On DGX, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On DGX, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is Wyckoff: buying the accumulation, at -3.0 points a year over buying and holding DGX. The worst is Upper Bollinger band breakout, at -20.1 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 | ×44 | ×97 | -3.0% | +3.5% | overfit | 162 |
| “Sell in May and go away” | ×40 | ×97 | -3.5% | +3.1% | — | 59 |
| Only invest above the 200-day average | 860.2% | ×97 | -8.7% | -2.2% | partly | 189 |
| RSI 14: buy oversold (30/70) | 852.2% | ×97 | -8.8% | -2.2% | overfit | 52 |
| The golden cross (50/200) | 517.9% | ×97 | -10.3% | -3.8% | overfit | 41 |
| Stochastic: oversold cross (14, 3) | 513.6% | ×97 | -10.4% | -3.8% | overfit | 390 |
| Supertrend: the line that changes colour | 459.4% | ×97 | -10.7% | -4.1% | overfit | 47 |
| Ichimoku: buy above the cloud | 326.7% | ×97 | -11.6% | -5.1% | overfit | 367 |
| The MACD cross (12/26/9) | 307.8% | ×97 | -11.8% | -5.3% | overfit | 550 |
| Kaufman’s adaptive moving average (KAMA) | 204.1% | ×97 | -12.8% | -6.3% | overfit | 1029 |
| Parabolic SAR: follow the dots | 148.3% | ×97 | -13.5% | -7.0% | overfit | 651 |
| Bounce off the lower Bollinger band | 140.9% | ×97 | -13.7% | -7.1% | overfit | 232 |
| The Turtles: 55-day breakout | 110.8% | ×97 | -14.1% | -7.6% | overfit | 129 |
| ADX: trade only in strong trends | 22.1% | ×97 | -16.0% | -9.4% | overfit | 951 |
| ICT / Smart Money: the fair value gap | 18.1% | ×97 | -16.1% | -9.6% | overfit | 244 |
| 2-day RSI (the Connors rule) | 2.0% | ×97 | -16.6% | -10.1% | overfit | 652 |
| ICT / Smart Money: the order block | -0.6% | ×97 | -16.7% | -10.1% | overfit | 18 |
| Heikin Ashi: follow the coloured candles | -20.9% | ×97 | -17.5% | -10.9% | overfit | 1951 |
| Smart Money: the liquidity sweep | -27.6% | ×97 | -17.7% | -11.2% | overfit | 90 |
| Upper Bollinger band breakout | -64.8% | ×97 | -20.1% | -13.6% | overfit | 502 |
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