On FCX, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On FCX, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is "Sell in May and go away": +2.9 points a year over buying and holding FCX. The worst is Stochastic: oversold cross (14, 3): -11.2 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” | ×27 | ×12 | +2.9% | +0.5% | — | 62 |
| Ichimoku: buy above the cloud | ×12 | ×12 | -0.0% | -2.5% | overfit | 387 |
| Supertrend: the line that changes colour | 975.8% | ×12 | -0.3% | -2.7% | overfit | 55 |
| Parabolic SAR: follow the dots | 774.7% | ×12 | -1.0% | -3.5% | overfit | 679 |
| The MACD cross (12/26/9) | 602.5% | ×12 | -1.7% | -4.2% | overfit | 617 |
| The Turtles: 55-day breakout | 535.2% | ×12 | -2.1% | -4.5% | partly | 115 |
| Only invest above the 200-day average | 250.1% | ×12 | -4.1% | -6.6% | overfit | 281 |
| ADX: trade only in strong trends | 206.5% | ×12 | -4.5% | -7.0% | overfit | 1035 |
| Wyckoff: buying the accumulation | 179.2% | ×12 | -4.8% | -7.3% | overfit | 172 |
| The golden cross (50/200) | 176.0% | ×12 | -4.9% | -7.3% | overfit | 57 |
| 2-day RSI (the Connors rule) | 28.2% | ×12 | -7.4% | -9.9% | overfit | 734 |
| RSI 14: buy oversold (30/70) | 27.0% | ×12 | -7.4% | -9.9% | overfit | 60 |
| Heikin Ashi: follow the coloured candles | 10.7% | ×12 | -7.9% | -10.3% | overfit | 2069 |
| Kaufman’s adaptive moving average (KAMA) | 10.2% | ×12 | -7.9% | -10.4% | overfit | 1153 |
| Smart Money: the liquidity sweep | -2.6% | ×12 | -8.3% | -10.8% | overfit | 94 |
| ICT / Smart Money: the order block | -7.3% | ×12 | -8.4% | -10.9% | — | 12 |
| ICT / Smart Money: the fair value gap | -27.5% | ×12 | -9.2% | -11.7% | overfit | 226 |
| Bounce off the lower Bollinger band | -39.1% | ×12 | -9.8% | -12.2% | overfit | 246 |
| Upper Bollinger band breakout | -52.9% | ×12 | -10.6% | -13.1% | overfit | 522 |
| Stochastic: oversold cross (14, 3) | -61.9% | ×12 | -11.2% | -13.7% | overfit | 404 |
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