On AIZ, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On AIZ, 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): -3.6 points a year over buying and holding AIZ, while the worst is Heikin Ashi: follow the coloured candles, at -21.0 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) | 703.3% | ×17 | -3.6% | -1.2% | overfit | 33 |
| Only invest above the 200-day average | 637.0% | ×17 | -4.1% | -1.6% | overfit | 147 |
| “Sell in May and go away” | 446.6% | ×17 | -5.5% | -3.0% | overfit | 45 |
| Ichimoku: buy above the cloud | 289.6% | ×17 | -7.1% | -4.6% | overfit | 297 |
| Wyckoff: buying the accumulation | 262.8% | ×17 | -7.4% | -5.0% | overfit | 129 |
| The MACD cross (12/26/9) | 150.7% | ×17 | -9.2% | -6.7% | overfit | 476 |
| Parabolic SAR: follow the dots | 139.1% | ×17 | -9.4% | -6.9% | overfit | 524 |
| RSI 14: buy oversold (30/70) | 122.6% | ×17 | -9.7% | -7.2% | overfit | 38 |
| The Turtles: 55-day breakout | 111.1% | ×17 | -10.0% | -7.5% | overfit | 99 |
| 2-day RSI (the Connors rule) | 95.3% | ×17 | -10.3% | -7.8% | overfit | 484 |
| Stochastic: oversold cross (14, 3) | 57.4% | ×17 | -11.3% | -8.8% | overfit | 303 |
| ADX: trade only in strong trends | 54.5% | ×17 | -11.4% | -8.9% | overfit | 737 |
| Kaufman’s adaptive moving average (KAMA) | 39.7% | ×17 | -11.8% | -9.4% | overfit | 795 |
| Bounce off the lower Bollinger band | 28.4% | ×17 | -12.2% | -9.8% | overfit | 198 |
| Supertrend: the line that changes colour | 10.6% | ×17 | -12.9% | -10.4% | overfit | 35 |
| ICT / Smart Money: the order block | 3.2% | ×17 | -13.2% | -10.7% | overfit | 16 |
| ICT / Smart Money: the fair value gap | -12.2% | ×17 | -13.9% | -11.4% | overfit | 194 |
| Smart Money: the liquidity sweep | -19.6% | ×17 | -14.3% | -11.8% | overfit | 80 |
| Upper Bollinger band breakout | -49.1% | ×17 | -16.3% | -13.8% | overfit | 398 |
| Heikin Ashi: follow the coloured candles | -83.2% | ×17 | -21.0% | -18.5% | overfit | 1556 |
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