On FIX, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On FIX, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is Supertrend: the line that changes colour, at -4.9 points a year over buying and holding FIX. The worst is Heikin Ashi: follow the coloured candles, at -24.3 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 |
|---|---|---|---|---|---|---|
| Supertrend: the line that changes colour | ×35 | ×121 | -4.9% | +3.4% | overfit | 57 |
| “Sell in May and go away” | ×21 | ×121 | -6.8% | +1.5% | overfit | 58 |
| Only invest above the 200-day average | ×19 | ×121 | -7.3% | +1.1% | overfit | 203 |
| The MACD cross (12/26/9) | ×16 | ×121 | -7.8% | +0.6% | overfit | 550 |
| The golden cross (50/200) | ×15 | ×121 | -8.0% | +0.3% | overfit | 43 |
| Parabolic SAR: follow the dots | ×11 | ×121 | -9.2% | -0.8% | overfit | 646 |
| Ichimoku: buy above the cloud | 726.7% | ×121 | -10.3% | -2.0% | overfit | 400 |
| RSI 14: buy oversold (30/70) | 574.9% | ×121 | -11.1% | -2.7% | overfit | 54 |
| Wyckoff: buying the accumulation | 459.0% | ×121 | -11.8% | -3.4% | overfit | 189 |
| 2-day RSI (the Connors rule) | 269.5% | ×121 | -13.3% | -4.9% | overfit | 671 |
| Stochastic: oversold cross (14, 3) | 225.9% | ×121 | -13.7% | -5.4% | overfit | 393 |
| The Turtles: 55-day breakout | 207.9% | ×121 | -13.9% | -5.6% | overfit | 120 |
| ADX: trade only in strong trends | 103.1% | ×121 | -15.4% | -7.1% | partly | 922 |
| Kaufman’s adaptive moving average (KAMA) | 54.0% | ×121 | -16.4% | -8.0% | overfit | 1052 |
| Bounce off the lower Bollinger band | 36.2% | ×121 | -16.8% | -8.5% | overfit | 228 |
| Smart Money: the liquidity sweep | 22.9% | ×121 | -17.1% | -8.8% | overfit | 98 |
| ICT / Smart Money: the order block | -9.9% | ×121 | -18.2% | -9.9% | overfit | 16 |
| ICT / Smart Money: the fair value gap | -16.4% | ×121 | -18.5% | -10.1% | overfit | 222 |
| Upper Bollinger band breakout | -50.4% | ×121 | -20.2% | -11.9% | overfit | 460 |
| Heikin Ashi: follow the coloured candles | -85.8% | ×121 | -24.3% | -16.0% | overfit | 1977 |
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