On FIS, 3 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On FIS, 3 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is 2-day RSI (the Connors rule): +2.4 points a year over buying and holding FIS, while the worst is Heikin Ashi: follow the coloured candles: -13.9 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 |
|---|---|---|---|---|---|---|
| 2-day RSI (the Connors rule) | 702.1% | 363.8% | +2.4% | -0.9% | overfit | 638 |
| “Sell in May and go away” | 483.8% | 363.8% | +1.0% | -2.2% | — | 50 |
| Only invest above the 200-day average | 416.2% | 363.8% | +0.5% | -2.8% | overfit | 152 |
| The golden cross (50/200) | 290.3% | 363.8% | -0.7% | -3.9% | overfit | 26 |
| Stochastic: oversold cross (14, 3) | 196.6% | 363.8% | -1.9% | -5.1% | overfit | 339 |
| Ichimoku: buy above the cloud | 152.8% | 363.8% | -2.5% | -5.7% | overfit | 324 |
| Supertrend: the line that changes colour | 86.2% | 363.8% | -3.8% | -7.0% | overfit | 39 |
| The Turtles: 55-day breakout | 47.7% | 363.8% | -4.7% | -7.9% | overfit | 101 |
| RSI 14: buy oversold (30/70) | 42.2% | 363.8% | -4.9% | -8.1% | overfit | 39 |
| Bounce off the lower Bollinger band | 11.8% | 363.8% | -5.8% | -9.1% | overfit | 212 |
| ICT / Smart Money: the fair value gap | 6.3% | 363.8% | -6.0% | -9.3% | overfit | 182 |
| ICT / Smart Money: the order block | -4.8% | 363.8% | -6.5% | -9.7% | — | 12 |
| Smart Money: the liquidity sweep | -21.2% | 363.8% | -7.2% | -10.4% | overfit | 76 |
| Upper Bollinger band breakout | -38.9% | 363.8% | -8.2% | -11.4% | overfit | 384 |
| The MACD cross (12/26/9) | -51.9% | 363.8% | -9.1% | -12.4% | overfit | 510 |
| Wyckoff: buying the accumulation | -59.5% | 363.8% | -9.8% | -13.0% | overfit | 163 |
| Parabolic SAR: follow the dots | -67.8% | 363.8% | -10.7% | -13.9% | overfit | 560 |
| Kaufman’s adaptive moving average (KAMA) | -68.9% | 363.8% | -10.8% | -14.0% | overfit | 916 |
| ADX: trade only in strong trends | -74.4% | 363.8% | -11.6% | -14.8% | overfit | 838 |
| Heikin Ashi: follow the coloured candles | -86.3% | 363.8% | -13.9% | -17.1% | overfit | 1672 |
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