On FLEX, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On FLEX, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is Stochastic: oversold cross (14, 3): -0.7 points a year over buying and holding FLEX. The worst is Upper Bollinger band breakout: -20.1 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 |
|---|---|---|---|---|---|---|
| Stochastic: oversold cross (14, 3) | ×65 | ×80 | -0.7% | +2.8% | overfit | 475 |
| The golden cross (50/200) | ×36 | ×80 | -2.7% | +0.8% | overfit | 43 |
| Only invest above the 200-day average | ×26 | ×80 | -3.9% | -0.4% | overfit | 275 |
| Ichimoku: buy above the cloud | ×20 | ×80 | -4.7% | -1.1% | overfit | 456 |
| Parabolic SAR: follow the dots | ×14 | ×80 | -6.0% | -2.4% | overfit | 692 |
| “Sell in May and go away” | ×12 | ×80 | -6.4% | -2.9% | overfit | 65 |
| Wyckoff: buying the accumulation | 371.8% | ×80 | -9.6% | -6.0% | overfit | 201 |
| Bounce off the lower Bollinger band | 321.5% | ×80 | -9.9% | -6.4% | overfit | 254 |
| Heikin Ashi: follow the coloured candles | 272.8% | ×80 | -10.3% | -6.8% | overfit | 2153 |
| Supertrend: the line that changes colour | 257.1% | ×80 | -10.4% | -6.9% | overfit | 53 |
| The Turtles: 55-day breakout | 225.7% | ×80 | -10.7% | -7.2% | overfit | 132 |
| 2-day RSI (the Connors rule) | 219.3% | ×80 | -10.8% | -7.3% | overfit | 786 |
| ICT / Smart Money: the fair value gap | 165.3% | ×80 | -11.4% | -7.9% | overfit | 272 |
| Kaufman’s adaptive moving average (KAMA) | 118.1% | ×80 | -12.0% | -8.5% | overfit | 1192 |
| RSI 14: buy oversold (30/70) | 111.2% | ×80 | -12.1% | -8.6% | overfit | 50 |
| The MACD cross (12/26/9) | 102.5% | ×80 | -12.3% | -8.7% | overfit | 652 |
| ADX: trade only in strong trends | 90.2% | ×80 | -12.5% | -8.9% | overfit | 1046 |
| ICT / Smart Money: the order block | 0.6% | ×80 | -14.4% | -10.9% | — | 10 |
| Smart Money: the liquidity sweep | -8.4% | ×80 | -14.7% | -11.2% | overfit | 90 |
| Upper Bollinger band breakout | -84.8% | ×80 | -20.1% | -16.6% | overfit | 490 |
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