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Finaxion Research · BX

Which strategy works on BX?

On BX, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.

Findings

On BX, 1 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: +0.8 points a year over buying and holding BX. The worst is ICT / Smart Money: the fair value gap: -16.3 points a year against buy-and-hold.

  1. On BX, 1 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: +0.8 points a year over buying and holding BX.
  3. The worst is ICT / Smart Money: the fair value gap: -16.3 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 average×13×11+0.8%+3.4%—127
Ichimoku: buy above the cloud753.8%×11-1.6%+1.0%—221
The golden cross (50/200)558.8%×11-3.1%-0.5%—29
“Sell in May and go away”358.3%×11-5.2%-2.6%overfit38
The MACD cross (12/26/9)343.7%×11-5.3%-2.8%—348
ADX: trade only in strong trends324.7%×11-5.6%-3.0%—603
RSI 14: buy oversold (30/70)283.4%×11-6.2%-3.6%—38
Supertrend: the line that changes colour122.6%×11-9.2%-6.6%—33
The Turtles: 55-day breakout102.1%×11-9.7%-7.1%—79
Kaufman’s adaptive moving average (KAMA)99.8%×11-9.8%-7.2%—687
Stochastic: oversold cross (14, 3)97.8%×11-9.8%-7.2%—254
Parabolic SAR: follow the dots91.1%×11-10.0%-7.4%—428
Heikin Ashi: follow the coloured candles83.5%×11-10.2%-7.6%—1231
2-day RSI (the Connors rule)78.9%×11-10.4%-7.8%—482
Upper Bollinger band breakout43.8%×11-11.5%-8.9%—316
Wyckoff: buying the accumulation19.7%×11-12.5%-9.9%—134
Smart Money: the liquidity sweep8.2%×11-13.0%-10.4%—62
ICT / Smart Money: the order block-8.3%×11-13.9%-11.3%—8
Bounce off the lower Bollinger band-24.9%×11-14.9%-12.3%—142
ICT / Smart Money: the fair value gap-42.6%×11-16.3%-13.7%—139

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