On DVA, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On DVA, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is Only invest above the 200-day average: -4.1 points a year over buying and holding DVA. The worst is 2-day RSI (the Connors rule): -18.1 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 |
|---|---|---|---|---|---|---|
| Only invest above the 200-day average | ×14 | ×43 | -4.1% | -1.7% | — | 205 |
| “Sell in May and go away” | ×13 | ×43 | -4.4% | -2.0% | — | 62 |
| The golden cross (50/200) | 766.7% | ×43 | -5.7% | -3.3% | overfit | 47 |
| Stochastic: oversold cross (14, 3) | 681.0% | ×43 | -6.1% | -3.7% | overfit | 435 |
| Wyckoff: buying the accumulation | 357.7% | ×43 | -7.9% | -5.5% | overfit | 191 |
| Parabolic SAR: follow the dots | 353.7% | ×43 | -8.0% | -5.6% | overfit | 628 |
| Ichimoku: buy above the cloud | 288.2% | ×43 | -8.5% | -6.1% | overfit | 414 |
| The Turtles: 55-day breakout | 260.6% | ×43 | -8.7% | -6.4% | overfit | 120 |
| RSI 14: buy oversold (30/70) | 248.7% | ×43 | -8.9% | -6.5% | overfit | 61 |
| ADX: trade only in strong trends | 124.3% | ×43 | -10.3% | -8.0% | overfit | 966 |
| The MACD cross (12/26/9) | 99.9% | ×43 | -10.7% | -8.3% | overfit | 599 |
| Kaufman’s adaptive moving average (KAMA) | 83.2% | ×43 | -11.0% | -8.6% | overfit | 1120 |
| Bounce off the lower Bollinger band | 79.7% | ×43 | -11.1% | -8.7% | overfit | 253 |
| Heikin Ashi: follow the coloured candles | 22.2% | ×43 | -12.3% | -10.0% | overfit | 2053 |
| Supertrend: the line that changes colour | 19.6% | ×43 | -12.4% | -10.0% | overfit | 70 |
| ICT / Smart Money: the order block | 4.7% | ×43 | -12.8% | -10.5% | overfit | 24 |
| Upper Bollinger band breakout | -2.2% | ×43 | -13.1% | -10.7% | overfit | 494 |
| Smart Money: the liquidity sweep | -24.8% | ×43 | -13.9% | -11.5% | overfit | 78 |
| ICT / Smart Money: the fair value gap | -51.0% | ×43 | -15.3% | -12.9% | overfit | 278 |
| 2-day RSI (the Connors rule) | -80.1% | ×43 | -18.1% | -15.7% | overfit | 716 |
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