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Finaxion Research · DXCM

Which strategy works on DXCM?

On DXCM, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.

Findings

On DXCM, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is Kaufman's adaptive moving average (KAMA): -1.1 points a year over buying and holding DXCM. The worst is Upper Bollinger band breakout: -19.0 points a year against buy-and-hold.

  1. On DXCM, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
  2. The best is Kaufman’s adaptive moving average (KAMA): -1.1 points a year over buying and holding DXCM.
  3. The worst is Upper Bollinger band breakout: -19.0 points a year against buy-and-hold.

The 20 strategies, one by one

StrategyReturnBuy and holdExcess (pts/yr)Vs. S&P 500 (pts/yr)Out of sampleTrades
Kaufman’s adaptive moving average (KAMA)×25×31-1.1%+5.1%partly751
The golden cross (50/200)×18×31-2.8%+3.4%overfit31
ADX: trade only in strong trends×14×31-4.2%+1.9%partly667
“Sell in May and go away”×14×31-4.3%+1.9%—43
The MACD cross (12/26/9)×14×31-4.4%+1.8%overfit418
Only invest above the 200-day average×11×31-5.3%+0.9%overfit131
The Turtles: 55-day breakout900.5%×31-6.0%+0.1%overfit71
Parabolic SAR: follow the dots763.4%×31-6.8%-0.6%overfit474
Supertrend: the line that changes colour453.2%×31-9.1%-2.9%overfit49
Ichimoku: buy above the cloud282.3%×31-10.9%-4.8%overfit261
RSI 14: buy oversold (30/70)268.1%×31-11.1%-5.0%overfit46
Heikin Ashi: follow the coloured candles93.2%×31-14.3%-8.1%overfit1391
Wyckoff: buying the accumulation71.0%×31-14.9%-8.7%overfit142
Stochastic: oversold cross (14, 3)22.2%×31-16.5%-10.3%overfit270
Smart Money: the liquidity sweep12.6%×31-16.9%-10.7%overfit50
ICT / Smart Money: the order block3.6%×31-17.3%-11.1%—2
Bounce off the lower Bollinger band-21.6%×31-18.6%-12.4%overfit162
2-day RSI (the Connors rule)-23.6%×31-18.7%-12.5%overfit492
ICT / Smart Money: the fair value gap-24.1%×31-18.7%-12.6%overfit164
Upper Bollinger band breakout-29.2%×31-19.0%-12.9%overfit346

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