On EME, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On EME, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is "Sell in May and go away" at -6.3 points a year over buying and holding EME, while the worst is Upper Bollinger band breakout at -23.6 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” | ×112 | ×593 | -6.3% | +4.9% | overfit | 63 |
| The golden cross (50/200) | ×94 | ×593 | -6.9% | +4.3% | overfit | 45 |
| Only invest above the 200-day average | ×29 | ×593 | -11.1% | +0.0% | overfit | 261 |
| Parabolic SAR: follow the dots | ×19 | ×593 | -12.6% | -1.5% | overfit | 678 |
| The MACD cross (12/26/9) | ×18 | ×593 | -12.8% | -1.6% | overfit | 628 |
| Kaufman’s adaptive moving average (KAMA) | ×15 | ×593 | -13.5% | -2.3% | overfit | 1126 |
| ADX: trade only in strong trends | ×14 | ×593 | -13.7% | -2.5% | overfit | 1048 |
| Wyckoff: buying the accumulation | ×12 | ×593 | -14.1% | -3.0% | overfit | 170 |
| RSI 14: buy oversold (30/70) | ×11 | ×593 | -14.5% | -3.3% | partly | 49 |
| The Turtles: 55-day breakout | 853.1% | ×593 | -15.0% | -3.8% | overfit | 134 |
| Ichimoku: buy above the cloud | 744.4% | ×593 | -15.4% | -4.2% | overfit | 462 |
| Supertrend: the line that changes colour | 636.4% | ×593 | -15.8% | -4.7% | overfit | 77 |
| Stochastic: oversold cross (14, 3) | 610.0% | ×593 | -16.0% | -4.8% | overfit | 433 |
| Heikin Ashi: follow the coloured candles | 479.6% | ×593 | -16.6% | -5.5% | overfit | 2159 |
| Bounce off the lower Bollinger band | 53.0% | ×593 | -21.0% | -9.8% | overfit | 232 |
| ICT / Smart Money: the order block | 3.5% | ×593 | -22.3% | -11.1% | — | 8 |
| ICT / Smart Money: the fair value gap | 1.2% | ×593 | -22.3% | -11.2% | overfit | 312 |
| 2-day RSI (the Connors rule) | -7.4% | ×593 | -22.6% | -11.4% | overfit | 726 |
| Smart Money: the liquidity sweep | -26.4% | ×593 | -23.3% | -12.2% | overfit | 84 |
| Upper Bollinger band breakout | -32.4% | ×593 | -23.6% | -12.4% | overfit | 512 |
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