On BG, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On BG, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is "Sell in May and go away" at -2.3 points a year over buying and holding BG, while the worst is ADX: trade only in strong trends, at -11.5 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 |
|---|---|---|---|---|---|---|
| “Sell in May and go away” | 618.1% | ×12 | -2.3% | -1.4% | overfit | 50 |
| Stochastic: oversold cross (14, 3) | 405.6% | ×12 | -3.7% | -2.9% | overfit | 340 |
| The golden cross (50/200) | 348.0% | ×12 | -4.3% | -3.4% | overfit | 45 |
| Wyckoff: buying the accumulation | 332.1% | ×12 | -4.4% | -3.5% | overfit | 154 |
| RSI 14: buy oversold (30/70) | 296.0% | ×12 | -4.8% | -3.9% | overfit | 59 |
| Supertrend: the line that changes colour | 277.0% | ×12 | -5.0% | -4.1% | overfit | 42 |
| Only invest above the 200-day average | 110.1% | ×12 | -7.4% | -6.5% | overfit | 252 |
| The MACD cross (12/26/9) | 91.9% | ×12 | -7.8% | -6.9% | overfit | 497 |
| Ichimoku: buy above the cloud | 78.2% | ×12 | -8.1% | -7.2% | overfit | 332 |
| Parabolic SAR: follow the dots | 49.9% | ×12 | -8.8% | -7.9% | overfit | 544 |
| Heikin Ashi: follow the coloured candles | 43.4% | ×12 | -9.0% | -8.1% | overfit | 1611 |
| The Turtles: 55-day breakout | 38.4% | ×12 | -9.1% | -8.2% | overfit | 106 |
| 2-day RSI (the Connors rule) | 33.3% | ×12 | -9.3% | -8.4% | overfit | 572 |
| Bounce off the lower Bollinger band | 24.6% | ×12 | -9.6% | -8.7% | overfit | 216 |
| ICT / Smart Money: the fair value gap | 13.7% | ×12 | -9.9% | -9.0% | overfit | 190 |
| Kaufman’s adaptive moving average (KAMA) | 10.1% | ×12 | -10.1% | -9.2% | overfit | 898 |
| ICT / Smart Money: the order block | -1.7% | ×12 | -10.5% | -9.6% | overfit | 10 |
| Smart Money: the liquidity sweep | -12.2% | ×12 | -11.0% | -10.1% | overfit | 90 |
| Upper Bollinger band breakout | -14.7% | ×12 | -11.1% | -10.2% | overfit | 364 |
| ADX: trade only in strong trends | -23.7% | ×12 | -11.5% | -10.6% | overfit | 814 |
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