On ARE, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On ARE, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is Wyckoff: buying the accumulation, at -0.8 points a year over buying and holding ARE. The worst is Heikin Ashi: follow the coloured candles, at -10.1 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 |
|---|---|---|---|---|---|---|
| Wyckoff: buying the accumulation | 477.5% | 624.3% | -0.8% | -3.5% | overfit | 132 |
| RSI 14: buy oversold (30/70) | 226.7% | 624.3% | -2.9% | -5.5% | overfit | 62 |
| The golden cross (50/200) | 199.5% | 624.3% | -3.2% | -5.8% | overfit | 35 |
| “Sell in May and go away” | 193.6% | 624.3% | -3.3% | -5.9% | — | 58 |
| The MACD cross (12/26/9) | 190.5% | 624.3% | -3.3% | -5.9% | overfit | 585 |
| Only invest above the 200-day average | 103.6% | 624.3% | -4.5% | -7.2% | overfit | 273 |
| Stochastic: oversold cross (14, 3) | 84.3% | 624.3% | -4.9% | -7.5% | overfit | 404 |
| Parabolic SAR: follow the dots | 81.8% | 624.3% | -4.9% | -7.6% | overfit | 667 |
| 2-day RSI (the Connors rule) | 56.2% | 624.3% | -5.5% | -8.1% | overfit | 658 |
| Supertrend: the line that changes colour | 13.0% | 624.3% | -6.6% | -9.2% | overfit | 50 |
| Bounce off the lower Bollinger band | 8.1% | 624.3% | -6.7% | -9.4% | overfit | 224 |
| ICT / Smart Money: the order block | 2.9% | 624.3% | -6.9% | -9.6% | overfit | 14 |
| The Turtles: 55-day breakout | -6.9% | 624.3% | -7.3% | -9.9% | overfit | 128 |
| ICT / Smart Money: the fair value gap | -14.4% | 624.3% | -7.5% | -10.2% | overfit | 220 |
| Smart Money: the liquidity sweep | -17.5% | 624.3% | -7.7% | -10.3% | overfit | 104 |
| Ichimoku: buy above the cloud | -25.5% | 624.3% | -8.0% | -10.7% | overfit | 443 |
| Upper Bollinger band breakout | -25.6% | 624.3% | -8.0% | -10.7% | overfit | 500 |
| ADX: trade only in strong trends | -39.9% | 624.3% | -8.7% | -11.4% | overfit | 1007 |
| Kaufman’s adaptive moving average (KAMA) | -39.9% | 624.3% | -8.7% | -11.4% | overfit | 1081 |
| Heikin Ashi: follow the coloured candles | -59.6% | 624.3% | -10.1% | -12.7% | overfit | 1842 |
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