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Finaxion Research · BR

Which strategy works on BR?

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

Findings

On BR, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is Only invest above the 200-day average: -3.2 points a year over buying and holding BR. The worst is Upper Bollinger band breakout: -16.2 points a year against buy-and-hold.

  1. On BR, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
  2. The best is Only invest above the 200-day average: -3.2 points a year over buying and holding BR.
  3. The worst is Upper Bollinger band breakout: -16.2 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
Only invest above the 200-day average662.1%×13-3.2%+0.0%—101
Ichimoku: buy above the cloud546.5%×13-4.2%-0.9%—239
The Turtles: 55-day breakout335.8%×13-6.4%-3.1%—85
The golden cross (50/200)298.6%×13-6.9%-3.6%—24
The MACD cross (12/26/9)252.7%×13-7.5%-4.3%—375
“Sell in May and go away”233.9%×13-7.9%-4.6%overfit39
RSI 14: buy oversold (30/70)209.0%×13-8.3%-5.0%—42
Parabolic SAR: follow the dots161.5%×13-9.2%-5.9%—449
Kaufman’s adaptive moving average (KAMA)157.9%×13-9.3%-6.0%—627
Stochastic: oversold cross (14, 3)114.6%×13-10.2%-7.0%—258
Wyckoff: buying the accumulation112.5%×13-10.3%-7.1%—101
ADX: trade only in strong trends112.2%×13-10.3%-7.1%—625
2-day RSI (the Connors rule)79.9%×13-11.2%-8.0%—442
Supertrend: the line that changes colour59.3%×13-11.8%-8.6%—26
Smart Money: the liquidity sweep39.4%×13-12.5%-9.3%—66
ICT / Smart Money: the order block0.1%×13-14.2%-11.0%—18
Heikin Ashi: follow the coloured candles-2.9%×13-14.4%-11.2%—1246
ICT / Smart Money: the fair value gap-5.6%×13-14.6%-11.3%—172
Bounce off the lower Bollinger band-21.7%×13-15.5%-12.3%—160
Upper Bollinger band breakout-32.3%×13-16.2%-13.0%—292

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