On CSGP, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On CSGP, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is Supertrend: the line that changes colour, at -0.7 points a year over buying and holding CSGP. The worst is 2-day RSI (the Connors rule), at -17.7 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 |
|---|---|---|---|---|---|---|
| Supertrend: the line that changes colour | ×29 | ×35 | -0.7% | +3.9% | partly | 40 |
| “Sell in May and go away” | ×19 | ×35 | -2.4% | +2.2% | — | 56 |
| ADX: trade only in strong trends | ×15 | ×35 | -3.4% | +1.2% | overfit | 881 |
| Ichimoku: buy above the cloud | ×14 | ×35 | -3.7% | +0.9% | partly | 351 |
| Kaufman’s adaptive moving average (KAMA) | ×12 | ×35 | -4.2% | +0.4% | overfit | 1059 |
| The MACD cross (12/26/9) | 887.9% | ×35 | -5.0% | -0.4% | overfit | 565 |
| Heikin Ashi: follow the coloured candles | 630.5% | ×35 | -6.1% | -1.5% | overfit | 1804 |
| RSI 14: buy oversold (30/70) | 565.3% | ×35 | -6.5% | -1.9% | partly | 53 |
| Parabolic SAR: follow the dots | 528.9% | ×35 | -6.7% | -2.1% | overfit | 613 |
| The Turtles: 55-day breakout | 464.3% | ×35 | -7.1% | -2.5% | overfit | 112 |
| Wyckoff: buying the accumulation | 103.1% | ×35 | -10.9% | -6.3% | overfit | 185 |
| Stochastic: oversold cross (14, 3) | 57.0% | ×35 | -11.8% | -7.2% | partly | 386 |
| Only invest above the 200-day average | 29.5% | ×35 | -12.5% | -7.9% | overfit | 258 |
| ICT / Smart Money: the order block | 6.5% | ×35 | -13.2% | -8.6% | overfit | 12 |
| Smart Money: the liquidity sweep | -21.8% | ×35 | -14.3% | -9.7% | overfit | 94 |
| Upper Bollinger band breakout | -24.4% | ×35 | -14.4% | -9.8% | overfit | 484 |
| ICT / Smart Money: the fair value gap | -28.8% | ×35 | -14.6% | -10.0% | overfit | 236 |
| Bounce off the lower Bollinger band | -35.4% | ×35 | -15.0% | -10.4% | overfit | 218 |
| The golden cross (50/200) | -54.6% | ×35 | -16.2% | -11.6% | overfit | 48 |
| 2-day RSI (the Connors rule) | -70.2% | ×35 | -17.7% | -13.1% | overfit | 653 |
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