The best indicator for CME Group (CME)
We backtested 20 indicators across daily, weekly and hourly charts on real CME Group (CME) history. Here's what actually worked — risk-adjusted, out-of-sample, with costs.
RSI Trend (>50)
On the weekly chart, this is the strongest risk-adjusted edge we found for CME Group (CME) over ~23.6 years — trailing buy-and-hold by 3.6% CAGR.
The winner on each chart
Every indicator, ranked
Ranked by Sharpe (risk-adjusted return). Hypothetical, fees included.
| # | Indicator | TF | CAGR | Sharpe | Max DD | Win | Trades | vs B&H |
|---|---|---|---|---|---|---|---|---|
| 1 | RSI Trend (>50) ✓ | Weekly | 15.5% | 0.77 | -33.8% | 51.7% | 58 | -3.6% |
| 2 | Donchian Breakout ✓ | Weekly | 14.5% | 0.77 | -41.0% | 62.5% | 16 | -4.7% |
| 3 | Bollinger Breakout ✓ | Weekly | 11.2% | 0.68 | -36.0% | 63.0% | 27 | -8.0% |
| 4 | Rate of Change ✓ | Weekly | 12.3% | 0.64 | -54.2% | 61.9% | 63 | -6.8% |
| 5 | EMA 20/50 Cross ✓ | Daily | 12.3% | 0.62 | -52.0% | 43.6% | 55 | -7.0% |
| 6 | SMA 50/200 Cross ✓ | Daily | 13.0% | 0.65 | -51.1% | 50.0% | 14 | -6.3% |
| 7 | Williams %R ✓ | Daily | 10.2% | 0.57 | -51.0% | 71.2% | 153 | -9.1% |
| 8 | ADX / DMI ✓ | Weekly | 9.5% | 0.55 | -73.4% | 45.9% | 37 | -9.7% |
| 9 | EMA 50/200 Cross ✓ | Daily | 15.5% | 0.74 | -51.2% | 63.6% | 11 | -3.8% |
| 10 | MACD ✓ | Weekly | 9.3% | 0.53 | -41.5% | 57.8% | 45 | -9.9% |
| 11 | EMA-10 Trend ✓ | Weekly | 9.1% | 0.53 | -38.2% | 48.8% | 121 | -10.0% |
| 12 | Holy Grail Confluence ✓ | Daily | 7.3% | 0.45 | -54.3% | 79.3% | 29 | -12.0% |
| 13 | CCI ✓ | Daily | 7.3% | 0.44 | -68.7% | 69.0% | 116 | -12.0% |
| 14 | Donchian Midline ✓ | Weekly | 7.6% | 0.44 | -72.5% | 50.6% | 81 | -11.6% |
✓ = held up out-of-sample. Hypothetical, costs included. See methodology.
For CME Group (CME), RSI Trend (>50) on the weekly timeframe gave the best balance of return and risk in our test. It still trailed buy-and-hold on raw return — but remember: this is a hypothetical backtest of a standard rule, not a recommendation. Markets change. See the methodology and disclaimer.
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