On EL, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On EL, 1 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": +2.2 points a year over buying and holding EL. The worst is Heikin Ashi: follow the coloured candles: -16.1 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 |
|---|---|---|---|---|---|---|
| “Sell in May and go away” | ×31 | ×17 | +2.2% | +1.2% | — | 61 |
| Wyckoff: buying the accumulation | ×16 | ×17 | -0.0% | -1.0% | overfit | 169 |
| RSI 14: buy oversold (30/70) | 761.1% | ×17 | -2.3% | -3.2% | partly | 64 |
| Stochastic: oversold cross (14, 3) | 345.8% | ×17 | -4.6% | -5.5% | partly | 422 |
| The golden cross (50/200) | 272.9% | ×17 | -5.2% | -6.1% | overfit | 48 |
| Only invest above the 200-day average | 202.5% | ×17 | -5.9% | -6.8% | overfit | 273 |
| Parabolic SAR: follow the dots | 142.9% | ×17 | -6.6% | -7.6% | overfit | 659 |
| Bounce off the lower Bollinger band | 113.8% | ×17 | -7.0% | -8.0% | overfit | 266 |
| 2-day RSI (the Connors rule) | 102.7% | ×17 | -7.2% | -8.2% | overfit | 730 |
| Ichimoku: buy above the cloud | 74.4% | ×17 | -7.7% | -8.7% | overfit | 417 |
| The Turtles: 55-day breakout | 73.1% | ×17 | -7.7% | -8.7% | overfit | 121 |
| ICT / Smart Money: the fair value gap | 26.9% | ×17 | -8.8% | -9.7% | overfit | 242 |
| Supertrend: the line that changes colour | 5.7% | ×17 | -9.4% | -10.3% | overfit | 63 |
| ICT / Smart Money: the order block | -2.1% | ×17 | -9.6% | -10.6% | — | 14 |
| Kaufman’s adaptive moving average (KAMA) | -15.2% | ×17 | -10.1% | -11.1% | overfit | 1069 |
| The MACD cross (12/26/9) | -19.4% | ×17 | -10.2% | -11.2% | overfit | 625 |
| Upper Bollinger band breakout | -21.4% | ×17 | -10.3% | -11.3% | overfit | 510 |
| ADX: trade only in strong trends | -37.2% | ×17 | -11.0% | -12.0% | overfit | 1013 |
| Smart Money: the liquidity sweep | -40.6% | ×17 | -11.2% | -12.2% | overfit | 92 |
| Heikin Ashi: follow the coloured candles | -87.5% | ×17 | -16.1% | -17.1% | overfit | 2085 |
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