On ERIE, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On ERIE, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is Parabolic SAR: follow the dots: -4.4 points a year over buying and holding ERIE. The worst is 2-day RSI (the Connors rule): -13.4 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 |
|---|---|---|---|---|---|---|
| Parabolic SAR: follow the dots | 893.8% | ×35 | -4.4% | -2.9% | overfit | 686 |
| The Turtles: 55-day breakout | 631.9% | ×35 | -5.5% | -3.9% | overfit | 117 |
| The golden cross (50/200) | 452.3% | ×35 | -6.5% | -4.9% | overfit | 38 |
| Supertrend: the line that changes colour | 443.8% | ×35 | -6.5% | -5.0% | overfit | 46 |
| “Sell in May and go away” | 338.0% | ×35 | -7.3% | -5.7% | overfit | 62 |
| RSI 14: buy oversold (30/70) | 301.8% | ×35 | -7.5% | -6.0% | overfit | 46 |
| The MACD cross (12/26/9) | 238.3% | ×35 | -8.1% | -6.6% | overfit | 634 |
| ADX: trade only in strong trends | 209.7% | ×35 | -8.4% | -6.9% | partly | 954 |
| Ichimoku: buy above the cloud | 190.0% | ×35 | -8.6% | -7.1% | overfit | 443 |
| Stochastic: oversold cross (14, 3) | 91.4% | ×35 | -10.0% | -8.5% | overfit | 398 |
| Only invest above the 200-day average | 88.7% | ×35 | -10.1% | -8.5% | overfit | 297 |
| Kaufman’s adaptive moving average (KAMA) | 66.6% | ×35 | -10.5% | -8.9% | overfit | 1193 |
| Wyckoff: buying the accumulation | 63.7% | ×35 | -10.5% | -9.0% | overfit | 174 |
| ICT / Smart Money: the fair value gap | 6.6% | ×35 | -11.9% | -10.4% | overfit | 136 |
| Bounce off the lower Bollinger band | 1.6% | ×35 | -12.1% | -10.5% | overfit | 278 |
| ICT / Smart Money: the order block | -2.5% | ×35 | -12.2% | -10.7% | overfit | 18 |
| Heikin Ashi: follow the coloured candles | -7.4% | ×35 | -12.4% | -10.8% | overfit | 2166 |
| Upper Bollinger band breakout | -16.3% | ×35 | -12.7% | -11.2% | overfit | 500 |
| Smart Money: the liquidity sweep | -28.3% | ×35 | -13.2% | -11.7% | overfit | 144 |
| 2-day RSI (the Connors rule) | -31.1% | ×35 | -13.4% | -11.8% | overfit | 648 |
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