The best indicator for Value
We backtested 382 indicators across daily, weekly and hourly charts on real Value history. Here's what actually worked — risk-adjusted, out-of-sample, with costs.
Ichimoku TK Cross
On the weekly chart, this is the strongest risk-adjusted edge we found for Value over ~22.5 years — trailing buy-and-hold by 0.6% 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 | Ichimoku TK Cross ✓ | Weekly | 9.1% | 0.81 | -22.3% | 69.6% | 23 | -0.6% |
| 2 | TRIX (9) ✓ | Weekly | 9.0% | 0.8 | -22.3% | 68.8% | 16 | -0.7% |
| 3 | Coral Trend ✓ | Weekly | 8.4% | 0.78 | -30.0% | 66.7% | 21 | -1.2% |
| 4 | WMA 10/40 Cross ✓ | Weekly | 8.7% | 0.78 | -22.1% | 68.8% | 16 | -1.0% |
| 5 | Linear Regression Slope ✓ | Weekly | 8.2% | 0.77 | -20.8% | 68.2% | 22 | -1.5% |
| 6 | Correlation Trend ✓ | Weekly | 8.2% | 0.77 | -20.8% | 68.2% | 22 | -1.5% |
| 7 | WMA 10/30 Cross ✓ | Weekly | 8.3% | 0.77 | -30.0% | 70.0% | 20 | -1.4% |
| 8 | EMA 9/26 Cross ✓ | Weekly | 8.4% | 0.75 | -20.3% | 53.3% | 15 | -1.3% |
| 9 | MAMA / FAMA ✓ | Weekly | 8.4% | 0.74 | -21.7% | 53.3% | 15 | -1.3% |
| 10 | EMA 8/21 Cross ✓ | Weekly | 8.0% | 0.73 | -17.1% | 70.0% | 20 | -1.7% |
| 11 | Ehlers TrendFlex ✓ | Weekly | 8.0% | 0.73 | -22.3% | 65.0% | 20 | -1.7% |
| 12 | ROC (30) ✓ | Weekly | 7.9% | 0.73 | -26.4% | 55.9% | 34 | -1.8% |
| 13 | CMO (30) ✓ | Weekly | 7.9% | 0.73 | -26.4% | 55.9% | 34 | -1.8% |
| 14 | Momentum (30) ✓ | Weekly | 7.9% | 0.73 | -26.4% | 55.9% | 34 | -1.8% |
✓ = held up out-of-sample. Hypothetical, costs included. See methodology.
For Value, Ichimoku TK Cross 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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