On GPN, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On GPN, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is Stochastic: oversold cross (14, 3) at -4.0 points a year over buying and holding GPN, while the worst is Heikin Ashi: follow the coloured candles at -16.5 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) | 951.0% | ×27 | -4.0% | +0.6% | partly | 352 |
| 2-day RSI (the Connors rule) | 597.9% | ×27 | -5.8% | -1.1% | — | 580 |
| RSI 14: buy oversold (30/70) | 537.5% | ×27 | -6.2% | -1.5% | overfit | 44 |
| “Sell in May and go away” | 473.4% | ×27 | -6.6% | -2.0% | — | 51 |
| Only invest above the 200-day average | 464.1% | ×27 | -6.7% | -2.0% | overfit | 201 |
| The golden cross (50/200) | 333.7% | ×27 | -7.8% | -3.1% | overfit | 35 |
| The Turtles: 55-day breakout | 243.2% | ×27 | -8.7% | -4.1% | overfit | 101 |
| Bounce off the lower Bollinger band | 236.3% | ×27 | -8.8% | -4.2% | overfit | 222 |
| Ichimoku: buy above the cloud | 126.2% | ×27 | -10.4% | -5.8% | overfit | 321 |
| Supertrend: the line that changes colour | 99.4% | ×27 | -10.9% | -6.3% | overfit | 47 |
| Parabolic SAR: follow the dots | 72.5% | ×27 | -11.5% | -6.9% | overfit | 563 |
| Smart Money: the liquidity sweep | 41.9% | ×27 | -12.3% | -7.6% | overfit | 76 |
| ICT / Smart Money: the fair value gap | 41.8% | ×27 | -12.3% | -7.6% | overfit | 194 |
| Wyckoff: buying the accumulation | 14.5% | ×27 | -13.1% | -8.5% | overfit | 170 |
| ICT / Smart Money: the order block | 8.1% | ×27 | -13.4% | -8.7% | overfit | 12 |
| Kaufman’s adaptive moving average (KAMA) | -15.6% | ×27 | -14.3% | -9.7% | overfit | 891 |
| ADX: trade only in strong trends | -38.2% | ×27 | -15.5% | -10.9% | overfit | 811 |
| Upper Bollinger band breakout | -47.2% | ×27 | -16.1% | -11.5% | overfit | 394 |
| The MACD cross (12/26/9) | -47.5% | ×27 | -16.2% | -11.5% | overfit | 522 |
| Heikin Ashi: follow the coloured candles | -52.1% | ×27 | -16.5% | -11.8% | overfit | 1718 |
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