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Finaxion Research · ARES

Which strategy works on ARES?

On ARES, 0 of 19 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.

Findings

On ARES, 0 of 19 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) at -8.4 points a year over buying and holding ARES, while the worst is Smart Money: the liquidity sweep at -23.3 points a year against buy-and-hold.

  1. On ARES, 0 of 19 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
  2. The best is the golden cross (50/200): -8.4 points a year over buying and holding ARES.
  3. The worst is Smart Money: the liquidity sweep: -23.3 points a year against buy-and-hold.

The 19 strategies, one by one

StrategyReturnBuy and holdExcess (pts/yr)Vs. S&P 500 (pts/yr)Out of sampleTrades
The golden cross (50/200)441.2%×13-8.4%+0.8%—20
Only invest above the 200-day average404.5%×13-9.0%+0.1%—89
Wyckoff: buying the accumulation301.1%×13-11.1%-2.0%—76
Kaufman’s adaptive moving average (KAMA)251.4%×13-12.3%-3.2%—417
RSI 14: buy oversold (30/70)238.4%×13-12.6%-3.5%—20
Ichimoku: buy above the cloud215.1%×13-13.3%-4.2%—143
2-day RSI (the Connors rule)209.6%×13-13.4%-4.3%—276
Parabolic SAR: follow the dots200.6%×13-13.7%-4.6%—290
The MACD cross (12/26/9)196.4%×13-13.8%-4.7%—236
“Sell in May and go away”181.6%×13-14.3%-5.2%overfit24
Stochastic: oversold cross (14, 3)169.4%×13-14.7%-5.6%—160
Heikin Ashi: follow the coloured candles167.2%×13-14.7%-5.6%—827
ADX: trade only in strong trends85.5%×13-17.9%-8.8%—419
Supertrend: the line that changes colour36.8%×13-20.5%-11.4%—17
The Turtles: 55-day breakout26.9%×13-21.1%-12.0%—53
ICT / Smart Money: the fair value gap20.0%×13-21.6%-12.5%—84
Bounce off the lower Bollinger band7.2%×13-22.5%-13.4%—90
Upper Bollinger band breakout4.3%×13-22.7%-13.6%—228
Smart Money: the liquidity sweep-3.1%×13-23.3%-14.2%—44

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