On DPZ, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On DPZ, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is "Sell in May and go away": -3.1 points a year over buying and holding DPZ. The worst is Heikin Ashi: follow the coloured candles: -24.7 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 |
|---|---|---|---|---|---|---|
| “Sell in May and go away” | ×32 | ×57 | -3.1% | +5.9% | overfit | 44 |
| Only invest above the 200-day average | ×27 | ×57 | -4.0% | +5.0% | partly | 114 |
| The golden cross (50/200) | ×18 | ×57 | -6.2% | +2.7% | partly | 26 |
| Ichimoku: buy above the cloud | ×15 | ×57 | -7.0% | +2.0% | overfit | 225 |
| 2-day RSI (the Connors rule) | 594.0% | ×57 | -10.9% | -1.9% | partly | 533 |
| Supertrend: the line that changes colour | 555.8% | ×57 | -11.2% | -2.2% | overfit | 36 |
| The Turtles: 55-day breakout | 428.1% | ×57 | -12.3% | -3.3% | overfit | 87 |
| The MACD cross (12/26/9) | 378.8% | ×57 | -12.7% | -3.8% | overfit | 442 |
| Stochastic: oversold cross (14, 3) | 322.3% | ×57 | -13.3% | -4.4% | overfit | 297 |
| Wyckoff: buying the accumulation | 319.9% | ×57 | -13.4% | -4.4% | overfit | 144 |
| RSI 14: buy oversold (30/70) | 303.7% | ×57 | -13.6% | -4.6% | overfit | 40 |
| Parabolic SAR: follow the dots | 299.4% | ×57 | -13.6% | -4.6% | overfit | 475 |
| ADX: trade only in strong trends | 246.1% | ×57 | -14.3% | -5.3% | overfit | 682 |
| Kaufman’s adaptive moving average (KAMA) | 77.9% | ×57 | -17.4% | -8.5% | overfit | 780 |
| Upper Bollinger band breakout | -3.1% | ×57 | -20.2% | -11.2% | overfit | 378 |
| ICT / Smart Money: the order block | -5.9% | ×57 | -20.4% | -11.4% | — | 10 |
| Bounce off the lower Bollinger band | -6.6% | ×57 | -20.4% | -11.4% | overfit | 166 |
| Smart Money: the liquidity sweep | -33.6% | ×57 | -21.9% | -12.9% | overfit | 76 |
| ICT / Smart Money: the fair value gap | -34.1% | ×57 | -22.0% | -13.0% | overfit | 188 |
| Heikin Ashi: follow the coloured candles | -65.1% | ×57 | -24.7% | -15.8% | overfit | 1458 |
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