On GBP/USD, 12 of 17 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On GBP/USD, 12 of 17 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is Bounce off the lower Bollinger band: +1.8 points a year over buying and holding GBP/USD. The worst is ADX: trade only in strong trends: -0.8 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 |
|---|---|---|---|---|---|---|
| Bounce off the lower Bollinger band | 18.5% | -21.2% | +1.8% | -10.3% | overfit | 216 |
| “Sell in May and go away” | 17.0% | -21.2% | +1.7% | -10.3% | — | 45 |
| Upper Bollinger band breakout | 2.6% | -21.2% | +1.2% | -10.9% | overfit | 332 |
| 2-day RSI (the Connors rule) | 0.6% | -21.2% | +1.1% | -11.0% | overfit | 596 |
| ICT / Smart Money: the fair value gap | -0.1% | -21.2% | +1.0% | -11.0% | overfit | 188 |
| Only invest above the 200-day average | -3.4% | -21.2% | +0.9% | -11.2% | overfit | 171 |
| Supertrend: the line that changes colour | -8.2% | -21.2% | +0.7% | -11.4% | overfit | 15 |
| Parabolic SAR: follow the dots | -13.0% | -21.2% | +0.4% | -11.6% | overfit | 534 |
| The MACD cross (12/26/9) | -15.4% | -21.2% | +0.3% | -11.8% | overfit | 465 |
| The golden cross (50/200) | -15.5% | -21.2% | +0.3% | -11.8% | overfit | 36 |
| Kaufman’s adaptive moving average (KAMA) | -17.9% | -21.2% | +0.2% | -11.9% | overfit | 895 |
| RSI 14: buy oversold (30/70) | -20.8% | -21.2% | +0.0% | -12.0% | overfit | 38 |
| Stochastic: oversold cross (14, 3) | -22.5% | -21.2% | -0.1% | -12.1% | overfit | 324 |
| Ichimoku: buy above the cloud | -22.8% | -21.2% | -0.1% | -12.2% | overfit | 313 |
| Heikin Ashi: follow the coloured candles | -28.9% | -21.2% | -0.4% | -12.5% | overfit | 1590 |
| ADX: trade only in strong trends | -34.6% | -21.2% | -0.8% | -12.9% | overfit | 824 |
| The Turtles: 55-day breakout | -34.6% | -21.2% | -0.8% | -12.9% | overfit | 76 |
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