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Finaxion Research · CBOE

Which strategy works on CBOE?

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

Findings

On CBOE, 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 -5.0 points a year over buying and holding CBOE. The worst is Upper Bollinger band breakout, at -18.8 points a year against buy-and-hold.

  1. On CBOE, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
  2. The best is Supertrend: the line that changes colour: -5.0 points a year over buying and holding CBOE.
  3. The worst is Upper Bollinger band breakout: -18.8 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
Supertrend: the line that changes colour467.6%×12-5.0%-3.3%—14
The golden cross (50/200)334.1%×12-6.8%-5.1%—22
Parabolic SAR: follow the dots251.0%×12-8.3%-6.6%—383
Ichimoku: buy above the cloud224.7%×12-8.8%-7.1%—209
Only invest above the 200-day average210.7%×12-9.1%-7.4%—135
The Turtles: 55-day breakout202.6%×12-9.2%-7.5%—61
Stochastic: oversold cross (14, 3)182.2%×12-9.7%-8.0%—216
“Sell in May and go away”152.6%×12-10.4%-8.7%overfit32
The MACD cross (12/26/9)126.0%×12-11.2%-9.4%—363
RSI 14: buy oversold (30/70)109.7%×12-11.6%-9.9%—23
ADX: trade only in strong trends94.8%×12-12.1%-10.4%—551
Kaufman’s adaptive moving average (KAMA)80.8%×12-12.6%-10.9%—589
Heikin Ashi: follow the coloured candles69.9%×12-13.0%-11.3%—1053
Wyckoff: buying the accumulation55.5%×12-13.6%-11.8%—94
2-day RSI (the Connors rule)39.2%×12-14.3%-12.6%—370
Bounce off the lower Bollinger band30.6%×12-14.7%-13.0%—106
ICT / Smart Money: the fair value gap7.8%×12-15.9%-14.1%—92
Smart Money: the liquidity sweep7.3%×12-15.9%-14.2%—50
ICT / Smart Money: the order block3.7%×12-16.1%-14.4%—6
Upper Bollinger band breakout-33.4%×12-18.8%-17.1%—304

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