On ELV, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On ELV, 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": -0.1 points a year over buying and holding ELV. The worst is Upper Bollinger band breakout: -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” | ×24 | ×24 | -0.1% | +3.3% | — | 50 |
| RSI 14: buy oversold (30/70) | 770.5% | ×24 | -4.6% | -1.1% | overfit | 54 |
| Wyckoff: buying the accumulation | 389.1% | ×24 | -7.1% | -3.6% | overfit | 145 |
| Only invest above the 200-day average | 340.5% | ×24 | -7.5% | -4.1% | overfit | 199 |
| The golden cross (50/200) | 273.7% | ×24 | -8.2% | -4.8% | overfit | 37 |
| Stochastic: oversold cross (14, 3) | 238.5% | ×24 | -8.7% | -5.2% | overfit | 354 |
| Ichimoku: buy above the cloud | 136.2% | ×24 | -10.2% | -6.7% | overfit | 334 |
| Parabolic SAR: follow the dots | 103.2% | ×24 | -10.8% | -7.4% | overfit | 554 |
| ADX: trade only in strong trends | 89.3% | ×24 | -11.1% | -7.6% | overfit | 805 |
| Kaufman’s adaptive moving average (KAMA) | 66.5% | ×24 | -11.6% | -8.2% | overfit | 919 |
| The MACD cross (12/26/9) | 62.2% | ×24 | -11.7% | -8.3% | overfit | 519 |
| Bounce off the lower Bollinger band | 47.0% | ×24 | -12.1% | -8.7% | overfit | 202 |
| 2-day RSI (the Connors rule) | 29.4% | ×24 | -12.6% | -9.2% | overfit | 554 |
| ICT / Smart Money: the order block | -0.4% | ×24 | -13.7% | -10.3% | — | 4 |
| The Turtles: 55-day breakout | -3.6% | ×24 | -13.8% | -10.4% | overfit | 106 |
| ICT / Smart Money: the fair value gap | -9.6% | ×24 | -14.1% | -10.7% | overfit | 196 |
| Supertrend: the line that changes colour | -14.1% | ×24 | -14.3% | -10.9% | overfit | 45 |
| Heikin Ashi: follow the coloured candles | -17.4% | ×24 | -14.5% | -11.0% | overfit | 1636 |
| Smart Money: the liquidity sweep | -28.2% | ×24 | -15.0% | -11.6% | overfit | 72 |
| Upper Bollinger band breakout | -45.0% | ×24 | -16.1% | -12.6% | overfit | 410 |
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