On AUD/USD, 9 of 17 famous strategies beat buy-and-hold on daily bars; 1 of them hold out of sample.
On AUD/USD, 9 of 17 famous strategies beat buy-and-hold on daily bars; 1 of them hold out of sample. The best is Supertrend: the line that changes colour: +1.9 points a year over buying and holding AUD/USD. The worst is the Turtles: 55-day breakout: -1.7 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 | 36.1% | -6.6% | +1.9% | -9.7% | — | 9 |
| “Sell in May and go away” | 35.8% | -6.6% | +1.9% | -9.7% | holds | 40 |
| Only invest above the 200-day average | 22.3% | -6.6% | +1.3% | -10.2% | overfit | 173 |
| ICT / Smart Money: the fair value gap | 13.0% | -6.6% | +0.9% | -10.6% | overfit | 150 |
| Ichimoku: buy above the cloud | 11.0% | -6.6% | +0.8% | -10.7% | overfit | 309 |
| 2-day RSI (the Connors rule) | 6.8% | -6.6% | +0.7% | -10.9% | overfit | 500 |
| RSI 14: buy oversold (30/70) | 0.7% | -6.6% | +0.4% | -11.2% | overfit | 38 |
| Bounce off the lower Bollinger band | -1.3% | -6.6% | +0.3% | -11.2% | overfit | 180 |
| The golden cross (50/200) | -1.7% | -6.6% | +0.3% | -11.3% | overfit | 35 |
| The MACD cross (12/26/9) | -9.0% | -6.6% | -0.1% | -11.7% | overfit | 417 |
| Upper Bollinger band breakout | -9.6% | -6.6% | -0.2% | -11.7% | overfit | 292 |
| Stochastic: oversold cross (14, 3) | -11.2% | -6.6% | -0.3% | -11.8% | overfit | 294 |
| Kaufman’s adaptive moving average (KAMA) | -14.3% | -6.6% | -0.4% | -11.9% | overfit | 763 |
| Heikin Ashi: follow the coloured candles | -17.1% | -6.6% | -0.6% | -12.1% | overfit | 1425 |
| ADX: trade only in strong trends | -20.3% | -6.6% | -0.8% | -12.3% | overfit | 731 |
| Parabolic SAR: follow the dots | -27.7% | -6.6% | -1.2% | -12.8% | overfit | 497 |
| The Turtles: 55-day breakout | -33.8% | -6.6% | -1.7% | -13.2% | overfit | 70 |
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