On FFIV, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On FFIV, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is Wyckoff: buying the accumulation: -5.0 points a year over buying and holding FFIV. The worst is Upper Bollinger band breakout: -22.0 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 |
|---|---|---|---|---|---|---|
| Wyckoff: buying the accumulation | ×16 | ×55 | -5.0% | +2.3% | partly | 157 |
| ADX: trade only in strong trends | ×13 | ×55 | -5.8% | +1.5% | overfit | 857 |
| Only invest above the 200-day average | ×13 | ×55 | -5.9% | +1.4% | overfit | 169 |
| Supertrend: the line that changes colour | ×11 | ×55 | -6.6% | +0.7% | partly | 45 |
| The Turtles: 55-day breakout | 940.2% | ×55 | -6.8% | +0.5% | overfit | 103 |
| Kaufman’s adaptive moving average (KAMA) | 732.4% | ×55 | -7.7% | -0.4% | partly | 913 |
| Ichimoku: buy above the cloud | 489.2% | ×55 | -9.1% | -1.8% | overfit | 319 |
| The MACD cross (12/26/9) | 423.2% | ×55 | -9.5% | -2.2% | overfit | 559 |
| The golden cross (50/200) | 249.0% | ×55 | -11.1% | -3.8% | overfit | 39 |
| Parabolic SAR: follow the dots | 206.3% | ×55 | -11.6% | -4.3% | partly | 599 |
| 2-day RSI (the Connors rule) | 122.8% | ×55 | -12.8% | -5.5% | overfit | 630 |
| ICT / Smart Money: the fair value gap | 15.9% | ×55 | -15.3% | -8.0% | overfit | 210 |
| ICT / Smart Money: the order block | 2.5% | ×55 | -15.7% | -8.4% | — | 2 |
| RSI 14: buy oversold (30/70) | -9.3% | ×55 | -16.2% | -8.9% | overfit | 46 |
| Stochastic: oversold cross (14, 3) | -35.5% | ×55 | -17.4% | -10.1% | overfit | 371 |
| Smart Money: the liquidity sweep | -40.6% | ×55 | -17.7% | -10.4% | overfit | 56 |
| Heikin Ashi: follow the coloured candles | -44.2% | ×55 | -17.9% | -10.6% | overfit | 1803 |
| Bounce off the lower Bollinger band | -54.0% | ×55 | -18.6% | -11.3% | overfit | 206 |
| “Sell in May and go away” | -67.2% | ×55 | -19.8% | -12.5% | overfit | 54 |
| Upper Bollinger band breakout | -82.3% | ×55 | -22.0% | -14.7% | overfit | 454 |
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