On GLD, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On GLD, 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 -1.7 points a year over buying and holding GLD. The worst is ICT / Smart Money: the fair value gap, at -11.7 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 | 558.0% | 820.3% | -1.7% | -1.9% | overfit | 49 |
| “Sell in May and go away” | 440.4% | 820.3% | -2.7% | -2.9% | — | 43 |
| The golden cross (50/200) | 435.7% | 820.3% | -2.7% | -2.9% | overfit | 28 |
| Only invest above the 200-day average | 366.0% | 820.3% | -3.4% | -3.6% | overfit | 162 |
| Parabolic SAR: follow the dots | 214.2% | 820.3% | -5.3% | -5.5% | overfit | 442 |
| The MACD cross (12/26/9) | 188.3% | 820.3% | -5.7% | -6.0% | overfit | 435 |
| Ichimoku: buy above the cloud | 155.0% | 820.3% | -6.3% | -6.6% | overfit | 303 |
| The Turtles: 55-day breakout | 138.4% | 820.3% | -6.6% | -6.9% | overfit | 89 |
| ADX: trade only in strong trends | 118.2% | 820.3% | -7.1% | -7.3% | overfit | 770 |
| Stochastic: oversold cross (14, 3) | 116.5% | 820.3% | -7.1% | -7.3% | overfit | 312 |
| RSI 14: buy oversold (30/70) | 94.5% | 820.3% | -7.6% | -7.8% | overfit | 34 |
| Bounce off the lower Bollinger band | 84.5% | 820.3% | -7.9% | -8.1% | overfit | 178 |
| Kaufman’s adaptive moving average (KAMA) | 59.6% | 820.3% | -8.6% | -8.8% | overfit | 742 |
| Wyckoff: buying the accumulation | 27.7% | 820.3% | -9.6% | -9.8% | overfit | 129 |
| 2-day RSI (the Connors rule) | 2.1% | 820.3% | -10.6% | -10.9% | overfit | 459 |
| Upper Bollinger band breakout | -0.0% | 820.3% | -10.7% | -10.9% | overfit | 356 |
| ICT / Smart Money: the order block | -2.7% | 820.3% | -10.9% | -11.1% | overfit | 26 |
| Smart Money: the liquidity sweep | -6.1% | 820.3% | -11.0% | -11.2% | overfit | 52 |
| Heikin Ashi: follow the coloured candles | -10.7% | 820.3% | -11.2% | -11.5% | overfit | 1572 |
| ICT / Smart Money: the fair value gap | -18.4% | 820.3% | -11.7% | -11.9% | overfit | 196 |
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