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Finaxion Research · GRMN

Which strategy works on GRMN?

On GRMN, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.

Findings

On GRMN, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is Only invest above the 200-day average: +0.2 points a year over buying and holding GRMN. The worst is Upper Bollinger band breakout: -21.5 points a year against buy-and-hold.

  1. On GRMN, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
  2. The best is Only invest above the 200-day average: +0.2 points a year over buying and holding GRMN.
  3. The worst is Upper Bollinger band breakout: -21.5 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
Only invest above the 200-day average×57×55+0.2%+8.1%partly115
The golden cross (50/200)×48×55-0.5%+7.4%—29
Ichimoku: buy above the cloud×20×55-4.3%+3.5%overfit301
Wyckoff: buying the accumulation×17×55-5.0%+2.8%overfit157
Supertrend: the line that changes colour×17×55-5.2%+2.7%overfit49
Stochastic: oversold cross (14, 3)×17×55-5.2%+2.6%overfit365
The Turtles: 55-day breakout799.0%×55-7.9%-0.0%partly101
“Sell in May and go away”487.8%×55-9.7%-1.8%overfit51
Kaufman’s adaptive moving average (KAMA)138.1%×55-13.4%-5.5%overfit878
Heikin Ashi: follow the coloured candles125.8%×55-13.6%-5.7%overfit1648
Bounce off the lower Bollinger band121.2%×55-13.7%-5.8%overfit186
ADX: trade only in strong trends38.5%×55-15.6%-7.7%overfit778
2-day RSI (the Connors rule)28.1%×55-15.9%-8.0%overfit581
ICT / Smart Money: the fair value gap2.6%×55-16.7%-8.8%overfit174
Smart Money: the liquidity sweep1.4%×55-16.8%-8.9%overfit94
ICT / Smart Money: the order block-0.5%×55-16.9%-9.0%—4
Parabolic SAR: follow the dots-6.1%×55-17.1%-9.2%overfit560
RSI 14: buy oversold (30/70)-12.2%×55-17.3%-9.4%overfit40
The MACD cross (12/26/9)-18.9%×55-17.6%-9.8%overfit518
Upper Bollinger band breakout-70.7%×55-21.5%-13.6%overfit456

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