On CRM, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On CRM, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is Only invest above the 200-day average: -8.1 points a year over buying and holding CRM. The worst is Upper Bollinger band breakout: -21.3 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 |
|---|---|---|---|---|---|---|
| Only invest above the 200-day average | ×13 | ×61 | -8.1% | +1.2% | overfit | 145 |
| Ichimoku: buy above the cloud | 985.5% | ×61 | -9.0% | +0.4% | partly | 271 |
| The golden cross (50/200) | 944.7% | ×61 | -9.2% | +0.2% | overfit | 30 |
| Parabolic SAR: follow the dots | 896.7% | ×61 | -9.4% | -0.0% | partly | 465 |
| Supertrend: the line that changes colour | 749.1% | ×61 | -10.2% | -0.8% | overfit | 41 |
| ADX: trade only in strong trends | 717.2% | ×61 | -10.4% | -1.0% | overfit | 671 |
| Wyckoff: buying the accumulation | 547.6% | ×61 | -11.5% | -2.1% | overfit | 163 |
| Stochastic: oversold cross (14, 3) | 497.7% | ×61 | -11.9% | -2.5% | overfit | 298 |
| RSI 14: buy oversold (30/70) | 455.6% | ×61 | -12.3% | -2.9% | overfit | 34 |
| The MACD cross (12/26/9) | 387.9% | ×61 | -12.9% | -3.5% | overfit | 443 |
| “Sell in May and go away” | 333.5% | ×61 | -13.5% | -4.1% | overfit | 44 |
| 2-day RSI (the Connors rule) | 280.7% | ×61 | -14.1% | -4.7% | overfit | 500 |
| Bounce off the lower Bollinger band | 222.8% | ×61 | -14.9% | -5.5% | partly | 178 |
| The Turtles: 55-day breakout | 222.1% | ×61 | -14.9% | -5.5% | overfit | 87 |
| Kaufman’s adaptive moving average (KAMA) | 160.3% | ×61 | -15.9% | -6.5% | overfit | 749 |
| Heikin Ashi: follow the coloured candles | 38.6% | ×61 | -18.9% | -9.5% | overfit | 1483 |
| Smart Money: the liquidity sweep | -0.5% | ×61 | -20.4% | -11.0% | overfit | 74 |
| ICT / Smart Money: the fair value gap | -0.6% | ×61 | -20.4% | -11.0% | overfit | 174 |
| ICT / Smart Money: the order block | -6.1% | ×61 | -20.6% | -11.2% | overfit | 12 |
| Upper Bollinger band breakout | -19.0% | ×61 | -21.3% | -11.9% | overfit | 349 |
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