On DRI, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On DRI, 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": -1.9 points a year over buying and holding DRI. The worst is Heikin Ashi: follow the coloured candles: -18.6 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” | ×42 | ×71 | -1.9% | +1.8% | overfit | 62 |
| The golden cross (50/200) | 784.0% | ×71 | -7.4% | -3.6% | partly | 45 |
| RSI 14: buy oversold (30/70) | 609.2% | ×71 | -8.1% | -4.4% | overfit | 52 |
| Stochastic: oversold cross (14, 3) | 594.4% | ×71 | -8.2% | -4.5% | overfit | 436 |
| Wyckoff: buying the accumulation | 490.9% | ×71 | -8.7% | -5.0% | overfit | 171 |
| 2-day RSI (the Connors rule) | 406.2% | ×71 | -9.3% | -5.5% | overfit | 725 |
| Supertrend: the line that changes colour | 372.4% | ×71 | -9.5% | -5.8% | partly | 49 |
| Parabolic SAR: follow the dots | 189.1% | ×71 | -11.1% | -7.4% | overfit | 694 |
| Only invest above the 200-day average | 112.6% | ×71 | -12.1% | -8.4% | overfit | 301 |
| Bounce off the lower Bollinger band | 83.3% | ×71 | -12.6% | -8.9% | overfit | 258 |
| Smart Money: the liquidity sweep | 44.1% | ×71 | -13.4% | -9.7% | overfit | 138 |
| Ichimoku: buy above the cloud | 36.7% | ×71 | -13.6% | -9.8% | overfit | 473 |
| The MACD cross (12/26/9) | 29.2% | ×71 | -13.8% | -10.0% | overfit | 674 |
| ADX: trade only in strong trends | 17.4% | ×71 | -14.1% | -10.3% | overfit | 1066 |
| ICT / Smart Money: the order block | 0.8% | ×71 | -14.6% | -10.8% | — | 4 |
| ICT / Smart Money: the fair value gap | -3.9% | ×71 | -14.7% | -11.0% | overfit | 218 |
| The Turtles: 55-day breakout | -7.2% | ×71 | -14.8% | -11.1% | overfit | 135 |
| Kaufman’s adaptive moving average (KAMA) | -30.5% | ×71 | -15.7% | -12.0% | overfit | 1168 |
| Upper Bollinger band breakout | -69.9% | ×71 | -18.4% | -14.6% | overfit | 514 |
| Heikin Ashi: follow the coloured candles | -72.0% | ×71 | -18.6% | -14.8% | overfit | 2140 |
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