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Finaxion Research · AVB

Which strategy works on AVB?

On AVB, 2 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.

Findings

On AVB, 2 of 20 famous strategies beat buy-and-hold on daily bars, but 0 of them hold out of sample. The best is "Sell in May and go away" at +0.9 points a year over buying and holding AVB, while the worst is Kaufman's adaptive moving average (KAMA) at -12.4 points a year against buy-and-hold.

  1. On AVB, 2 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
  2. The best is “Sell in May and go away”: +0.9 points a year over buying and holding AVB.
  3. The worst is Kaufman’s adaptive moving average (KAMA): -12.4 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
“Sell in May and go away”55.1%42.3%+0.9%-10.7%—20
Only invest above the 200-day average49.8%42.3%+0.5%-11.1%—47
Stochastic: oversold cross (14, 3)41.9%42.3%-0.0%-11.6%—135
RSI 14: buy oversold (30/70)40.4%42.3%-0.1%-11.7%—18
Supertrend: the line that changes colour29.2%42.3%-1.0%-12.6%—8
Parabolic SAR: follow the dots16.9%42.3%-2.0%-13.6%—244
Bounce off the lower Bollinger band13.5%42.3%-2.3%-13.9%—93
ICT / Smart Money: the order block-0.8%42.3%-3.7%-15.3%—6
ICT / Smart Money: the fair value gap-1.9%42.3%-3.8%-15.4%—64
Wyckoff: buying the accumulation-10.0%42.3%-4.6%-16.2%—45
The Turtles: 55-day breakout-11.4%42.3%-4.8%-16.4%—42
The golden cross (50/200)-12.4%42.3%-4.9%-16.5%—11
2-day RSI (the Connors rule)-14.2%42.3%-5.1%-16.7%—224
Smart Money: the liquidity sweep-15.0%42.3%-5.2%-16.8%—44
The MACD cross (12/26/9)-21.1%42.3%-5.9%-17.5%—216
Upper Bollinger band breakout-21.4%42.3%-6.0%-17.6%—132
Ichimoku: buy above the cloud-26.5%42.3%-6.6%-18.2%—160
ADX: trade only in strong trends-49.4%42.3%-10.2%-21.8%—384
Heikin Ashi: follow the coloured candles-54.6%42.3%-11.2%-22.8%—709
Kaufman’s adaptive moving average (KAMA)-60.4%42.3%-12.4%-24.1%—408

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