On CRL, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On CRL, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is Wyckoff: buying the accumulation: -2.5 points a year over buying and holding CRL. The worst is 2-day RSI (the Connors rule): -13.6 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 |
|---|---|---|---|---|---|---|
| Wyckoff: buying the accumulation | 612.3% | ×13 | -2.5% | -0.7% | overfit | 157 |
| RSI 14: buy oversold (30/70) | 267.6% | ×13 | -5.2% | -3.4% | overfit | 50 |
| Stochastic: oversold cross (14, 3) | 186.2% | ×13 | -6.2% | -4.4% | overfit | 348 |
| Parabolic SAR: follow the dots | 154.9% | ×13 | -6.7% | -4.8% | overfit | 561 |
| Ichimoku: buy above the cloud | 151.8% | ×13 | -6.7% | -4.9% | overfit | 371 |
| ADX: trade only in strong trends | 138.1% | ×13 | -6.9% | -5.1% | overfit | 795 |
| The golden cross (50/200) | 122.7% | ×13 | -7.2% | -5.4% | overfit | 37 |
| Only invest above the 200-day average | 58.0% | ×13 | -8.6% | -6.7% | overfit | 229 |
| Heikin Ashi: follow the coloured candles | 42.7% | ×13 | -9.0% | -7.1% | overfit | 1711 |
| “Sell in May and go away” | 38.4% | ×13 | -9.1% | -7.2% | — | 52 |
| Smart Money: the liquidity sweep | 27.0% | ×13 | -9.4% | -7.6% | overfit | 68 |
| Bounce off the lower Bollinger band | 13.6% | ×13 | -9.8% | -8.0% | overfit | 204 |
| ICT / Smart Money: the fair value gap | -3.1% | ×13 | -10.4% | -8.6% | overfit | 212 |
| ICT / Smart Money: the order block | -5.8% | ×13 | -10.6% | -8.7% | — | 12 |
| Kaufman’s adaptive moving average (KAMA) | -6.8% | ×13 | -10.6% | -8.8% | overfit | 889 |
| The MACD cross (12/26/9) | -10.8% | ×13 | -10.8% | -8.9% | overfit | 510 |
| Supertrend: the line that changes colour | -26.4% | ×13 | -11.5% | -9.7% | overfit | 53 |
| Upper Bollinger band breakout | -50.3% | ×13 | -13.0% | -11.1% | overfit | 420 |
| The Turtles: 55-day breakout | -51.2% | ×13 | -13.0% | -11.2% | overfit | 111 |
| 2-day RSI (the Connors rule) | -58.1% | ×13 | -13.6% | -11.8% | overfit | 586 |
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