The best indicator for SmallCap 600
We backtested 382 indicators across daily, weekly and hourly charts on real SmallCap 600 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 SmallCap 600 over ~26.2 years — trailing buy-and-hold by 2.9% 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 | 7.3% | 0.63 | -31.3% | 83.9% | 31 | -2.9% |
| 2 | McGinley 30 Trend ✓ | Weekly | 9.9% | 0.62 | -26.8% | 55.0% | 20 | -0.2% |
| 3 | Supertrend (7,3) ✓ | Weekly | 7.2% | 0.55 | -25.4% | 70.6% | 17 | -3.0% |
| 4 | SMC: Liquidity Sweep ✓ | Weekly | 6.9% | 0.54 | -37.2% | 89.5% | 19 | -3.3% |
| 5 | Coppock Curve ✓ | Daily | 6.9% | 0.52 | -30.2% | 52.0% | 150 | -3.4% |
| 6 | McGinley 10/30 Cross ✓ | Daily | 7.3% | 0.52 | -33.9% | 44.0% | 50 | -3.0% |
| 7 | VIDYA 10/30 Cross ✓ | Daily | 7.1% | 0.52 | -43.8% | 47.8% | 23 | -3.2% |
| 8 | TRIX (15) ✓ | Daily | 7.0% | 0.52 | -29.2% | 51.3% | 76 | -3.2% |
| 9 | EMA 13/48 Cross ✓ | Daily | 6.8% | 0.51 | -29.0% | 41.2% | 68 | -3.5% |
| 10 | McGinley 200 Trend ✓ | Daily | 8.3% | 0.51 | -42.2% | 53.1% | 32 | -1.9% |
| 11 | McGinley Dynamic ✓ | Weekly | 7.3% | 0.51 | -26.7% | 58.6% | 58 | -2.9% |
| 12 | Chande-Kroll Stop (fast) ✓ | Weekly | 7.6% | 0.51 | -46.3% | 57.0% | 79 | -2.6% |
| 13 | Supertrend (14,4) ✓ | Daily | 6.3% | 0.5 | -30.2% | 52.5% | 61 | -4.0% |
| 14 | Supertrend (10,3) ✓ | Weekly | 6.5% | 0.5 | -29.0% | 66.7% | 18 | -3.7% |
✓ = held up out-of-sample. Hypothetical, costs included. See methodology.
For SmallCap 600, 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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