On ASML, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On ASML, 0 of 20 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): -4.8 points a year over buying and holding ASML. The worst is Upper Bollinger band breakout: -28.6 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 |
|---|---|---|---|---|---|---|
| The golden cross (50/200) | ×275 | ×964 | -4.8% | +8.6% | partly | 37 |
| “Sell in May and go away” | ×212 | ×964 | -5.8% | +7.5% | overfit | 63 |
| Only invest above the 200-day average | ×204 | ×964 | -6.0% | +7.4% | partly | 219 |
| Supertrend: the line that changes colour | ×159 | ×964 | -6.9% | +6.5% | partly | 77 |
| Ichimoku: buy above the cloud | ×125 | ×964 | -7.8% | +5.6% | partly | 426 |
| 2-day RSI (the Connors rule) | ×24 | ×964 | -13.7% | -0.3% | overfit | 739 |
| The Turtles: 55-day breakout | ×17 | ×964 | -14.9% | -1.5% | overfit | 150 |
| Stochastic: oversold cross (14, 3) | ×12 | ×964 | -16.1% | -2.7% | overfit | 436 |
| The MACD cross (12/26/9) | 933.6% | ×964 | -16.7% | -3.3% | partly | 644 |
| Bounce off the lower Bollinger band | 352.7% | ×964 | -19.5% | -6.1% | overfit | 262 |
| Wyckoff: buying the accumulation | 237.8% | ×964 | -20.5% | -7.1% | overfit | 192 |
| ADX: trade only in strong trends | 225.2% | ×964 | -20.6% | -7.2% | overfit | 1036 |
| Parabolic SAR: follow the dots | 90.4% | ×964 | -22.3% | -8.9% | overfit | 660 |
| Kaufman’s adaptive moving average (KAMA) | 33.8% | ×964 | -23.5% | -10.1% | overfit | 1120 |
| RSI 14: buy oversold (30/70) | 27.6% | ×964 | -23.6% | -10.2% | partly | 42 |
| ICT / Smart Money: the fair value gap | 20.1% | ×964 | -23.8% | -10.4% | overfit | 308 |
| ICT / Smart Money: the order block | 3.1% | ×964 | -24.3% | -10.9% | — | 2 |
| Smart Money: the liquidity sweep | -18.9% | ×964 | -25.1% | -11.7% | overfit | 70 |
| Heikin Ashi: follow the coloured candles | -46.5% | ×964 | -26.4% | -13.0% | overfit | 2270 |
| Upper Bollinger band breakout | -73.7% | ×964 | -28.6% | -15.2% | overfit | 518 |
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