On ALGN, 5 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On ALGN, 5 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is Only invest above the 200-day average: +6.8 points a year over buying and holding ALGN. The worst is Upper Bollinger band breakout: -11.9 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 |
|---|---|---|---|---|---|---|
| Only invest above the 200-day average | ×44 | 846.9% | +6.8% | +7.1% | overfit | 148 |
| “Sell in May and go away” | ×37 | 846.9% | +5.9% | +6.3% | — | 51 |
| Supertrend: the line that changes colour | ×19 | 846.9% | +3.1% | +3.4% | partly | 41 |
| Ichimoku: buy above the cloud | ×14 | 846.9% | +1.6% | +1.9% | overfit | 284 |
| The golden cross (50/200) | 995.6% | 846.9% | +0.6% | +1.0% | overfit | 31 |
| Wyckoff: buying the accumulation | 312.9% | 846.9% | -3.5% | -3.2% | overfit | 160 |
| 2-day RSI (the Connors rule) | 207.4% | 846.9% | -4.7% | -4.4% | overfit | 617 |
| The MACD cross (12/26/9) | 171.9% | 846.9% | -5.2% | -4.9% | partly | 486 |
| The Turtles: 55-day breakout | 165.3% | 846.9% | -5.3% | -5.0% | overfit | 96 |
| ADX: trade only in strong trends | 85.5% | 846.9% | -6.7% | -6.4% | overfit | 788 |
| Stochastic: oversold cross (14, 3) | 74.4% | 846.9% | -7.0% | -6.7% | overfit | 343 |
| Parabolic SAR: follow the dots | 49.6% | 846.9% | -7.6% | -7.3% | overfit | 522 |
| Heikin Ashi: follow the coloured candles | 44.8% | 846.9% | -7.7% | -7.4% | overfit | 1652 |
| Kaufman’s adaptive moving average (KAMA) | 15.2% | 846.9% | -8.6% | -8.3% | overfit | 892 |
| ICT / Smart Money: the order block | -9.3% | 846.9% | -9.6% | -9.2% | — | 6 |
| RSI 14: buy oversold (30/70) | -21.6% | 846.9% | -10.1% | -9.8% | overfit | 48 |
| ICT / Smart Money: the fair value gap | -33.7% | 846.9% | -10.8% | -10.5% | overfit | 174 |
| Bounce off the lower Bollinger band | -35.7% | 846.9% | -10.9% | -10.6% | overfit | 205 |
| Smart Money: the liquidity sweep | -41.7% | 846.9% | -11.3% | -11.0% | overfit | 74 |
| Upper Bollinger band breakout | -50.7% | 846.9% | -11.9% | -11.6% | overfit | 454 |
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