Finaxion Research · BTC/USD

Which strategy works on BTC/USD?

On BTC/USD, 4 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.

Findings

On BTC/USD, 4 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is ADX: trade only in strong trends: -8.0 points a year over buying and holding BTC/USD. The worst is Stochastic: oversold cross (14, 3): -59.5 points a year against buy-and-hold.

On BTC/USD, 4 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
The best is ADX: trade only in strong trends: -8.0 points a year over buying and holding BTC/USD.
The worst is Stochastic: oversold cross (14, 3): -59.5 points a year against buy-and-hold.

The 20 strategies, one by one

Strategy	Return	Buy and hold	Excess (pts/yr)	Vs. S&P 500 (pts/yr)	Out of sample	Trades
ADX: trade only in strong trends	×690	×172	-8.0%	+32.0%	—	391
The MACD cross (12/26/9)	×296	×172	-15.0%	+25.1%	—	291
Ichimoku: buy above the cloud	×282	×172	-15.3%	+24.7%	—	179
Only invest above the 200-day average	×225	×172	-17.1%	+22.9%	—	75
The golden cross (50/200)	×135	×172	-21.1%	+19.0%	—	20
Kaufman’s adaptive moving average (KAMA)	×113	×172	-22.5%	+17.6%	—	576
The Turtles: 55-day breakout	×101	×172	-23.3%	+16.7%	—	59
Heikin Ashi: follow the coloured candles	×76	×172	-25.5%	+14.6%	—	986
Supertrend: the line that changes colour	×53	×172	-28.1%	+11.9%	—	43
“Sell in May and go away”	×13	×172	-30.2%	+9.9%	overfit	24
Parabolic SAR: follow the dots	×25	×172	-33.5%	+6.6%	—	325
Wyckoff: buying the accumulation	792.7%	×172	-40.4%	-0.3%	—	108
RSI 14: buy oversold (30/70)	468.4%	×172	-43.3%	-3.2%	—	40
Upper Bollinger band breakout	126.3%	×172	-49.0%	-8.9%	—	298
2-day RSI (the Connors rule)	54.4%	×172	-51.3%	-11.2%	—	420
ICT / Smart Money: the order block	-0.7%	×172	-53.9%	-13.8%	—	4
Bounce off the lower Bollinger band	-5.1%	×172	-54.1%	-14.1%	—	124
ICT / Smart Money: the fair value gap	-7.7%	×172	-54.3%	-14.2%	—	114
Smart Money: the liquidity sweep	-19.9%	×172	-55.1%	-15.0%	—	46
Stochastic: oversold cross (14, 3)	-63.9%	×172	-59.5%	-19.5%	—	226

Finaxion is an analysis tool, not an investment adviser. This page is not a recommendation. Past performance does not guarantee future results. Prices and series: market data. Computations: Finaxion engine.