On CF, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On CF, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is Supertrend: the line that changes colour: -4.9 points a year over buying and holding CF. The worst is Upper Bollinger band breakout: -25.1 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 | ×25 | ×59 | -4.9% | +5.5% | overfit | 25 |
| Only invest above the 200-day average | ×23 | ×59 | -5.3% | +5.1% | overfit | 171 |
| The golden cross (50/200) | ×14 | ×59 | -8.0% | +2.4% | overfit | 29 |
| Ichimoku: buy above the cloud | ×11 | ×59 | -9.2% | +1.1% | overfit | 277 |
| “Sell in May and go away” | 832.4% | ×59 | -10.2% | +0.1% | overfit | 42 |
| The Turtles: 55-day breakout | 715.4% | ×59 | -10.9% | -0.6% | overfit | 83 |
| ADX: trade only in strong trends | 529.6% | ×59 | -12.2% | -1.9% | overfit | 667 |
| The MACD cross (12/26/9) | 356.1% | ×59 | -13.9% | -3.6% | overfit | 447 |
| 2-day RSI (the Connors rule) | 332.3% | ×59 | -14.2% | -3.8% | overfit | 466 |
| Wyckoff: buying the accumulation | 275.7% | ×59 | -14.9% | -4.6% | overfit | 133 |
| RSI 14: buy oversold (30/70) | 228.7% | ×59 | -15.6% | -5.2% | overfit | 28 |
| Stochastic: oversold cross (14, 3) | 157.0% | ×59 | -16.8% | -6.5% | overfit | 294 |
| Kaufman’s adaptive moving average (KAMA) | 144.6% | ×59 | -17.0% | -6.7% | overfit | 735 |
| Parabolic SAR: follow the dots | 136.9% | ×59 | -17.2% | -6.9% | overfit | 495 |
| Bounce off the lower Bollinger band | 94.3% | ×59 | -18.2% | -7.8% | overfit | 170 |
| ICT / Smart Money: the fair value gap | 45.0% | ×59 | -19.6% | -9.3% | overfit | 149 |
| ICT / Smart Money: the order block | 0.3% | ×59 | -21.4% | -11.1% | — | 2 |
| Smart Money: the liquidity sweep | -15.7% | ×59 | -22.2% | -11.9% | overfit | 92 |
| Heikin Ashi: follow the coloured candles | -24.8% | ×59 | -22.7% | -12.4% | overfit | 1426 |
| Upper Bollinger band breakout | -55.2% | ×59 | -25.1% | -14.8% | overfit | 380 |
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