On FDS, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On FDS, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is Kaufman's adaptive moving average (KAMA): -4.9 points a year over buying and holding FDS. The worst is Upper Bollinger band breakout: -17.6 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 |
|---|---|---|---|---|---|---|
| Kaufman’s adaptive moving average (KAMA) | ×25 | ×92 | -4.9% | +0.9% | overfit | 999 |
| Heikin Ashi: follow the coloured candles | ×22 | ×92 | -5.4% | +0.5% | overfit | 1895 |
| “Sell in May and go away” | 838.8% | ×92 | -8.5% | -2.6% | overfit | 60 |
| ADX: trade only in strong trends | 814.7% | ×92 | -8.5% | -2.6% | overfit | 965 |
| Supertrend: the line that changes colour | 752.8% | ×92 | -8.8% | -2.9% | overfit | 67 |
| Wyckoff: buying the accumulation | 659.1% | ×92 | -9.2% | -3.3% | overfit | 210 |
| Ichimoku: buy above the cloud | 606.1% | ×92 | -9.5% | -3.6% | overfit | 391 |
| Stochastic: oversold cross (14, 3) | 476.2% | ×92 | -10.2% | -4.3% | partly | 414 |
| RSI 14: buy oversold (30/70) | 460.3% | ×92 | -10.3% | -4.4% | overfit | 60 |
| The MACD cross (12/26/9) | 416.1% | ×92 | -10.6% | -4.7% | overfit | 581 |
| Only invest above the 200-day average | 309.4% | ×92 | -11.4% | -5.5% | overfit | 259 |
| The golden cross (50/200) | 157.8% | ×92 | -13.0% | -7.1% | overfit | 53 |
| The Turtles: 55-day breakout | 155.3% | ×92 | -13.0% | -7.1% | overfit | 133 |
| Parabolic SAR: follow the dots | 143.4% | ×92 | -13.2% | -7.3% | overfit | 678 |
| Bounce off the lower Bollinger band | 100.2% | ×92 | -13.8% | -8.0% | overfit | 246 |
| ICT / Smart Money: the fair value gap | 9.3% | ×92 | -15.9% | -10.0% | overfit | 210 |
| 2-day RSI (the Connors rule) | -0.7% | ×92 | -16.2% | -10.3% | overfit | 704 |
| ICT / Smart Money: the order block | -2.2% | ×92 | -16.2% | -10.3% | — | 6 |
| Smart Money: the liquidity sweep | -8.6% | ×92 | -16.5% | -10.6% | overfit | 88 |
| Upper Bollinger band breakout | -34.5% | ×92 | -17.6% | -11.7% | overfit | 510 |
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