The best indicator for CME Group (CME)
We backtested 366 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.
KAMA 200 Trend
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 0.7% CAGR.
Best multi-indicator combo
Going long only when all 2 agree was the strongest confluence setup we found for CME Group (CME) — trailing buy-and-hold by 8.8% CAGR, out-of-sample. Fewer, higher-conviction trades than any single indicator.
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 | KAMA 200 Trend ✓ | Weekly | 18.5% | 0.89 | -37.2% | 31.2% | 16 | -0.7% |
| 2 | G-Channel ✓ | Weekly | 17.4% | 0.84 | -51.2% | 40.9% | 22 | -1.8% |
| 3 | EMA 8/21 Cross ✓ | Weekly | 16.8% | 0.8 | -37.3% | 55.0% | 20 | -2.4% |
| 4 | RSI (50) ✓ | Weekly | 15.9% | 0.8 | -51.4% | 36.0% | 25 | -3.3% |
| 5 | VIDYA ✓ | Weekly | 16.5% | 0.79 | -56.7% | 42.9% | 35 | -2.7% |
| 6 | Relative Momentum Index ✓ | Weekly | 16.4% | 0.78 | -52.0% | 52.6% | 19 | -2.8% |
| 7 | RSI (25) ✓ | Weekly | 16.0% | 0.78 | -56.4% | 41.9% | 31 | -3.1% |
| 8 | RSI Trend (>50) ✓ | Weekly | 15.5% | 0.77 | -33.8% | 51.7% | 58 | -3.6% |
| 9 | Donchian Breakout ✓ | Weekly | 14.5% | 0.77 | -41.0% | 62.5% | 16 | -4.7% |
| 10 | MAMA / FAMA ✓ | Weekly | 16.0% | 0.77 | -39.9% | 55.0% | 20 | -3.1% |
| 11 | Disparity (50) ✓ | Weekly | 15.3% | 0.77 | -56.4% | 41.9% | 31 | -3.8% |
| 12 | SMC: Order Block ✓ | Weekly | 15.6% | 0.77 | -53.6% | 37.5% | 32 | -3.6% |
| 13 | VIDYA 100 Trend ✓ | Daily | 16.0% | 0.76 | -52.1% | 22.7% | 22 | -3.3% |
| 14 | SMA 5/20 Cross ✓ | Weekly | 15.6% | 0.76 | -56.4% | 60.0% | 30 | -3.6% |
✓ = held up out-of-sample. Hypothetical, costs included. See methodology.
For CME Group (CME), KAMA 200 Trend 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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