On HIG, 2 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On HIG, 2 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is "Sell in May and go away": +1.7 points a year over buying and holding HIG. The worst is Upper Bollinger band breakout: -11.0 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 |
|---|---|---|---|---|---|---|
| “Sell in May and go away” | ×17 | 951.1% | +1.7% | -0.8% | overfit | 61 |
| The golden cross (50/200) | ×12 | 951.1% | +0.6% | -1.8% | overfit | 37 |
| Only invest above the 200-day average | 773.0% | 951.1% | -0.6% | -3.1% | — | 247 |
| Ichimoku: buy above the cloud | 630.8% | 951.1% | -1.3% | -3.7% | partly | 411 |
| Supertrend: the line that changes colour | 458.5% | 951.1% | -2.2% | -4.7% | — | 43 |
| 2-day RSI (the Connors rule) | 192.3% | 951.1% | -4.4% | -6.9% | overfit | 716 |
| The Turtles: 55-day breakout | 153.2% | 951.1% | -4.9% | -7.3% | overfit | 119 |
| The MACD cross (12/26/9) | 124.7% | 951.1% | -5.3% | -7.7% | overfit | 624 |
| Wyckoff: buying the accumulation | 63.7% | 951.1% | -6.3% | -8.8% | overfit | 162 |
| Smart Money: the liquidity sweep | 9.2% | 951.1% | -7.7% | -10.1% | overfit | 96 |
| ICT / Smart Money: the order block | 4.0% | 951.1% | -7.8% | -10.3% | overfit | 24 |
| RSI 14: buy oversold (30/70) | 4.0% | 951.1% | -7.8% | -10.3% | overfit | 48 |
| Kaufman’s adaptive moving average (KAMA) | -3.0% | 951.1% | -8.1% | -10.5% | overfit | 1146 |
| ADX: trade only in strong trends | -9.2% | 951.1% | -8.3% | -10.7% | overfit | 996 |
| ICT / Smart Money: the fair value gap | -13.1% | 951.1% | -8.4% | -10.9% | overfit | 210 |
| Stochastic: oversold cross (14, 3) | -19.5% | 951.1% | -8.7% | -11.1% | overfit | 409 |
| Bounce off the lower Bollinger band | -35.4% | 951.1% | -9.4% | -11.8% | overfit | 234 |
| Heikin Ashi: follow the coloured candles | -43.3% | 951.1% | -9.8% | -12.3% | overfit | 2044 |
| Parabolic SAR: follow the dots | -54.8% | 951.1% | -10.5% | -13.0% | overfit | 725 |
| Upper Bollinger band breakout | -61.1% | 951.1% | -11.0% | -13.5% | overfit | 538 |
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