On AKAM, 16 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On AKAM, 16 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is the golden cross (50/200): +14.1 points a year over buying and holding AKAM. The worst is RSI 14: buy oversold (30/70): -13.2 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 | -25.2% | +14.1% | +4.6% | overfit | 37 |
| Only invest above the 200-day average | ×25 | -25.2% | +13.9% | +4.3% | overfit | 165 |
| Supertrend: the line that changes colour | ×17 | -25.2% | +12.3% | +2.7% | overfit | 45 |
| Bounce off the lower Bollinger band | ×11 | -25.2% | +10.5% | +0.9% | partly | 232 |
| The Turtles: 55-day breakout | 651.7% | -25.2% | +8.9% | -0.7% | overfit | 100 |
| “Sell in May and go away” | 156.2% | -25.2% | +4.6% | -4.9% | — | 54 |
| Ichimoku: buy above the cloud | 100.9% | -25.2% | +3.7% | -5.9% | overfit | 340 |
| Parabolic SAR: follow the dots | 43.2% | -25.2% | +2.4% | -7.2% | overfit | 552 |
| Upper Bollinger band breakout | 31.9% | -25.2% | +2.1% | -7.5% | overfit | 394 |
| ICT / Smart Money: the fair value gap | 0.9% | -25.2% | +1.1% | -8.5% | overfit | 180 |
| ICT / Smart Money: the order block | 0.2% | -25.2% | +1.1% | -8.5% | — | 6 |
| Kaufman’s adaptive moving average (KAMA) | -14.9% | -25.2% | +0.5% | -9.1% | overfit | 910 |
| ADX: trade only in strong trends | -18.8% | -25.2% | +0.3% | -9.3% | overfit | 806 |
| Wyckoff: buying the accumulation | -20.6% | -25.2% | +0.2% | -9.4% | overfit | 185 |
| 2-day RSI (the Connors rule) | -20.9% | -25.2% | +0.2% | -9.4% | overfit | 646 |
| Smart Money: the liquidity sweep | -22.7% | -25.2% | +0.1% | -9.5% | overfit | 88 |
| The MACD cross (12/26/9) | -49.4% | -25.2% | -1.4% | -11.0% | overfit | 508 |
| Stochastic: oversold cross (14, 3) | -56.4% | -25.2% | -2.0% | -11.6% | overfit | 373 |
| Heikin Ashi: follow the coloured candles | -77.7% | -25.2% | -4.4% | -14.0% | overfit | 1769 |
| RSI 14: buy oversold (30/70) | -98.4% | -25.2% | -13.2% | -22.8% | overfit | 38 |
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