On ALNY, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On ALNY, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is the MACD cross (12/26/9): -0.0 points a year over buying and holding ALNY. The worst is 2-day RSI (the Connors rule): -20.8 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 MACD cross (12/26/9) | ×34 | ×34 | -0.0% | +6.2% | overfit | 405 |
| Wyckoff: buying the accumulation | ×26 | ×34 | -1.4% | +4.8% | partly | 170 |
| ADX: trade only in strong trends | ×16 | ×34 | -4.0% | +2.3% | partly | 706 |
| RSI 14: buy oversold (30/70) | ×13 | ×34 | -4.9% | +1.3% | partly | 41 |
| Kaufman’s adaptive moving average (KAMA) | 674.6% | ×34 | -7.6% | -1.4% | overfit | 789 |
| Parabolic SAR: follow the dots | 319.1% | ×34 | -10.6% | -4.4% | partly | 498 |
| Ichimoku: buy above the cloud | 261.8% | ×34 | -11.3% | -5.1% | overfit | 298 |
| Only invest above the 200-day average | 242.9% | ×34 | -11.5% | -5.3% | overfit | 174 |
| Bounce off the lower Bollinger band | 153.4% | ×34 | -13.0% | -6.7% | overfit | 164 |
| The Turtles: 55-day breakout | 142.1% | ×34 | -13.2% | -7.0% | overfit | 78 |
| The golden cross (50/200) | 135.9% | ×34 | -13.3% | -7.1% | overfit | 32 |
| Supertrend: the line that changes colour | 127.6% | ×34 | -13.5% | -7.2% | overfit | 34 |
| Stochastic: oversold cross (14, 3) | 113.3% | ×34 | -13.8% | -7.5% | overfit | 292 |
| Heikin Ashi: follow the coloured candles | 108.1% | ×34 | -13.9% | -7.7% | overfit | 1468 |
| “Sell in May and go away” | 87.2% | ×34 | -14.4% | -8.2% | — | 44 |
| Upper Bollinger band breakout | 11.8% | ×34 | -16.7% | -10.5% | overfit | 354 |
| ICT / Smart Money: the fair value gap | -5.9% | ×34 | -17.5% | -11.3% | overfit | 126 |
| ICT / Smart Money: the order block | -10.7% | ×34 | -17.7% | -11.5% | — | 8 |
| Smart Money: the liquidity sweep | -24.4% | ×34 | -18.5% | -12.3% | overfit | 74 |
| 2-day RSI (the Connors rule) | -55.4% | ×34 | -20.8% | -14.6% | overfit | 530 |
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