On DLR, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On DLR, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is "Sell in May and go away", at -6.1 points a year over buying and holding DLR, while the worst is Upper Bollinger band breakout, at -22.2 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 |
|---|---|---|---|---|---|---|
| “Sell in May and go away” | ×11 | ×36 | -6.1% | +0.6% | overfit | 44 |
| Supertrend: the line that changes colour | 583.5% | ×36 | -8.7% | -2.0% | overfit | 29 |
| Stochastic: oversold cross (14, 3) | 516.1% | ×36 | -9.2% | -2.5% | partly | 303 |
| 2-day RSI (the Connors rule) | 475.1% | ×36 | -9.5% | -2.8% | overfit | 458 |
| RSI 14: buy oversold (30/70) | 414.9% | ×36 | -10.1% | -3.4% | overfit | 38 |
| Bounce off the lower Bollinger band | 327.4% | ×36 | -11.0% | -4.3% | overfit | 170 |
| The golden cross (50/200) | 324.1% | ×36 | -11.0% | -4.3% | overfit | 37 |
| Only invest above the 200-day average | 136.1% | ×36 | -13.9% | -7.2% | overfit | 185 |
| Ichimoku: buy above the cloud | 135.8% | ×36 | -13.9% | -7.2% | overfit | 313 |
| The Turtles: 55-day breakout | 63.3% | ×36 | -15.6% | -8.9% | overfit | 94 |
| Wyckoff: buying the accumulation | 52.6% | ×36 | -15.9% | -9.2% | overfit | 115 |
| Parabolic SAR: follow the dots | 44.6% | ×36 | -16.2% | -9.5% | overfit | 506 |
| ICT / Smart Money: the fair value gap | 15.1% | ×36 | -17.2% | -10.5% | overfit | 156 |
| ICT / Smart Money: the order block | -2.2% | ×36 | -18.0% | -11.3% | — | 6 |
| The MACD cross (12/26/9) | -13.6% | ×36 | -18.6% | -11.8% | overfit | 468 |
| Smart Money: the liquidity sweep | -18.6% | ×36 | -18.8% | -12.1% | overfit | 80 |
| Kaufman’s adaptive moving average (KAMA) | -18.8% | ×36 | -18.8% | -12.1% | overfit | 793 |
| ADX: trade only in strong trends | -19.5% | ×36 | -18.9% | -12.2% | overfit | 661 |
| Heikin Ashi: follow the coloured candles | -58.8% | ×36 | -21.9% | -15.2% | overfit | 1407 |
| Upper Bollinger band breakout | -61.6% | ×36 | -22.2% | -15.5% | overfit | 400 |
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