points a year over 24 years.

Total return
50.4%
Buy and hold
×70
CAGR
1.7%
Sharpe
0.02
Max drawdown
-80.4%
Trades
553
Out of sample
overfit
Years
24
1×10×76×200320052007200920112013201520172019202120232025
StrategyCME

Findings

  1. Parabolic SAR: follow the dots does not beat buy-and-hold on CME: -17.9 points a year over 24 years.
  2. Against the S&P 500 over the same window: -9.6 points a year.
  3. Total return +50.4% versus ×70 for buy-and-hold, with 553 trades.
  4. The result does not hold out of sample: it is overfit.
  5. Maximum drawdown -80.4%.
  6. It beats in neither half of the history (split at 2014).
  7. It ranks #149 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 566419a0cec8.

Exactly what was tested

Long while the close is above the SAR (0.02, 0.02, 0.2); exit when the close drops below the SAR.

How to read it

The verdict compares the strategy with buying and holding CME 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 CME → · Full page for Parabolic SAR: follow the dots →

How to cite

Finaxion Research (2026). Does Parabolic SAR: follow the dots work on CME?. Daily backtest 1962-01-01–2026-08-31, artifact 566419a0cec8. https://finaxion.app/en/research/parabolic-sar/cme

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