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Finaxion Research · ALLE

Which strategy works on ALLE?

On ALLE, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.

Findings

On ALLE, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is Wyckoff: buying the accumulation: +0.8 points a year over buying and holding ALLE. The worst is Heikin Ashi: follow the coloured candles: -15.0 points a year against buy-and-hold.

  1. On ALLE, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
  2. The best is Wyckoff: buying the accumulation: +0.8 points a year over buying and holding ALLE.
  3. The worst is Heikin Ashi: follow the coloured candles: -15.0 points a year against buy-and-hold.

The 20 strategies, one by one

StrategyReturnBuy and holdExcess (pts/yr)Vs. S&P 500 (pts/yr)Out of sampleTrades
Wyckoff: buying the accumulation301.9%265.9%+0.8%-2.4%—72
Stochastic: oversold cross (14, 3)181.2%265.9%-2.2%-5.5%—179
Supertrend: the line that changes colour161.2%265.9%-2.9%-6.1%—15
RSI 14: buy oversold (30/70)155.8%265.9%-3.0%-6.3%—24
“Sell in May and go away”83.6%265.9%-5.8%-9.1%—25
The MACD cross (12/26/9)68.8%265.9%-6.5%-9.8%—262
Bounce off the lower Bollinger band54.8%265.9%-7.2%-10.4%—106
The golden cross (50/200)44.0%265.9%-7.8%-11.0%—18
ADX: trade only in strong trends39.5%265.9%-8.0%-11.3%—414
Kaufman’s adaptive moving average (KAMA)36.2%265.9%-8.2%-11.5%—442
2-day RSI (the Connors rule)26.7%265.9%-8.8%-12.1%—303
Ichimoku: buy above the cloud24.7%265.9%-8.9%-12.2%—161
ICT / Smart Money: the fair value gap20.6%265.9%-9.2%-12.5%—108
Parabolic SAR: follow the dots17.7%265.9%-9.4%-12.7%—298
Only invest above the 200-day average7.8%265.9%-10.1%-13.4%—113
Upper Bollinger band breakout1.2%265.9%-10.6%-13.9%—202
ICT / Smart Money: the order block0.4%265.9%-10.7%-13.9%—2
Smart Money: the liquidity sweep-9.9%265.9%-11.5%-14.8%—50
The Turtles: 55-day breakout-11.6%265.9%-11.6%-14.9%—59
Heikin Ashi: follow the coloured candles-42.8%265.9%-15.0%-18.2%—836

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