On DECK, 3 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On DECK, 3 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is Stochastic: oversold cross (14, 3): +0.6 points a year over buying and holding DECK. The worst is Parabolic SAR: follow the dots: -24.4 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 |
|---|---|---|---|---|---|---|
| Stochastic: oversold cross (14, 3) | ×85 | ×71 | +0.6% | +3.7% | partly | 459 |
| The golden cross (50/200) | ×75 | ×71 | +0.2% | +3.3% | overfit | 44 |
| Supertrend: the line that changes colour | ×75 | ×71 | +0.2% | +3.2% | partly | 51 |
| Only invest above the 200-day average | ×67 | ×71 | -0.2% | +2.9% | partly | 288 |
| “Sell in May and go away” | ×17 | ×71 | -4.9% | -1.9% | overfit | 66 |
| The Turtles: 55-day breakout | ×16 | ×71 | -5.1% | -2.1% | overfit | 114 |
| Wyckoff: buying the accumulation | 885.1% | ×71 | -6.6% | -3.6% | partly | 194 |
| Bounce off the lower Bollinger band | 738.3% | ×71 | -7.2% | -4.1% | partly | 278 |
| Ichimoku: buy above the cloud | 701.1% | ×71 | -7.3% | -4.3% | overfit | 470 |
| 2-day RSI (the Connors rule) | 366.8% | ×71 | -9.0% | -6.0% | overfit | 770 |
| RSI 14: buy oversold (30/70) | 279.4% | ×71 | -9.7% | -6.7% | overfit | 55 |
| Smart Money: the liquidity sweep | 23.7% | ×71 | -13.2% | -10.2% | overfit | 92 |
| ICT / Smart Money: the order block | 4.4% | ×71 | -13.7% | -10.7% | — | 6 |
| Upper Bollinger band breakout | -49.4% | ×71 | -15.9% | -12.8% | overfit | 538 |
| Heikin Ashi: follow the coloured candles | -50.5% | ×71 | -16.0% | -12.9% | overfit | 2316 |
| ADX: trade only in strong trends | -66.5% | ×71 | -17.1% | -14.1% | overfit | 1040 |
| ICT / Smart Money: the fair value gap | -75.7% | ×71 | -18.1% | -15.0% | overfit | 258 |
| Kaufman’s adaptive moving average (KAMA) | -81.0% | ×71 | -18.8% | -15.7% | overfit | 1290 |
| The MACD cross (12/26/9) | -92.0% | ×71 | -21.3% | -18.2% | overfit | 730 |
| Parabolic SAR: follow the dots | -97.5% | ×71 | -24.4% | -21.4% | overfit | 680 |
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