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Finaxion Research · GNRC

Which strategy works on GNRC?

On GNRC, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.

Findings

On GNRC, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is the Turtles: 55-day breakout, at -2.1 points a year over buying and holding GNRC, while the worst is Heikin Ashi: follow the coloured candles, at -26.0 points a year against buy-and-hold.

  1. On GNRC, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
  2. The best is the Turtles: 55-day breakout: -2.1 points a year over buying and holding GNRC.
  3. The worst is Heikin Ashi: follow the coloured candles: -26.0 points a year against buy-and-hold.

The 20 strategies, one by one

StrategyReturnBuy and holdExcess (pts/yr)Vs. S&P 500 (pts/yr)Out of sampleTrades
The Turtles: 55-day breakout×16×22-2.1%+3.8%—52
The golden cross (50/200)×11×22-4.6%+1.3%—21
Only invest above the 200-day average929.5%×22-5.3%+0.6%—112
Wyckoff: buying the accumulation615.3%×22-7.9%-1.9%—124
Supertrend: the line that changes colour453.6%×22-9.6%-3.7%—31
Ichimoku: buy above the cloud332.7%×22-11.2%-5.3%—216
The MACD cross (12/26/9)278.5%×22-12.1%-6.2%—338
ADX: trade only in strong trends189.3%×22-13.9%-7.9%—484
2-day RSI (the Connors rule)155.1%×22-14.7%-8.8%—388
“Sell in May and go away”132.2%×22-15.3%-9.4%overfit33
Kaufman’s adaptive moving average (KAMA)103.7%×22-16.1%-10.2%—590
RSI 14: buy oversold (30/70)57.5%×22-17.7%-11.8%—29
Stochastic: oversold cross (14, 3)51.6%×22-18.0%-12.0%—211
Parabolic SAR: follow the dots34.1%×22-18.7%-12.8%—368
Upper Bollinger band breakout28.7%×22-19.0%-13.0%—266
ICT / Smart Money: the order block0.2%×22-20.5%-14.6%—2
Smart Money: the liquidity sweep-14.8%×22-21.5%-15.5%—70
ICT / Smart Money: the fair value gap-18.0%×22-21.7%-15.8%—108
Bounce off the lower Bollinger band-37.9%×22-23.4%-17.4%—126
Heikin Ashi: follow the coloured candles-60.9%×22-26.0%-20.1%—1094

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