On CPT, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On CPT, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is the golden cross (50/200): -2.5 points a year over buying and holding CPT, while the worst is ADX: trade only in strong trends: -11.6 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 |
|---|---|---|---|---|---|---|
| The golden cross (50/200) | ×12 | ×26 | -2.5% | -3.1% | partly | 39 |
| Supertrend: the line that changes colour | 989.8% | ×26 | -2.8% | -3.4% | partly | 61 |
| “Sell in May and go away” | 769.5% | ×26 | -3.5% | -4.2% | overfit | 66 |
| Only invest above the 200-day average | 577.8% | ×26 | -4.3% | -5.0% | overfit | 258 |
| Wyckoff: buying the accumulation | 393.6% | ×26 | -5.3% | -6.0% | overfit | 172 |
| Stochastic: oversold cross (14, 3) | 292.4% | ×26 | -6.1% | -6.7% | partly | 463 |
| RSI 14: buy oversold (30/70) | 256.7% | ×26 | -6.4% | -7.0% | overfit | 62 |
| Bounce off the lower Bollinger band | 150.3% | ×26 | -7.5% | -8.1% | overfit | 269 |
| The MACD cross (12/26/9) | 140.5% | ×26 | -7.6% | -8.2% | overfit | 674 |
| Parabolic SAR: follow the dots | 93.6% | ×26 | -8.3% | -8.9% | overfit | 774 |
| The Turtles: 55-day breakout | 17.1% | ×26 | -9.8% | -10.4% | overfit | 138 |
| Kaufman’s adaptive moving average (KAMA) | 7.9% | ×26 | -10.1% | -10.7% | overfit | 1222 |
| Heikin Ashi: follow the coloured candles | 6.2% | ×26 | -10.1% | -10.8% | overfit | 2118 |
| ICT / Smart Money: the order block | 0.9% | ×26 | -10.3% | -10.9% | overfit | 36 |
| ICT / Smart Money: the fair value gap | -7.1% | ×26 | -10.5% | -11.2% | overfit | 258 |
| 2-day RSI (the Connors rule) | -8.5% | ×26 | -10.6% | -11.2% | overfit | 737 |
| Smart Money: the liquidity sweep | -16.1% | ×26 | -10.8% | -11.5% | overfit | 108 |
| Ichimoku: buy above the cloud | -17.0% | ×26 | -10.8% | -11.5% | overfit | 514 |
| Upper Bollinger band breakout | -30.0% | ×26 | -11.4% | -12.0% | overfit | 518 |
| ADX: trade only in strong trends | -36.2% | ×26 | -11.6% | -12.3% | overfit | 1142 |
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