On CBRE, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On CBRE, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is "Sell in May and go away": +0.5 points a year over buying and holding CBRE. The worst is Heikin Ashi: follow the coloured candles: -24.6 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 |
|---|---|---|---|---|---|---|
| “Sell in May and go away” | ×26 | ×24 | +0.5% | +4.9% | — | 44 |
| Supertrend: the line that changes colour | ×15 | ×24 | -2.2% | +2.2% | overfit | 34 |
| Wyckoff: buying the accumulation | 910.0% | ×24 | -4.4% | +0.0% | partly | 134 |
| Only invest above the 200-day average | 899.9% | ×24 | -4.4% | -0.0% | overfit | 152 |
| Ichimoku: buy above the cloud | 867.1% | ×24 | -4.6% | -0.2% | overfit | 283 |
| The golden cross (50/200) | 591.5% | ×24 | -6.2% | -1.8% | overfit | 30 |
| The Turtles: 55-day breakout | 557.2% | ×24 | -6.5% | -2.1% | overfit | 97 |
| Parabolic SAR: follow the dots | 521.8% | ×24 | -6.8% | -2.4% | overfit | 488 |
| Stochastic: oversold cross (14, 3) | 272.4% | ×24 | -9.2% | -4.9% | partly | 298 |
| 2-day RSI (the Connors rule) | 224.3% | ×24 | -9.9% | -5.5% | overfit | 487 |
| ICT / Smart Money: the fair value gap | 51.1% | ×24 | -13.5% | -9.1% | overfit | 206 |
| ADX: trade only in strong trends | 48.1% | ×24 | -13.6% | -9.2% | overfit | 684 |
| Kaufman’s adaptive moving average (KAMA) | 13.2% | ×24 | -14.8% | -10.4% | overfit | 783 |
| RSI 14: buy oversold (30/70) | 5.0% | ×24 | -15.1% | -10.7% | overfit | 37 |
| ICT / Smart Money: the order block | 0.3% | ×24 | -15.3% | -10.9% | overfit | 12 |
| The MACD cross (12/26/9) | -9.4% | ×24 | -15.8% | -11.4% | overfit | 448 |
| Bounce off the lower Bollinger band | -15.8% | ×24 | -16.1% | -11.7% | overfit | 176 |
| Smart Money: the liquidity sweep | -35.8% | ×24 | -17.3% | -12.9% | overfit | 72 |
| Upper Bollinger band breakout | -59.2% | ×24 | -19.3% | -14.9% | overfit | 356 |
| Heikin Ashi: follow the coloured candles | -88.4% | ×24 | -24.6% | -20.2% | overfit | 1464 |
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