On BLK, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On BLK, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is "Sell in May and go away": -9.6 points a year over buying and holding BLK. The worst is Heikin Ashi: follow the coloured candles: -22.8 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” | ×15 | ×138 | -9.6% | +1.7% | overfit | 54 |
| RSI 14: buy oversold (30/70) | 833.5% | ×138 | -11.4% | -0.1% | overfit | 48 |
| Supertrend: the line that changes colour | 830.8% | ×138 | -11.4% | -0.1% | partly | 45 |
| Only invest above the 200-day average | 754.4% | ×138 | -11.8% | -0.4% | overfit | 209 |
| The golden cross (50/200) | 643.1% | ×138 | -12.3% | -1.0% | overfit | 45 |
| Wyckoff: buying the accumulation | 530.9% | ×138 | -13.0% | -1.7% | overfit | 156 |
| The Turtles: 55-day breakout | 500.8% | ×138 | -13.2% | -1.8% | overfit | 109 |
| 2-day RSI (the Connors rule) | 422.5% | ×138 | -13.7% | -2.4% | overfit | 634 |
| Ichimoku: buy above the cloud | 390.5% | ×138 | -14.0% | -2.6% | overfit | 351 |
| Stochastic: oversold cross (14, 3) | 308.0% | ×138 | -14.7% | -3.4% | overfit | 370 |
| The MACD cross (12/26/9) | 221.8% | ×138 | -15.6% | -4.3% | overfit | 560 |
| ADX: trade only in strong trends | 152.9% | ×138 | -16.6% | -5.2% | overfit | 873 |
| Parabolic SAR: follow the dots | 86.3% | ×138 | -17.8% | -6.4% | overfit | 615 |
| Bounce off the lower Bollinger band | 46.8% | ×138 | -18.7% | -7.3% | overfit | 184 |
| Kaufman’s adaptive moving average (KAMA) | 22.0% | ×138 | -19.4% | -8.0% | overfit | 1019 |
| ICT / Smart Money: the order block | -1.5% | ×138 | -20.2% | -8.8% | — | 6 |
| Smart Money: the liquidity sweep | -20.1% | ×138 | -20.9% | -9.6% | overfit | 106 |
| ICT / Smart Money: the fair value gap | -20.7% | ×138 | -21.0% | -9.6% | overfit | 222 |
| Upper Bollinger band breakout | -51.5% | ×138 | -22.8% | -11.4% | overfit | 464 |
| Heikin Ashi: follow the coloured candles | -52.4% | ×138 | -22.8% | -11.5% | overfit | 1779 |
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