On BXP, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On BXP, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is Supertrend: the line that changes colour, at -0.9 points a year over buying and holding BXP. The worst is Heikin Ashi: follow the coloured candles, at -14.1 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 |
|---|---|---|---|---|---|---|
| Supertrend: the line that changes colour | 682.5% | 888.9% | -0.9% | -2.2% | overfit | 51 |
| “Sell in May and go away” | 523.3% | 888.9% | -1.7% | -3.0% | — | 58 |
| Stochastic: oversold cross (14, 3) | 406.1% | 888.9% | -2.4% | -3.8% | partly | 412 |
| RSI 14: buy oversold (30/70) | 306.8% | 888.9% | -3.2% | -4.6% | overfit | 52 |
| 2-day RSI (the Connors rule) | 272.4% | 888.9% | -3.6% | -4.9% | overfit | 652 |
| Bounce off the lower Bollinger band | 162.0% | 888.9% | -4.8% | -6.2% | overfit | 242 |
| Only invest above the 200-day average | 98.2% | 888.9% | -5.8% | -7.1% | overfit | 263 |
| Ichimoku: buy above the cloud | 63.7% | 888.9% | -6.5% | -7.8% | overfit | 411 |
| The Turtles: 55-day breakout | 27.1% | 888.9% | -7.3% | -8.7% | overfit | 128 |
| ICT / Smart Money: the fair value gap | 20.6% | 888.9% | -7.5% | -8.9% | overfit | 164 |
| The golden cross (50/200) | 20.0% | 888.9% | -7.5% | -8.9% | overfit | 53 |
| Wyckoff: buying the accumulation | 4.7% | 888.9% | -8.0% | -9.3% | overfit | 129 |
| ICT / Smart Money: the order block | 2.0% | 888.9% | -8.1% | -9.4% | overfit | 12 |
| Smart Money: the liquidity sweep | -0.8% | 888.9% | -8.2% | -9.5% | overfit | 112 |
| The MACD cross (12/26/9) | -15.4% | 888.9% | -8.7% | -10.1% | overfit | 629 |
| Upper Bollinger band breakout | -42.5% | 888.9% | -10.0% | -11.4% | overfit | 448 |
| Kaufman’s adaptive moving average (KAMA) | -45.2% | 888.9% | -10.2% | -11.6% | overfit | 1005 |
| Parabolic SAR: follow the dots | -55.5% | 888.9% | -10.9% | -12.2% | overfit | 685 |
| ADX: trade only in strong trends | -69.1% | 888.9% | -12.1% | -13.5% | overfit | 915 |
| Heikin Ashi: follow the coloured candles | -83.0% | 888.9% | -14.1% | -15.4% | overfit | 1844 |
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