On EW, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On EW, 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 -3.0 points a year over buying and holding EW, while the worst is the Turtles: 55-day breakout at -20.6 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” | ×34 | ×66 | -3.0% | +6.0% | — | 53 |
| Stochastic: oversold cross (14, 3) | ×21 | ×66 | -4.9% | +4.1% | — | 365 |
| RSI 14: buy oversold (30/70) | ×13 | ×66 | -7.1% | +1.9% | partly | 48 |
| The golden cross (50/200) | 993.5% | ×66 | -7.7% | +1.3% | overfit | 35 |
| 2-day RSI (the Connors rule) | 976.0% | ×66 | -7.7% | +1.2% | overfit | 628 |
| Bounce off the lower Bollinger band | 524.2% | ×66 | -10.0% | -1.0% | partly | 204 |
| Only invest above the 200-day average | 410.0% | ×66 | -10.8% | -1.8% | overfit | 195 |
| Supertrend: the line that changes colour | 238.4% | ×66 | -12.4% | -3.5% | overfit | 47 |
| Wyckoff: buying the accumulation | 199.4% | ×66 | -12.9% | -4.0% | overfit | 143 |
| Parabolic SAR: follow the dots | 173.2% | ×66 | -13.3% | -4.3% | overfit | 586 |
| Kaufman’s adaptive moving average (KAMA) | 163.5% | ×66 | -13.4% | -4.5% | overfit | 922 |
| The MACD cross (12/26/9) | 150.6% | ×66 | -13.6% | -4.7% | overfit | 526 |
| ICT / Smart Money: the order block | 3.7% | ×66 | -17.0% | -8.1% | overfit | 14 |
| Smart Money: the liquidity sweep | 0.1% | ×66 | -17.2% | -8.2% | overfit | 68 |
| ADX: trade only in strong trends | -7.4% | ×66 | -17.5% | -8.5% | overfit | 847 |
| Upper Bollinger band breakout | -11.4% | ×66 | -17.6% | -8.7% | overfit | 452 |
| Ichimoku: buy above the cloud | -17.5% | ×66 | -17.9% | -8.9% | overfit | 379 |
| Heikin Ashi: follow the coloured candles | -32.1% | ×66 | -18.6% | -9.7% | overfit | 1742 |
| ICT / Smart Money: the fair value gap | -35.2% | ×66 | -18.8% | -9.8% | overfit | 236 |
| The Turtles: 55-day breakout | -60.0% | ×66 | -20.6% | -11.6% | overfit | 124 |
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