On EUR/USD, 7 of 17 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On EUR/USD, 7 of 17 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is Only invest above the 200-day average: +1.1 points a year over buying and holding EUR/USD. The worst is RSI 14: buy oversold (30/70): -1.7 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 |
|---|---|---|---|---|---|---|
| Only invest above the 200-day average | 23.2% | -3.1% | +1.1% | -10.1% | overfit | 135 |
| “Sell in May and go away” | 17.3% | -3.1% | +0.8% | -10.3% | — | 45 |
| Supertrend: the line that changes colour | 12.6% | -3.1% | +0.7% | -10.5% | — | 13 |
| The golden cross (50/200) | 3.8% | -3.1% | +0.3% | -10.9% | overfit | 32 |
| ICT / Smart Money: the fair value gap | 1.6% | -3.1% | +0.2% | -11.0% | overfit | 197 |
| 2-day RSI (the Connors rule) | -1.6% | -3.1% | +0.1% | -11.1% | overfit | 554 |
| The Turtles: 55-day breakout | -2.0% | -3.1% | +0.1% | -11.1% | overfit | 68 |
| Upper Bollinger band breakout | -4.8% | -3.1% | -0.1% | -11.2% | overfit | 340 |
| Ichimoku: buy above the cloud | -7.3% | -3.1% | -0.2% | -11.4% | overfit | 349 |
| ADX: trade only in strong trends | -9.5% | -3.1% | -0.3% | -11.5% | overfit | 817 |
| Stochastic: oversold cross (14, 3) | -11.6% | -3.1% | -0.4% | -11.6% | overfit | 342 |
| Heikin Ashi: follow the coloured candles | -13.1% | -3.1% | -0.5% | -11.7% | overfit | 1588 |
| Parabolic SAR: follow the dots | -18.3% | -3.1% | -0.7% | -11.9% | overfit | 558 |
| Kaufman’s adaptive moving average (KAMA) | -23.8% | -3.1% | -1.0% | -12.2% | overfit | 875 |
| The MACD cross (12/26/9) | -25.4% | -3.1% | -1.1% | -12.3% | overfit | 517 |
| Bounce off the lower Bollinger band | -26.4% | -3.1% | -1.2% | -12.4% | overfit | 190 |
| RSI 14: buy oversold (30/70) | -34.3% | -3.1% | -1.7% | -12.9% | overfit | 30 |
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