The best indicator for S&P 500 Futures (ES)
We backtested 20 indicators across daily, weekly and hourly charts on real S&P 500 Futures (ES) history. Here's what actually worked — risk-adjusted, out-of-sample, with costs.
Donchian Midline
On the weekly chart, this is the strongest risk-adjusted edge we found for S&P 500 Futures (ES) over ~25.8 years — trailing buy-and-hold by 1.2% 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 | Donchian Midline ✓ | Weekly | 5.3% | 0.5 | -26.4% | 60.7% | 61 | -1.2% |
| 2 | EMA 20/50 Cross ✓ | Daily | 4.6% | 0.46 | -28.1% | 52.7% | 55 | -1.9% |
| 3 | RSI Trend (>50) ✓ | Weekly | 4.3% | 0.45 | -24.3% | 59.4% | 69 | -2.2% |
| 4 | SMA 50/200 Cross ✓ | Daily | 6.5% | 0.56 | -34.4% | 83.3% | 12 | 0.0% |
| 5 | EMA 50/200 Cross ✓ | Daily | 6.4% | 0.55 | -30.4% | 66.7% | 12 | -0.1% |
| 6 | Donchian Breakout ✓ | Weekly | 3.8% | 0.43 | -27.6% | 61.9% | 21 | -2.6% |
| 7 | Rate of Change ✓ | Weekly | 3.9% | 0.41 | -31.6% | 52.9% | 70 | -2.6% |
| 8 | Donchian Breakout ✓ | Daily | 3.2% | 0.39 | -27.5% | 47.1% | 102 | -3.2% |
| 9 | EMA-10 Trend ✓ | Weekly | 2.8% | 0.31 | -24.1% | 54.5% | 112 | -3.6% |
| 10 | EMA 20/50 Cross ✓ | Weekly | 5.9% | 0.53 | -30.3% | 87.5% | 8 | -0.5% |
| 11 | Bollinger Mean-Reversion ✓ | Daily | 2.6% | 0.26 | -36.1% | 69.4% | 111 | -3.9% |
| 12 | Bollinger Breakout ✓ | Weekly | 1.6% | 0.26 | -16.3% | 47.6% | 21 | -4.9% |
| 13 | Money Flow Index ✓ | Daily | 2.8% | 0.25 | -55.5% | 85.0% | 20 | -3.7% |
| 14 | MACD ✓ | Daily | 2.1% | 0.24 | -32.1% | 40.6% | 278 | -4.4% |
✓ = held up out-of-sample. Hypothetical, costs included. See methodology.
For S&P 500 Futures (ES), Donchian Midline 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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