On CME, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On CME, 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: -4.8 points a year over buying and holding CME. The worst is Smart Money: the liquidity sweep: -20.1 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 | ×26 | ×70 | -4.8% | +3.4% | overfit | 30 |
| Only invest above the 200-day average | ×17 | ×70 | -7.0% | +1.3% | partly | 141 |
| The golden cross (50/200) | ×16 | ×70 | -7.3% | +1.0% | overfit | 28 |
| Ichimoku: buy above the cloud | 777.9% | ×70 | -10.0% | -1.8% | partly | 321 |
| Stochastic: oversold cross (14, 3) | 758.3% | ×70 | -10.1% | -1.9% | overfit | 334 |
| The Turtles: 55-day breakout | 722.1% | ×70 | -10.3% | -2.1% | overfit | 93 |
| Wyckoff: buying the accumulation | 644.4% | ×70 | -10.8% | -2.5% | overfit | 140 |
| “Sell in May and go away” | 599.0% | ×70 | -11.1% | -2.8% | overfit | 47 |
| The MACD cross (12/26/9) | 426.7% | ×70 | -12.3% | -4.1% | overfit | 475 |
| Bounce off the lower Bollinger band | 291.4% | ×70 | -13.7% | -5.4% | overfit | 180 |
| Kaufman’s adaptive moving average (KAMA) | 239.9% | ×70 | -14.3% | -6.1% | overfit | 857 |
| ADX: trade only in strong trends | 188.7% | ×70 | -15.0% | -6.8% | overfit | 761 |
| Parabolic SAR: follow the dots | 50.4% | ×70 | -17.9% | -9.6% | overfit | 553 |
| RSI 14: buy oversold (30/70) | 46.1% | ×70 | -18.0% | -9.8% | overfit | 31 |
| ICT / Smart Money: the fair value gap | 20.0% | ×70 | -18.8% | -10.6% | overfit | 188 |
| 2-day RSI (the Connors rule) | 14.6% | ×70 | -19.0% | -10.8% | overfit | 562 |
| Upper Bollinger band breakout | 4.8% | ×70 | -19.4% | -11.2% | overfit | 376 |
| Heikin Ashi: follow the coloured candles | 0.3% | ×70 | -19.6% | -11.3% | overfit | 1531 |
| ICT / Smart Money: the order block | -0.4% | ×70 | -19.6% | -11.4% | — | 8 |
| Smart Money: the liquidity sweep | -10.7% | ×70 | -20.1% | -11.8% | overfit | 76 |
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