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Finaxion Research · CNC

Which strategy works on CNC?

On CNC, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.

Findings

On CNC, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is Wyckoff: buying the accumulation, at -3.0 points a year over buying and holding CNC. The worst is Kaufman's adaptive moving average (KAMA), at -18.2 points a year against buy-and-hold.

  1. On CNC, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
  2. The best is Wyckoff: buying the accumulation: -3.0 points a year over buying and holding CNC.
  3. The worst is Kaufman’s adaptive moving average (KAMA): -18.2 points a year against buy-and-hold.

The 20 strategies, one by one

StrategyReturnBuy and holdExcess (pts/yr)Vs. S&P 500 (pts/yr)Out of sampleTrades
Wyckoff: buying the accumulation×23×45-3.0%+3.6%—129
“Sell in May and go away”×16×45-4.8%+1.8%—49
Stochastic: oversold cross (14, 3)709.1%×45-7.8%-1.2%overfit317
2-day RSI (the Connors rule)648.0%×45-8.1%-1.6%overfit594
ADX: trade only in strong trends472.6%×45-9.3%-2.7%partly723
Supertrend: the line that changes colour443.3%×45-9.5%-3.0%overfit51
RSI 14: buy oversold (30/70)360.6%×45-10.3%-3.7%overfit40
The golden cross (50/200)268.8%×45-11.2%-4.6%overfit43
Parabolic SAR: follow the dots207.4%×45-12.0%-5.4%partly523
Bounce off the lower Bollinger band138.8%×45-13.1%-6.5%overfit220
Only invest above the 200-day average55.4%×45-14.8%-8.3%overfit245
The MACD cross (12/26/9)49.5%×45-15.0%-8.4%overfit506
The Turtles: 55-day breakout34.9%×45-15.4%-8.8%overfit99
ICT / Smart Money: the fair value gap31.7%×45-15.5%-8.9%overfit174
Smart Money: the liquidity sweep14.9%×45-16.1%-9.5%overfit66
Heikin Ashi: follow the coloured candles13.9%×45-16.1%-9.5%overfit1628
Ichimoku: buy above the cloud13.1%×45-16.1%-9.6%overfit342
Upper Bollinger band breakout10.3%×45-16.2%-9.7%overfit424
ICT / Smart Money: the order block-1.4%×45-16.7%-10.1%—6
Kaufman’s adaptive moving average (KAMA)-31.6%×45-18.2%-11.6%overfit891

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