On CB, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On CB, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is the golden cross (50/200), at -5.3 points a year over buying and holding CB, while the worst is Upper Bollinger band breakout, at -15.8 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 |
|---|---|---|---|---|---|---|
| The golden cross (50/200) | ×13 | ×67 | -5.3% | -2.7% | overfit | 37 |
| Stochastic: oversold cross (14, 3) | ×13 | ×67 | -5.3% | -2.7% | partly | 497 |
| Only invest above the 200-day average | 841.1% | ×67 | -6.5% | -3.9% | overfit | 239 |
| RSI 14: buy oversold (30/70) | 797.2% | ×67 | -6.6% | -4.0% | overfit | 54 |
| “Sell in May and go away” | 707.3% | ×67 | -6.9% | -4.3% | overfit | 67 |
| Wyckoff: buying the accumulation | 531.8% | ×67 | -7.7% | -5.1% | partly | 208 |
| Bounce off the lower Bollinger band | 300.3% | ×67 | -9.2% | -6.6% | overfit | 278 |
| Parabolic SAR: follow the dots | 260.5% | ×67 | -9.5% | -6.9% | overfit | 766 |
| The MACD cross (12/26/9) | 172.9% | ×67 | -10.3% | -7.8% | overfit | 712 |
| Supertrend: the line that changes colour | 128.2% | ×67 | -10.9% | -8.3% | overfit | 73 |
| Ichimoku: buy above the cloud | 81.4% | ×67 | -11.6% | -9.0% | overfit | 504 |
| Kaufman’s adaptive moving average (KAMA) | 61.8% | ×67 | -11.9% | -9.3% | overfit | 1244 |
| The Turtles: 55-day breakout | 57.4% | ×67 | -12.0% | -9.4% | overfit | 148 |
| 2-day RSI (the Connors rule) | 44.7% | ×67 | -12.3% | -9.7% | overfit | 766 |
| Smart Money: the liquidity sweep | -2.0% | ×67 | -13.5% | -10.9% | overfit | 150 |
| ICT / Smart Money: the order block | -4.7% | ×67 | -13.5% | -10.9% | overfit | 30 |
| ICT / Smart Money: the fair value gap | -28.6% | ×67 | -14.4% | -11.8% | overfit | 280 |
| ADX: trade only in strong trends | -36.8% | ×67 | -14.8% | -12.2% | overfit | 1140 |
| Heikin Ashi: follow the coloured candles | -42.8% | ×67 | -15.1% | -12.5% | overfit | 2214 |
| Upper Bollinger band breakout | -55.5% | ×67 | -15.8% | -13.2% | overfit | 534 |
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