On ALB, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On ALB, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is "Sell in May and go away" at -2.9 points a year over buying and holding ALB, while the worst is Upper Bollinger band breakout at -17.4 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” | ×14 | ×32 | -2.9% | -2.5% | — | 65 |
| The golden cross (50/200) | ×12 | ×32 | -3.4% | -3.1% | overfit | 52 |
| Only invest above the 200-day average | 909.5% | ×32 | -3.9% | -3.5% | partly | 252 |
| The Turtles: 55-day breakout | 310.9% | ×32 | -6.8% | -6.4% | overfit | 124 |
| 2-day RSI (the Connors rule) | 306.3% | ×32 | -6.8% | -6.5% | overfit | 758 |
| Supertrend: the line that changes colour | 161.0% | ×32 | -8.2% | -7.9% | partly | 54 |
| The MACD cross (12/26/9) | 153.8% | ×32 | -8.3% | -8.0% | overfit | 651 |
| Ichimoku: buy above the cloud | 116.3% | ×32 | -8.8% | -8.5% | overfit | 478 |
| Stochastic: oversold cross (14, 3) | 100.0% | ×32 | -9.1% | -8.7% | overfit | 438 |
| RSI 14: buy oversold (30/70) | 80.9% | ×32 | -9.4% | -9.0% | overfit | 53 |
| ICT / Smart Money: the fair value gap | 46.6% | ×32 | -10.0% | -9.7% | overfit | 240 |
| Wyckoff: buying the accumulation | 21.9% | ×32 | -10.6% | -10.3% | overfit | 226 |
| Bounce off the lower Bollinger band | 10.2% | ×32 | -10.9% | -10.6% | overfit | 274 |
| ICT / Smart Money: the order block | -0.8% | ×32 | -11.3% | -10.9% | — | 12 |
| Smart Money: the liquidity sweep | -1.3% | ×32 | -11.3% | -10.9% | overfit | 86 |
| ADX: trade only in strong trends | -3.5% | ×32 | -11.3% | -11.0% | overfit | 1041 |
| Parabolic SAR: follow the dots | -59.9% | ×32 | -14.0% | -13.7% | overfit | 732 |
| Kaufman’s adaptive moving average (KAMA) | -68.2% | ×32 | -14.7% | -14.4% | overfit | 1181 |
| Heikin Ashi: follow the coloured candles | -73.7% | ×32 | -15.3% | -14.9% | overfit | 2206 |
| Upper Bollinger band breakout | -87.5% | ×32 | -17.4% | -17.1% | overfit | 530 |
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