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Finaxion Research · FER

Which strategy works on FER?

On FER, 0 of 19 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.

Findings

On FER, 0 of 19 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 -5.7 points a year over buying and holding FER, while the worst is Upper Bollinger band breakout at -16.5 points a year against buy-and-hold.

  1. On FER, 0 of 19 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”: -5.7 points a year over buying and holding FER.
  3. The worst is Upper Bollinger band breakout: -16.5 points a year against buy-and-hold.

The 19 strategies, one by one

StrategyReturnBuy and holdExcess (pts/yr)Vs. S&P 500 (pts/yr)Out of sampleTrades
“Sell in May and go away”238.2%593.7%-5.7%-5.7%overfit28
Bounce off the lower Bollinger band196.2%593.7%-6.7%-6.8%—144
Only invest above the 200-day average177.8%593.7%-7.2%-7.2%—50
2-day RSI (the Connors rule)114.3%593.7%-9.2%-9.2%—195
Heikin Ashi: follow the coloured candles112.2%593.7%-9.3%-9.3%—368
Stochastic: oversold cross (14, 3)101.3%593.7%-9.7%-9.7%—95
Parabolic SAR: follow the dots90.1%593.7%-10.1%-10.1%—122
The golden cross (50/200)85.2%593.7%-10.3%-10.3%—20
ADX: trade only in strong trends78.0%593.7%-10.6%-10.6%—198
RSI 14: buy oversold (30/70)43.5%593.7%-12.2%-12.2%—39
The Turtles: 55-day breakout36.9%593.7%-12.5%-12.5%—62
Kaufman’s adaptive moving average (KAMA)36.4%593.7%-12.5%-12.6%—234
Ichimoku: buy above the cloud30.5%593.7%-12.9%-12.9%—110
Smart Money: the liquidity sweep-0.6%593.7%-14.8%-14.8%—6
Supertrend: the line that changes colour-4.6%593.7%-15.1%-15.1%—128
The MACD cross (12/26/9)-18.6%593.7%-16.2%-16.3%—246
ICT / Smart Money: the fair value gap-19.7%593.7%-16.3%-16.4%—232
Wyckoff: buying the accumulation-20.2%593.7%-16.4%-16.4%—16
Upper Bollinger band breakout-21.7%593.7%-16.5%-16.5%—196

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