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Finaxion Research · APO

Which strategy works on APO?

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

Findings

On APO, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is Ichimoku: buy above the cloud, at -6.3 points a year over buying and holding APO. The worst is ICT / Smart Money: the fair value gap, at -21.5 points a year against buy-and-hold.

  1. On APO, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
  2. The best is Ichimoku: buy above the cloud: -6.3 points a year over buying and holding APO.
  3. The worst is ICT / Smart Money: the fair value gap: -21.5 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
Ichimoku: buy above the cloud750.2%×19-6.3%+0.9%—181
RSI 14: buy oversold (30/70)558.5%×19-8.2%-1.0%—38
The MACD cross (12/26/9)484.9%×19-9.1%-1.8%—296
Only invest above the 200-day average478.1%×19-9.1%-1.9%—123
The golden cross (50/200)437.1%×19-9.7%-2.5%—26
“Sell in May and go away”383.3%×19-10.5%-3.2%overfit31
Supertrend: the line that changes colour326.8%×19-11.3%-4.1%—20
ADX: trade only in strong trends287.1%×19-12.0%-4.8%—505
2-day RSI (the Connors rule)176.4%×19-14.4%-7.2%—354
Wyckoff: buying the accumulation149.2%×19-15.1%-7.9%—84
Stochastic: oversold cross (14, 3)143.9%×19-15.3%-8.0%—197
Kaufman’s adaptive moving average (KAMA)98.7%×19-16.7%-9.4%—583
Heikin Ashi: follow the coloured candles89.5%×19-17.0%-9.8%—1027
The Turtles: 55-day breakout72.5%×19-17.6%-10.4%—67
Parabolic SAR: follow the dots50.2%×19-18.5%-11.3%—364
Upper Bollinger band breakout46.4%×19-18.7%-11.5%—258
Bounce off the lower Bollinger band24.0%×19-19.8%-12.6%—128
Smart Money: the liquidity sweep-0.2%×19-21.2%-14.0%—46
ICT / Smart Money: the order block-1.0%×19-21.3%-14.1%—2
ICT / Smart Money: the fair value gap-4.5%×19-21.5%-14.3%—93

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