The best indicator for Russell 2000 (RUT)
We backtested 20 indicators across daily, weekly and hourly charts on real Russell 2000 (RUT) history. Here's what actually worked — risk-adjusted, out-of-sample, with costs.
CCI
On the weekly chart, this is the strongest risk-adjusted edge we found for Russell 2000 (RUT) over ~38.9 years — trailing buy-and-hold by 1.4% 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 | CCI ✓ | Weekly | 6.1% | 0.59 | -31.1% | 86.0% | 43 | -1.4% |
| 2 | EMA-10 Trend ✓ | Weekly | 6.5% | 0.55 | -32.6% | 50.3% | 167 | -0.9% |
| 3 | Donchian Midline ✓ | Weekly | 6.1% | 0.5 | -40.3% | 51.0% | 96 | -1.4% |
| 4 | Rate of Change ✓ | Daily | 5.6% | 0.47 | -52.2% | 43.6% | 562 | -1.9% |
| 5 | EMA 20/50 Cross ✓ | Daily | 5.4% | 0.46 | -34.1% | 44.3% | 88 | -2.1% |
| 6 | MACD ✓ | Daily | 5.4% | 0.46 | -47.5% | 42.6% | 378 | -2.1% |
| 7 | ADX / DMI | Daily | 3.8% | 0.46 | -46.4% | 46.4% | 250 | -3.7% |
| 8 | Donchian Breakout ✓ | Daily | 4.7% | 0.46 | -43.7% | 46.9% | 177 | -2.9% |
| 9 | RSI Trend (>50) ✓ | Weekly | 5.2% | 0.44 | -38.3% | 48.6% | 109 | -2.3% |
| 10 | WaveTrend (8/6/4) ✓ | Weekly | 4.6% | 0.42 | -43.4% | 75.0% | 32 | -2.8% |
| 11 | Heikin-Ashi Trend ✓ | Weekly | 4.8% | 0.42 | -45.0% | 51.7% | 331 | -2.7% |
| 12 | MACD ✓ | Weekly | 4.5% | 0.41 | -50.9% | 50.0% | 80 | -3.0% |
| 13 | Williams %R ✓ | Weekly | 4.5% | 0.41 | -34.8% | 75.5% | 53 | -3.0% |
| 14 | RSI Trend (>50) | Daily | 4.5% | 0.4 | -57.0% | 40.6% | 515 | -3.1% |
✓ = held up out-of-sample. Hypothetical, costs included. See methodology.
For Russell 2000 (RUT), CCI 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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