On CHRW, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On CHRW, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is RSI 14: buy oversold (30/70), at -3.3 points a year over buying and holding CHRW. The worst is Heikin Ashi: follow the coloured candles, at -19.3 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 |
|---|---|---|---|---|---|---|
| RSI 14: buy oversold (30/70) | ×19 | ×44 | -3.3% | +1.4% | overfit | 53 |
| Stochastic: oversold cross (14, 3) | ×16 | ×44 | -3.8% | +0.8% | overfit | 390 |
| “Sell in May and go away” | 791.7% | ×44 | -6.1% | -1.5% | — | 58 |
| The golden cross (50/200) | 448.3% | ×44 | -7.9% | -3.3% | partly | 47 |
| Supertrend: the line that changes colour | 402.6% | ×44 | -8.3% | -3.6% | overfit | 34 |
| 2-day RSI (the Connors rule) | 382.4% | ×44 | -8.4% | -3.7% | overfit | 716 |
| Bounce off the lower Bollinger band | 269.4% | ×44 | -9.4% | -4.7% | partly | 212 |
| Wyckoff: buying the accumulation | 42.9% | ×44 | -12.8% | -8.1% | overfit | 176 |
| The MACD cross (12/26/9) | 42.5% | ×44 | -12.8% | -8.1% | overfit | 601 |
| Parabolic SAR: follow the dots | 23.1% | ×44 | -13.3% | -8.6% | overfit | 621 |
| Only invest above the 200-day average | 10.3% | ×44 | -13.7% | -9.0% | overfit | 326 |
| Smart Money: the liquidity sweep | 0.3% | ×44 | -14.0% | -9.3% | overfit | 82 |
| ICT / Smart Money: the order block | -1.9% | ×44 | -14.1% | -9.4% | overfit | 20 |
| ADX: trade only in strong trends | -18.3% | ×44 | -14.7% | -10.1% | overfit | 965 |
| Ichimoku: buy above the cloud | -39.2% | ×44 | -15.7% | -11.1% | overfit | 434 |
| ICT / Smart Money: the fair value gap | -44.4% | ×44 | -16.0% | -11.4% | overfit | 166 |
| Upper Bollinger band breakout | -50.4% | ×44 | -16.4% | -11.8% | overfit | 464 |
| The Turtles: 55-day breakout | -54.5% | ×44 | -16.7% | -12.0% | overfit | 118 |
| Kaufman’s adaptive moving average (KAMA) | -55.7% | ×44 | -16.8% | -12.1% | overfit | 1065 |
| Heikin Ashi: follow the coloured candles | -79.2% | ×44 | -19.3% | -14.7% | overfit | 1897 |
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