On COF, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On COF, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is RSI 14: buy oversold (30/70): -1.2 points a year over buying and holding COF. The worst is Heikin Ashi: follow the coloured candles: -18.3 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) | ×42 | ×58 | -1.2% | +1.4% | partly | 60 |
| 2-day RSI (the Connors rule) | ×19 | ×58 | -4.0% | -1.5% | overfit | 775 |
| “Sell in May and go away” | ×14 | ×58 | -4.9% | -2.4% | overfit | 63 |
| Supertrend: the line that changes colour | ×13 | ×58 | -5.1% | -2.6% | partly | 60 |
| Only invest above the 200-day average | 377.4% | ×58 | -8.6% | -6.1% | overfit | 289 |
| The golden cross (50/200) | 268.3% | ×58 | -9.4% | -6.9% | overfit | 49 |
| Stochastic: oversold cross (14, 3) | 250.9% | ×58 | -9.6% | -7.1% | overfit | 433 |
| Ichimoku: buy above the cloud | 194.7% | ×58 | -10.2% | -7.7% | overfit | 433 |
| Wyckoff: buying the accumulation | 68.9% | ×58 | -12.0% | -9.5% | overfit | 178 |
| Bounce off the lower Bollinger band | 55.3% | ×58 | -12.2% | -9.7% | overfit | 268 |
| The Turtles: 55-day breakout | 43.8% | ×58 | -12.5% | -10.0% | overfit | 135 |
| The MACD cross (12/26/9) | 31.3% | ×58 | -12.8% | -10.3% | overfit | 656 |
| ADX: trade only in strong trends | 26.7% | ×58 | -12.9% | -10.4% | overfit | 1044 |
| ICT / Smart Money: the fair value gap | 16.3% | ×58 | -13.2% | -10.6% | overfit | 250 |
| Smart Money: the liquidity sweep | 4.7% | ×58 | -13.5% | -11.0% | overfit | 124 |
| ICT / Smart Money: the order block | -11.1% | ×58 | -14.0% | -11.5% | overfit | 30 |
| Kaufman’s adaptive moving average (KAMA) | -13.5% | ×58 | -14.1% | -11.6% | overfit | 1128 |
| Parabolic SAR: follow the dots | -75.9% | ×58 | -18.0% | -15.5% | overfit | 718 |
| Upper Bollinger band breakout | -76.6% | ×58 | -18.1% | -15.6% | overfit | 506 |
| Heikin Ashi: follow the coloured candles | -77.7% | ×58 | -18.3% | -15.7% | overfit | 2176 |
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