On EEM, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On EEM, 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": -3.0 points a year over buying and holding EEM. The worst is Heikin Ashi: follow the coloured candles: -12.9 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” | 390.0% | 830.9% | -3.0% | -4.6% | — | 47 |
| Ichimoku: buy above the cloud | 330.3% | 830.9% | -3.6% | -5.2% | overfit | 295 |
| The golden cross (50/200) | 230.8% | 830.9% | -4.8% | -6.4% | overfit | 35 |
| The Turtles: 55-day breakout | 224.0% | 830.9% | -4.9% | -6.5% | overfit | 96 |
| Only invest above the 200-day average | 199.6% | 830.9% | -5.2% | -6.9% | overfit | 211 |
| 2-day RSI (the Connors rule) | 189.3% | 830.9% | -5.4% | -7.0% | overfit | 548 |
| Stochastic: oversold cross (14, 3) | 125.2% | 830.9% | -6.5% | -8.1% | overfit | 338 |
| Supertrend: the line that changes colour | 106.3% | 830.9% | -6.9% | -8.5% | overfit | 71 |
| RSI 14: buy oversold (30/70) | 100.4% | 830.9% | -7.0% | -8.6% | partly | 32 |
| Wyckoff: buying the accumulation | 100.3% | 830.9% | -7.0% | -8.6% | overfit | 98 |
| The MACD cross (12/26/9) | 32.4% | 830.9% | -8.8% | -10.4% | overfit | 477 |
| Kaufman’s adaptive moving average (KAMA) | 31.5% | 830.9% | -8.8% | -10.5% | overfit | 851 |
| ADX: trade only in strong trends | 23.1% | 830.9% | -9.1% | -10.8% | overfit | 859 |
| Bounce off the lower Bollinger band | 23.0% | 830.9% | -9.1% | -10.8% | overfit | 190 |
| Parabolic SAR: follow the dots | 21.9% | 830.9% | -9.2% | -10.8% | overfit | 511 |
| ICT / Smart Money: the fair value gap | 7.0% | 830.9% | -9.7% | -11.4% | overfit | 208 |
| Upper Bollinger band breakout | -2.7% | 830.9% | -10.1% | -11.8% | overfit | 324 |
| ICT / Smart Money: the order block | -7.5% | 830.9% | -10.3% | -12.0% | — | 12 |
| Smart Money: the liquidity sweep | -32.2% | 830.9% | -11.7% | -13.3% | overfit | 62 |
| Heikin Ashi: follow the coloured candles | -49.1% | 830.9% | -12.9% | -14.5% | overfit | 1717 |
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