On CMG, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On CMG, 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: -0.7 points a year over buying and holding CMG. The worst is Upper Bollinger band breakout: -22.1 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 | ×38 | ×43 | -0.7% | +8.3% | overfit | 35 |
| Only invest above the 200-day average | ×35 | ×43 | -1.3% | +7.7% | overfit | 107 |
| The golden cross (50/200) | ×33 | ×43 | -1.5% | +7.4% | overfit | 20 |
| “Sell in May and go away” | ×24 | ×43 | -3.4% | +5.6% | overfit | 41 |
| Ichimoku: buy above the cloud | 823.9% | ×43 | -8.7% | +0.3% | overfit | 253 |
| Kaufman’s adaptive moving average (KAMA) | 768.2% | ×43 | -9.0% | -0.0% | partly | 687 |
| Parabolic SAR: follow the dots | 552.3% | ×43 | -10.5% | -1.6% | overfit | 455 |
| RSI 14: buy oversold (30/70) | 479.5% | ×43 | -11.2% | -2.2% | overfit | 39 |
| The Turtles: 55-day breakout | 297.5% | ×43 | -13.1% | -4.2% | overfit | 79 |
| ADX: trade only in strong trends | 249.9% | ×43 | -13.8% | -4.8% | overfit | 627 |
| 2-day RSI (the Connors rule) | 136.7% | ×43 | -15.8% | -6.8% | overfit | 462 |
| Bounce off the lower Bollinger band | 116.2% | ×43 | -16.3% | -7.3% | partly | 174 |
| The MACD cross (12/26/9) | 111.8% | ×43 | -16.4% | -7.4% | overfit | 419 |
| Wyckoff: buying the accumulation | 77.7% | ×43 | -17.2% | -8.3% | overfit | 139 |
| Stochastic: oversold cross (14, 3) | 58.1% | ×43 | -17.8% | -8.9% | overfit | 272 |
| Heikin Ashi: follow the coloured candles | 41.7% | ×43 | -18.4% | -9.4% | overfit | 1310 |
| ICT / Smart Money: the fair value gap | 6.5% | ×43 | -19.8% | -10.8% | overfit | 155 |
| Smart Money: the liquidity sweep | 4.9% | ×43 | -19.8% | -10.9% | overfit | 70 |
| ICT / Smart Money: the order block | -0.0% | ×43 | -20.1% | -11.1% | — | 6 |
| Upper Bollinger band breakout | -34.0% | ×43 | -22.1% | -13.1% | overfit | 326 |
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