On A, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On A, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is "Sell in May and go away": +1.4 points a year over buying and holding A. The worst is Wyckoff: buying the accumulation: -10.7 points a year against buy-and-hold.
| Strategy | Return | Buy and hold | Excess (pts/yr) | Vs. S&P 500 (pts/yr) | Out of sample | Trades |
|---|---|---|---|---|---|---|
| “Sell in May and go away” | 736.6% | 486.3% | +1.4% | -0.1% | — | 53 |
| Ichimoku: buy above the cloud | 349.4% | 486.3% | -1.0% | -2.6% | overfit | 307 |
| The Turtles: 55-day breakout | 252.5% | 486.3% | -2.0% | -3.5% | overfit | 105 |
| Only invest above the 200-day average | 236.9% | 486.3% | -2.2% | -3.7% | overfit | 199 |
| Kaufman’s adaptive moving average (KAMA) | 211.6% | 486.3% | -2.5% | -4.0% | partly | 925 |
| The golden cross (50/200) | 191.2% | 486.3% | -2.7% | -4.3% | overfit | 43 |
| Parabolic SAR: follow the dots | 50.4% | 486.3% | -5.3% | -6.8% | overfit | 591 |
| 2-day RSI (the Connors rule) | 41.3% | 486.3% | -5.5% | -7.1% | overfit | 634 |
| Bounce off the lower Bollinger band | 40.3% | 486.3% | -5.5% | -7.1% | overfit | 210 |
| Upper Bollinger band breakout | 36.1% | 486.3% | -5.7% | -7.2% | overfit | 430 |
| Heikin Ashi: follow the coloured candles | 20.0% | 486.3% | -6.1% | -7.7% | overfit | 1803 |
| ICT / Smart Money: the fair value gap | 8.8% | 486.3% | -6.5% | -8.1% | overfit | 182 |
| The MACD cross (12/26/9) | 7.8% | 486.3% | -6.5% | -8.1% | overfit | 525 |
| RSI 14: buy oversold (30/70) | 7.7% | 486.3% | -6.5% | -8.1% | overfit | 44 |
| ICT / Smart Money: the order block | -4.6% | 486.3% | -7.0% | -8.6% | — | 8 |
| ADX: trade only in strong trends | -12.6% | 486.3% | -7.3% | -8.9% | overfit | 863 |
| Smart Money: the liquidity sweep | -13.5% | 486.3% | -7.4% | -8.9% | overfit | 108 |
| Stochastic: oversold cross (14, 3) | -30.7% | 486.3% | -8.2% | -9.7% | overfit | 346 |
| Supertrend: the line that changes colour | -46.0% | 486.3% | -9.1% | -10.7% | overfit | 53 |
| Wyckoff: buying the accumulation | -64.8% | 486.3% | -10.7% | -12.2% | overfit | 152 |
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