On ALL, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On ALL, 1 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): +0.1 points a year over buying and holding ALL. The worst is Heikin Ashi: follow the coloured candles: -18.5 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) | ×39 | ×38 | +0.1% | +0.8% | partly | 35 |
| Only invest above the 200-day average | ×16 | ×38 | -2.9% | -2.1% | overfit | 237 |
| “Sell in May and go away” | ×13 | ×38 | -3.6% | -2.9% | — | 66 |
| 2-day RSI (the Connors rule) | 760.4% | ×38 | -4.8% | -4.1% | overfit | 784 |
| Supertrend: the line that changes colour | 417.1% | ×38 | -6.5% | -5.8% | overfit | 45 |
| Wyckoff: buying the accumulation | 303.0% | ×38 | -7.3% | -6.6% | overfit | 148 |
| Stochastic: oversold cross (14, 3) | 184.3% | ×38 | -8.3% | -7.6% | overfit | 441 |
| The Turtles: 55-day breakout | 82.5% | ×38 | -9.7% | -9.0% | overfit | 139 |
| Ichimoku: buy above the cloud | 38.5% | ×38 | -10.6% | -9.8% | overfit | 477 |
| RSI 14: buy oversold (30/70) | 20.9% | ×38 | -11.0% | -10.3% | overfit | 46 |
| Parabolic SAR: follow the dots | 14.6% | ×38 | -11.1% | -10.4% | overfit | 766 |
| ADX: trade only in strong trends | 12.3% | ×38 | -11.2% | -10.5% | overfit | 1116 |
| ICT / Smart Money: the order block | 1.1% | ×38 | -11.5% | -10.8% | overfit | 20 |
| Bounce off the lower Bollinger band | -1.7% | ×38 | -11.6% | -10.9% | overfit | 262 |
| ICT / Smart Money: the fair value gap | -13.8% | ×38 | -12.0% | -11.3% | overfit | 298 |
| Smart Money: the liquidity sweep | -20.0% | ×38 | -12.2% | -11.5% | overfit | 142 |
| The MACD cross (12/26/9) | -28.3% | ×38 | -12.5% | -11.8% | overfit | 728 |
| Upper Bollinger band breakout | -72.5% | ×38 | -15.4% | -14.6% | overfit | 544 |
| Kaufman’s adaptive moving average (KAMA) | -84.3% | ×38 | -17.0% | -16.3% | overfit | 1294 |
| Heikin Ashi: follow the coloured candles | -90.9% | ×38 | -18.5% | -17.8% | overfit | 2256 |
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