On ESS, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On ESS, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is the golden cross (50/200) at -3.2 points a year over buying and holding ESS, while the worst is Heikin Ashi: follow the coloured candles at -15.8 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 |
|---|---|---|---|---|---|---|
| The golden cross (50/200) | ×21 | ×54 | -3.2% | -1.1% | overfit | 49 |
| Only invest above the 200-day average | ×14 | ×54 | -4.6% | -2.5% | overfit | 245 |
| Wyckoff: buying the accumulation | 949.4% | ×54 | -5.6% | -3.5% | overfit | 183 |
| Supertrend: the line that changes colour | 860.9% | ×54 | -5.9% | -3.8% | overfit | 38 |
| RSI 14: buy oversold (30/70) | 631.8% | ×54 | -6.8% | -4.7% | — | 56 |
| Stochastic: oversold cross (14, 3) | 581.5% | ×54 | -7.0% | -4.9% | — | 452 |
| “Sell in May and go away” | 575.5% | ×54 | -7.0% | -5.0% | overfit | 64 |
| Parabolic SAR: follow the dots | 413.1% | ×54 | -7.9% | -5.9% | overfit | 724 |
| Bounce off the lower Bollinger band | 223.3% | ×54 | -9.4% | -7.3% | overfit | 254 |
| Ichimoku: buy above the cloud | 187.9% | ×54 | -9.8% | -7.7% | overfit | 434 |
| 2-day RSI (the Connors rule) | 110.4% | ×54 | -10.8% | -8.7% | overfit | 683 |
| The MACD cross (12/26/9) | 98.3% | ×54 | -11.0% | -8.9% | overfit | 666 |
| The Turtles: 55-day breakout | 90.8% | ×54 | -11.1% | -9.0% | overfit | 136 |
| Smart Money: the liquidity sweep | 5.8% | ×54 | -13.0% | -10.9% | overfit | 124 |
| ADX: trade only in strong trends | 4.7% | ×54 | -13.0% | -10.9% | overfit | 1082 |
| ICT / Smart Money: the order block | -1.0% | ×54 | -13.2% | -11.1% | overfit | 22 |
| ICT / Smart Money: the fair value gap | -20.9% | ×54 | -13.9% | -11.8% | overfit | 264 |
| Kaufman’s adaptive moving average (KAMA) | -27.2% | ×54 | -14.1% | -12.0% | overfit | 1214 |
| Upper Bollinger band breakout | -45.9% | ×54 | -15.0% | -13.0% | overfit | 550 |
| Heikin Ashi: follow the coloured candles | -57.9% | ×54 | -15.8% | -13.7% | overfit | 2078 |
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