On GOOGL, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On GOOGL, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is Parabolic SAR: follow the dots: -10.3 points a year over buying and holding GOOGL. The worst is Smart Money: the liquidity sweep: -26.2 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 |
|---|---|---|---|---|---|---|
| Parabolic SAR: follow the dots | ×20 | ×136 | -10.3% | +3.4% | partly | 472 |
| Only invest above the 200-day average | ×19 | ×136 | -10.7% | +3.0% | overfit | 135 |
| Supertrend: the line that changes colour | ×16 | ×136 | -11.6% | +2.2% | overfit | 51 |
| The golden cross (50/200) | ×16 | ×136 | -11.7% | +2.0% | overfit | 27 |
| Ichimoku: buy above the cloud | 918.8% | ×136 | -13.9% | -0.1% | overfit | 248 |
| Heikin Ashi: follow the coloured candles | 799.4% | ×136 | -14.5% | -0.8% | overfit | 1347 |
| ADX: trade only in strong trends | 577.7% | ×136 | -15.9% | -2.2% | overfit | 683 |
| The MACD cross (12/26/9) | 511.2% | ×136 | -16.4% | -2.7% | overfit | 446 |
| Wyckoff: buying the accumulation | 501.8% | ×136 | -16.5% | -2.8% | partly | 130 |
| Kaufman’s adaptive moving average (KAMA) | 464.7% | ×136 | -16.8% | -3.1% | overfit | 773 |
| 2-day RSI (the Connors rule) | 381.6% | ×136 | -17.6% | -3.9% | overfit | 536 |
| RSI 14: buy oversold (30/70) | 330.4% | ×136 | -18.1% | -4.4% | overfit | 38 |
| “Sell in May and go away” | 220.7% | ×136 | -19.6% | -5.8% | overfit | 44 |
| The Turtles: 55-day breakout | 158.3% | ×136 | -20.6% | -6.9% | overfit | 102 |
| Stochastic: oversold cross (14, 3) | 121.9% | ×136 | -21.3% | -7.6% | overfit | 281 |
| Bounce off the lower Bollinger band | 97.2% | ×136 | -21.9% | -8.1% | overfit | 166 |
| Upper Bollinger band breakout | 61.4% | ×136 | -22.8% | -9.1% | overfit | 380 |
| ICT / Smart Money: the fair value gap | 12.1% | ×136 | -24.5% | -10.7% | overfit | 184 |
| ICT / Smart Money: the order block | 2.1% | ×136 | -24.9% | -11.2% | — | 4 |
| Smart Money: the liquidity sweep | -22.8% | ×136 | -26.2% | -12.4% | overfit | 66 |
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