On CCI, 4 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On CCI, 4 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is the golden cross (50/200): +2.9 points a year over buying and holding CCI. The worst is Parabolic SAR: follow the dots: -14.4 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) | ×21 | 899.9% | +2.9% | +2.4% | partly | 42 |
| “Sell in May and go away” | ×18 | 899.9% | +2.2% | +1.8% | — | 56 |
| Supertrend: the line that changes colour | ×17 | 899.9% | +2.0% | +1.6% | overfit | 40 |
| Stochastic: oversold cross (14, 3) | ×14 | 899.9% | +1.4% | +1.0% | overfit | 394 |
| Only invest above the 200-day average | 375.4% | 899.9% | -2.8% | -3.3% | overfit | 284 |
| Kaufman’s adaptive moving average (KAMA) | 278.7% | 899.9% | -3.7% | -4.2% | overfit | 1026 |
| Bounce off the lower Bollinger band | 233.1% | 899.9% | -4.2% | -4.6% | overfit | 234 |
| Heikin Ashi: follow the coloured candles | 217.5% | 899.9% | -4.3% | -4.8% | overfit | 1852 |
| The Turtles: 55-day breakout | 176.6% | 899.9% | -4.9% | -5.3% | overfit | 112 |
| The MACD cross (12/26/9) | 122.5% | 899.9% | -5.7% | -6.1% | overfit | 563 |
| ADX: trade only in strong trends | 38.6% | 899.9% | -7.4% | -7.9% | overfit | 900 |
| Ichimoku: buy above the cloud | 37.6% | 899.9% | -7.4% | -7.9% | overfit | 452 |
| Smart Money: the liquidity sweep | 17.1% | 899.9% | -8.0% | -8.5% | overfit | 96 |
| ICT / Smart Money: the fair value gap | 12.1% | 899.9% | -8.1% | -8.6% | overfit | 244 |
| ICT / Smart Money: the order block | 1.7% | 899.9% | -8.5% | -9.0% | overfit | 14 |
| Upper Bollinger band breakout | -29.8% | 899.9% | -9.8% | -10.3% | overfit | 418 |
| RSI 14: buy oversold (30/70) | -33.8% | 899.9% | -10.0% | -10.5% | overfit | 41 |
| Wyckoff: buying the accumulation | -74.0% | 899.9% | -13.3% | -13.7% | overfit | 167 |
| 2-day RSI (the Connors rule) | -76.4% | 899.9% | -13.6% | -14.1% | overfit | 658 |
| Parabolic SAR: follow the dots | -81.3% | 899.9% | -14.4% | -14.8% | overfit | 651 |
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