On AMP, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On AMP, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is the golden cross (50/200): -4.5 points a year over buying and holding AMP. The worst is Heikin Ashi: follow the coloured candles: -20.2 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) | 886.6% | ×23 | -4.5% | +0.4% | partly | 31 |
| Supertrend: the line that changes colour | 644.0% | ×23 | -6.0% | -1.1% | overfit | 21 |
| “Sell in May and go away” | 622.4% | ×23 | -6.1% | -1.3% | overfit | 42 |
| Only invest above the 200-day average | 456.6% | ×23 | -7.5% | -2.6% | partly | 173 |
| 2-day RSI (the Connors rule) | 357.1% | ×23 | -8.5% | -3.6% | overfit | 464 |
| Ichimoku: buy above the cloud | 294.3% | ×23 | -9.2% | -4.4% | overfit | 283 |
| RSI 14: buy oversold (30/70) | 285.8% | ×23 | -9.4% | -4.5% | overfit | 32 |
| The Turtles: 55-day breakout | 281.8% | ×23 | -9.4% | -4.5% | partly | 87 |
| The MACD cross (12/26/9) | 229.2% | ×23 | -10.2% | -5.3% | overfit | 426 |
| Stochastic: oversold cross (14, 3) | 154.9% | ×23 | -11.5% | -6.6% | overfit | 290 |
| Parabolic SAR: follow the dots | 76.9% | ×23 | -13.3% | -8.4% | overfit | 486 |
| ADX: trade only in strong trends | 63.3% | ×23 | -13.7% | -8.8% | overfit | 718 |
| Bounce off the lower Bollinger band | 62.6% | ×23 | -13.7% | -8.8% | overfit | 176 |
| Kaufman’s adaptive moving average (KAMA) | 32.9% | ×23 | -14.7% | -9.8% | overfit | 756 |
| ICT / Smart Money: the fair value gap | 16.3% | ×23 | -15.3% | -10.4% | overfit | 164 |
| ICT / Smart Money: the order block | 0.4% | ×23 | -16.0% | -11.1% | — | 4 |
| Smart Money: the liquidity sweep | -12.5% | ×23 | -16.7% | -11.8% | overfit | 50 |
| Wyckoff: buying the accumulation | -27.5% | ×23 | -17.5% | -12.7% | overfit | 116 |
| Upper Bollinger band breakout | -39.6% | ×23 | -18.4% | -13.5% | overfit | 336 |
| Heikin Ashi: follow the coloured candles | -59.4% | ×23 | -20.2% | -15.4% | overfit | 1422 |
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