On ACGL, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On ACGL, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is the golden cross (50/200): -1.7 points a year over buying and holding ACGL. The worst is Kaufman's adaptive moving average (KAMA): -17.8 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 |
|---|---|---|---|---|---|---|
| The golden cross (50/200) | ×27 | ×44 | -1.7% | +0.7% | overfit | 35 |
| Stochastic: oversold cross (14, 3) | ×11 | ×44 | -4.8% | -2.4% | overfit | 426 |
| RSI 14: buy oversold (30/70) | 756.3% | ×44 | -5.8% | -3.4% | overfit | 52 |
| Only invest above the 200-day average | 708.9% | ×44 | -6.0% | -3.5% | — | 259 |
| Supertrend: the line that changes colour | 506.0% | ×44 | -7.0% | -4.5% | overfit | 47 |
| “Sell in May and go away” | 326.7% | ×44 | -8.2% | -5.8% | overfit | 62 |
| Wyckoff: buying the accumulation | 309.7% | ×44 | -8.3% | -5.9% | — | 177 |
| Bounce off the lower Bollinger band | 169.9% | ×44 | -9.7% | -7.3% | overfit | 250 |
| 2-day RSI (the Connors rule) | 139.9% | ×44 | -10.1% | -7.7% | overfit | 666 |
| The Turtles: 55-day breakout | 139.1% | ×44 | -10.1% | -7.7% | overfit | 117 |
| Ichimoku: buy above the cloud | 23.6% | ×44 | -12.3% | -9.9% | overfit | 512 |
| The MACD cross (12/26/9) | 7.7% | ×44 | -12.7% | -10.3% | overfit | 665 |
| Smart Money: the liquidity sweep | 4.4% | ×44 | -12.8% | -10.4% | overfit | 126 |
| ICT / Smart Money: the order block | -4.6% | ×44 | -13.1% | -10.7% | overfit | 32 |
| Upper Bollinger band breakout | -15.2% | ×44 | -13.5% | -11.1% | overfit | 524 |
| ICT / Smart Money: the fair value gap | -26.7% | ×44 | -14.0% | -11.6% | overfit | 258 |
| Parabolic SAR: follow the dots | -39.4% | ×44 | -14.6% | -12.2% | overfit | 697 |
| ADX: trade only in strong trends | -61.4% | ×44 | -16.0% | -13.6% | overfit | 1042 |
| Heikin Ashi: follow the coloured candles | -70.7% | ×44 | -16.9% | -14.4% | overfit | 2224 |
| Kaufman’s adaptive moving average (KAMA) | -78.1% | ×44 | -17.8% | -15.3% | overfit | 1194 |
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