On FE, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On FE, 0 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": -1.5 points a year over buying and holding FE. The worst is Heikin Ashi: follow the coloured candles: -10.3 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” | 336.5% | 563.0% | -1.5% | -4.2% | overfit | 57 |
| Wyckoff: buying the accumulation | 274.8% | 563.0% | -2.1% | -4.8% | overfit | 161 |
| The golden cross (50/200) | 235.1% | 563.0% | -2.5% | -5.2% | overfit | 41 |
| Stochastic: oversold cross (14, 3) | 149.4% | 563.0% | -3.6% | -6.3% | overfit | 389 |
| The MACD cross (12/26/9) | 120.9% | 563.0% | -4.0% | -6.7% | overfit | 584 |
| RSI 14: buy oversold (30/70) | 111.6% | 563.0% | -4.1% | -6.9% | overfit | 55 |
| Supertrend: the line that changes colour | 81.9% | 563.0% | -4.7% | -7.4% | overfit | 35 |
| Only invest above the 200-day average | 51.5% | 563.0% | -5.3% | -8.0% | overfit | 264 |
| Parabolic SAR: follow the dots | 42.9% | 563.0% | -5.5% | -8.2% | overfit | 680 |
| The Turtles: 55-day breakout | 0.6% | 563.0% | -6.8% | -9.5% | overfit | 124 |
| Ichimoku: buy above the cloud | 0.0% | 563.0% | -6.8% | -9.5% | overfit | 378 |
| ICT / Smart Money: the fair value gap | -3.2% | 563.0% | -6.9% | -9.6% | overfit | 168 |
| ICT / Smart Money: the order block | -3.8% | 563.0% | -6.9% | -9.6% | overfit | 16 |
| Bounce off the lower Bollinger band | -13.6% | 563.0% | -7.3% | -10.0% | overfit | 219 |
| Smart Money: the liquidity sweep | -23.5% | 563.0% | -7.7% | -10.4% | overfit | 104 |
| ADX: trade only in strong trends | -36.6% | 563.0% | -8.4% | -11.1% | overfit | 926 |
| Kaufman’s adaptive moving average (KAMA) | -58.5% | 563.0% | -9.8% | -12.5% | overfit | 1046 |
| Upper Bollinger band breakout | -60.2% | 563.0% | -9.9% | -12.6% | overfit | 478 |
| 2-day RSI (the Connors rule) | -60.6% | 563.0% | -10.0% | -12.7% | overfit | 581 |
| Heikin Ashi: follow the coloured candles | -64.8% | 563.0% | -10.3% | -13.1% | overfit | 1828 |
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