On AMZN, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On AMZN, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is Supertrend: the line that changes colour: -2.4 points a year over buying and holding AMZN. The worst is Upper Bollinger band breakout: -31.8 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 |
|---|---|---|---|---|---|---|
| Supertrend: the line that changes colour | ×1 538 | ×2 653 | -2.4% | +18.8% | — | 53 |
| The golden cross (50/200) | ×272 | ×2 653 | -9.7% | +11.5% | overfit | 33 |
| 2-day RSI (the Connors rule) | ×117 | ×2 653 | -13.2% | +8.0% | — | 712 |
| ADX: trade only in strong trends | ×72 | ×2 653 | -15.1% | +6.1% | overfit | 921 |
| Only invest above the 200-day average | ×65 | ×2 653 | -15.5% | +5.7% | partly | 223 |
| Ichimoku: buy above the cloud | ×65 | ×2 653 | -15.5% | +5.7% | partly | 355 |
| “Sell in May and go away” | ×62 | ×2 653 | -15.7% | +5.5% | overfit | 58 |
| Kaufman’s adaptive moving average (KAMA) | ×48 | ×2 653 | -16.7% | +4.5% | overfit | 1021 |
| Parabolic SAR: follow the dots | ×46 | ×2 653 | -16.9% | +4.3% | partly | 634 |
| The MACD cross (12/26/9) | ×24 | ×2 653 | -19.5% | +1.7% | overfit | 588 |
| The Turtles: 55-day breakout | ×14 | ×2 653 | -21.6% | -0.4% | overfit | 131 |
| Heikin Ashi: follow the coloured candles | 860.6% | ×2 653 | -22.8% | -1.7% | overfit | 1883 |
| Stochastic: oversold cross (14, 3) | 738.0% | ×2 653 | -23.3% | -2.1% | — | 387 |
| RSI 14: buy oversold (30/70) | 698.8% | ×2 653 | -23.5% | -2.3% | partly | 48 |
| Wyckoff: buying the accumulation | 415.1% | ×2 653 | -25.1% | -3.9% | overfit | 187 |
| Bounce off the lower Bollinger band | 254.1% | ×2 653 | -26.5% | -5.3% | partly | 210 |
| ICT / Smart Money: the fair value gap | 33.9% | ×2 653 | -29.9% | -8.7% | overfit | 270 |
| ICT / Smart Money: the order block | -2.5% | ×2 653 | -31.0% | -9.8% | — | 4 |
| Smart Money: the liquidity sweep | -10.3% | ×2 653 | -31.2% | -10.1% | overfit | 92 |
| Upper Bollinger band breakout | -24.4% | ×2 653 | -31.8% | -10.6% | overfit | 510 |
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