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Finaxion Research · FANG

Which strategy works on FANG?

On FANG, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.

Findings

On FANG, 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 -3.9 points a year over buying and holding FANG, while the worst is Upper Bollinger band breakout at -26.9 points a year against buy-and-hold.

  1. On FANG, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
  2. The best is “Sell in May and go away”: -3.9 points a year over buying and holding FANG.
  3. The worst is Upper Bollinger band breakout: -26.9 points a year against buy-and-hold.

The 20 strategies, one by one

StrategyReturnBuy and holdExcess (pts/yr)Vs. S&P 500 (pts/yr)Out of sampleTrades
“Sell in May and go away”861.1%×15-3.9%+2.9%—28
Wyckoff: buying the accumulation723.6%×15-5.1%+1.6%—86
The golden cross (50/200)621.2%×15-6.2%+0.5%—17
Stochastic: oversold cross (14, 3)325.6%×15-10.6%-3.8%—198
Only invest above the 200-day average272.2%×15-11.6%-4.9%—99
RSI 14: buy oversold (30/70)243.2%×15-12.3%-5.5%—22
Supertrend: the line that changes colour237.9%×15-12.4%-5.6%—16
The Turtles: 55-day breakout180.6%×15-13.8%-7.1%—52
Parabolic SAR: follow the dots123.5%×15-15.6%-8.8%—322
The MACD cross (12/26/9)116.6%×15-15.8%-9.1%—292
2-day RSI (the Connors rule)62.0%×15-18.0%-11.3%—321
Ichimoku: buy above the cloud57.0%×15-18.3%-11.5%—233
Heikin Ashi: follow the coloured candles51.3%×15-18.5%-11.8%—972
ICT / Smart Money: the fair value gap51.1%×15-18.6%-11.8%—120
Bounce off the lower Bollinger band37.0%×15-19.3%-12.5%—110
Kaufman’s adaptive moving average (KAMA)36.9%×15-19.3%-12.5%—518
ADX: trade only in strong trends14.2%×15-20.6%-13.9%—508
ICT / Smart Money: the order block0.1%×15-21.6%-14.8%—6
Smart Money: the liquidity sweep-6.1%×15-22.0%-15.3%—46
Upper Bollinger band breakout-53.3%×15-26.9%-20.2%—232

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