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Finaxion Research · DAL

Which strategy works on DAL?

On DAL, 2 of 19 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.

Findings

On DAL, 2 of 19 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is 2-day RSI (the Connors rule): +6.4 points a year over buying and holding DAL. The worst is the Turtles: 55-day breakout: -14.8 points a year against buy-and-hold.

  1. On DAL, 2 of 19 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
  2. The best is 2-day RSI (the Connors rule): +6.4 points a year over buying and holding DAL.
  3. The worst is the Turtles: 55-day breakout: -14.8 points a year against buy-and-hold.

The 19 strategies, one by one

StrategyReturnBuy and holdExcess (pts/yr)Vs. S&P 500 (pts/yr)Out of sampleTrades
2-day RSI (the Connors rule)×13339.1%+6.4%+3.5%—486
RSI 14: buy oversold (30/70)486.0%339.1%+1.6%-1.2%—44
The MACD cross (12/26/9)215.1%339.1%-1.8%-4.7%—370
Parabolic SAR: follow the dots192.0%339.1%-2.2%-5.1%—416
Supertrend: the line that changes colour173.6%339.1%-2.6%-5.5%—22
ADX: trade only in strong trends57.9%339.1%-5.6%-8.4%—572
Kaufman’s adaptive moving average (KAMA)26.6%339.1%-6.7%-9.6%—674
“Sell in May and go away”15.8%339.1%-7.2%-10.0%overfit38
Only invest above the 200-day average-0.4%339.1%-8.0%-10.8%—187
Smart Money: the liquidity sweep-5.7%339.1%-8.3%-11.1%—60
ICT / Smart Money: the fair value gap-21.5%339.1%-9.2%-12.0%—116
Heikin Ashi: follow the coloured candles-24.5%339.1%-9.4%-12.2%—1296
Stochastic: oversold cross (14, 3)-26.6%339.1%-9.5%-12.4%—253
Bounce off the lower Bollinger band-28.8%339.1%-9.7%-12.5%—153
The golden cross (50/200)-39.0%339.1%-10.5%-13.3%—37
Upper Bollinger band breakout-44.8%339.1%-11.0%-13.8%—318
Wyckoff: buying the accumulation-53.7%339.1%-11.9%-14.7%—132
Ichimoku: buy above the cloud-58.9%339.1%-12.5%-15.3%—288
The Turtles: 55-day breakout-74.4%339.1%-14.8%-17.6%—90

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