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Finaxion Research · AMT

Which strategy works on AMT?

On AMT, 2 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.

Findings

On AMT, 2 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is "Sell in May and go away": +0.6 points a year over buying and holding AMT. The worst is Bounce off the lower Bollinger band: -11.3 points a year against buy-and-hold.

  1. On AMT, 2 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
  2. The best is “Sell in May and go away”: +0.6 points a year over buying and holding AMT.
  3. The worst is Bounce off the lower Bollinger band: -11.3 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
“Sell in May and go away”×16×14+0.6%+1.2%overfit57
The golden cross (50/200)×14×14+0.1%+0.7%partly40
Only invest above the 200-day average661.8%×14-2.3%-1.7%overfit230
The Turtles: 55-day breakout463.9%×14-3.5%-2.8%overfit106
Wyckoff: buying the accumulation306.0%×14-4.7%-4.0%overfit160
Ichimoku: buy above the cloud285.2%×14-4.9%-4.2%overfit412
Heikin Ashi: follow the coloured candles166.8%×14-6.2%-5.6%overfit1856
Supertrend: the line that changes colour155.2%×14-6.4%-5.7%overfit41
Kaufman’s adaptive moving average (KAMA)129.8%×14-6.8%-6.1%overfit1021
Stochastic: oversold cross (14, 3)114.8%×14-7.0%-6.4%overfit380
Upper Bollinger band breakout77.8%×14-7.7%-7.0%overfit440
2-day RSI (the Connors rule)71.9%×14-7.8%-7.2%overfit686
RSI 14: buy oversold (30/70)66.1%×14-7.9%-7.3%overfit45
ADX: trade only in strong trends58.9%×14-8.1%-7.4%overfit915
The MACD cross (12/26/9)13.9%×14-9.3%-8.6%overfit571
Parabolic SAR: follow the dots12.8%×14-9.3%-8.6%overfit655
Smart Money: the liquidity sweep5.2%×14-9.5%-8.9%overfit102
ICT / Smart Money: the order block0.4%×14-9.7%-9.1%—2
ICT / Smart Money: the fair value gap-25.1%×14-10.7%-10.1%overfit222
Bounce off the lower Bollinger band-37.0%×14-11.3%-10.7%overfit234

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