Commodity Channel Index strategy — on every asset
The Commodity Channel Index measures how far the typical price (the high, low and close averaged) has stretched from its recent moving average, scaled by its own average deviation. On very quiet ranges that deviation is tiny, so the index can spike past +100 or -100 on almost no movement - the reading is a gauge of stretch, not a prediction. This rule treats a push above +100 as the start of a move and goes long on that breakout, exiting when momentum fades back below the zero line - a breakout/momentum reading of the stretch gauge. Like any breakout rule it stays in while a one-directional move persists and it whipsaws in and out during sideways, range-bound markets.
Also known as: CCI Indicator.
An illustration of where the rule triggers — not real prices, and not a signal to act. The dashed forks mean the outcome is undetermined; whether the rule made money is what a backtest measures.
Through a sustained one-way move — By construction it stays in while a one-directional move keeps the stretch push alive and exits when momentum fades back below zero — a breakout reading of the gauge.
In a choppy, sideways range — In sideways, range-bound markets the gauge spikes past its levels on little real movement — it whipsaws in and out, and the reading is stretch, not a prediction of a turn.
Whether that behaviour produced excess return on your asset over your window is exactly what your backtest measures — we publish no profit claims.
How it works — step by step
- • Entry — Go long when CCI pushes above +100, treating the stretch as the start of a move.
- • Exit — Go flat when momentum fades back below the zero line. A mean-reversion reading of CCI is a separate strategy, deliberately not traded here.
- • Fills, scoring & data — Every backtest fills at the next real open and scores on the real price against a real buy-and-hold, never a smoothed or derived series; on a very quiet range the deviation is tiny, so the reading can spike on almost no movement — a degenerate window sits flat and never fabricates a reading.
Most of these did not beat buy & hold — but a real few did, and finding out which is the whole point. This one strategy was tested on 91 different assets. With that many attempts, some will beat buy & hold by chance alone — which is why these are listed neutrally, not ranked by which ones came out ahead. To see whether any single result survives scrutiny, run the out-of-sample, walk-forward and multiple-testing checks on its backtest.
Of the 91 with enough data to judge, 25 beat buy & hold. Results are simulated backtests over the last ~5 years (less for younger assets), shown whole — losses included — not live or future performance. These are famous names that still trade today. Names that delisted, went bankrupt or were wound down aren't in the set (survivorship bias) — and that history isn't available from the free public data this tool runs on — so this rate isn't a representative base rate for every stock or ETF that has ever traded.
Listed in a neutral catalog order — not ranked by performance. Combinations we can't judge yet — too little data — are grouped separately below.
Here, “beat” means only a higher total return than buy & hold over this one past window — not risk-adjusted, not luck-checked. The out-of-sample, walk-forward and luck checks live on each individual backtest.
Past performance is not a reliable indicator of future results. This is an educational, analytical tool — not investment advice, and not a recommendation to buy or sell anything. You make all decisions and execute on your own broker.
HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER- OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN.
On the 91 assets with enough data to judge, the same rule swung from +361 pts vs buy & hold on XRP to -1118 pts on Micron Technology. The typical (median) result was -36.7 pts — and even across these runs, the deepest drawdown you'd have sat through was -81% on Litecoin.
That range is the whole point: one rule is not universally good or bad — it depends entirely on the asset, and with 91 tried, some beat by chance. Shown to reveal the variation, not to pick one to trade.
Commodity Channel Index on stocks
Commodity Channel Index on etfs
Commodity Channel Index on commodities
Commodity Channel Index on crypto
Razor-thin margin — effectively a tie.
Backtesting is one stage of preparing to trade, not the finish line. The full discipline runs five: Understand, Test, Stress-test, Forward-test, then Decide — eyes open. The rare idea that survives all five is the one worth taking into the market with your eyes open — and every stage before it is a place to stop, for free, as most ideas wash out in the first three. Finding that rare idea before you risk a cent is the whole point.