On CIEN, 5 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On CIEN, 5 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": +9.6 points a year over buying and holding CIEN. The worst is Stochastic: oversold cross (14, 3): -9.7 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” | ×41 | 195.6% | +9.6% | +3.5% | — | 59 |
| Kaufman’s adaptive moving average (KAMA) | 607.8% | 195.6% | +3.1% | -3.0% | overfit | 982 |
| Supertrend: the line that changes colour | 486.0% | 195.6% | +2.4% | -3.7% | partly | 53 |
| Ichimoku: buy above the cloud | 381.9% | 195.6% | +1.7% | -4.4% | overfit | 324 |
| The golden cross (50/200) | 312.7% | 195.6% | +1.2% | -4.9% | partly | 45 |
| 2-day RSI (the Connors rule) | 145.2% | 195.6% | -0.6% | -6.8% | partly | 736 |
| The Turtles: 55-day breakout | 139.2% | 195.6% | -0.7% | -6.9% | overfit | 118 |
| ADX: trade only in strong trends | 105.4% | 195.6% | -1.3% | -7.4% | overfit | 893 |
| Only invest above the 200-day average | 91.6% | 195.6% | -1.5% | -7.6% | overfit | 259 |
| Parabolic SAR: follow the dots | 87.6% | 195.6% | -1.6% | -7.7% | overfit | 624 |
| ICT / Smart Money: the order block | -1.6% | 195.6% | -3.8% | -9.9% | — | 6 |
| The MACD cross (12/26/9) | -5.3% | 195.6% | -3.9% | -10.0% | overfit | 589 |
| Smart Money: the liquidity sweep | -5.5% | 195.6% | -3.9% | -10.0% | overfit | 66 |
| Wyckoff: buying the accumulation | -17.1% | 195.6% | -4.4% | -10.5% | overfit | 214 |
| ICT / Smart Money: the fair value gap | -22.8% | 195.6% | -4.6% | -10.7% | overfit | 224 |
| Heikin Ashi: follow the coloured candles | -65.6% | 195.6% | -7.3% | -13.4% | overfit | 1919 |
| RSI 14: buy oversold (30/70) | -72.5% | 195.6% | -8.0% | -14.1% | overfit | 56 |
| Bounce off the lower Bollinger band | -78.2% | 195.6% | -8.8% | -14.9% | overfit | 238 |
| Upper Bollinger band breakout | -81.8% | 195.6% | -9.3% | -15.4% | overfit | 488 |
| Stochastic: oversold cross (14, 3) | -83.9% | 195.6% | -9.7% | -15.9% | overfit | 385 |
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