On HSIC, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On HSIC, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is RSI 14: buy oversold (30/70): -2.2 points a year over buying and holding HSIC. The worst is the Turtles: 55-day breakout: -13.8 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 |
|---|---|---|---|---|---|---|
| RSI 14: buy oversold (30/70) | 968.0% | ×20 | -2.2% | -2.6% | overfit | 64 |
| “Sell in May and go away” | 869.7% | ×20 | -2.6% | -2.9% | — | 61 |
| Stochastic: oversold cross (14, 3) | 554.0% | ×20 | -3.9% | -4.3% | partly | 442 |
| The golden cross (50/200) | 268.6% | ×20 | -5.9% | -6.2% | overfit | 47 |
| Wyckoff: buying the accumulation | 108.1% | ×20 | -7.8% | -8.2% | overfit | 176 |
| Only invest above the 200-day average | 99.8% | ×20 | -8.0% | -8.3% | overfit | 271 |
| Parabolic SAR: follow the dots | 81.6% | ×20 | -8.3% | -8.6% | overfit | 709 |
| Heikin Ashi: follow the coloured candles | 59.3% | ×20 | -8.7% | -9.0% | overfit | 1985 |
| Bounce off the lower Bollinger band | 54.4% | ×20 | -8.8% | -9.1% | overfit | 244 |
| Smart Money: the liquidity sweep | 35.2% | ×20 | -9.2% | -9.6% | overfit | 98 |
| Supertrend: the line that changes colour | 17.9% | ×20 | -9.7% | -10.0% | overfit | 43 |
| Ichimoku: buy above the cloud | 16.2% | ×20 | -9.7% | -10.1% | overfit | 467 |
| ICT / Smart Money: the order block | 2.5% | ×20 | -10.1% | -10.5% | overfit | 16 |
| Kaufman’s adaptive moving average (KAMA) | -2.4% | ×20 | -10.3% | -10.6% | overfit | 1223 |
| The MACD cross (12/26/9) | -2.8% | ×20 | -10.3% | -10.7% | overfit | 634 |
| 2-day RSI (the Connors rule) | -7.4% | ×20 | -10.5% | -10.8% | overfit | 722 |
| ADX: trade only in strong trends | -8.5% | ×20 | -10.5% | -10.8% | overfit | 1053 |
| ICT / Smart Money: the fair value gap | -30.3% | ×20 | -11.4% | -11.7% | overfit | 200 |
| Upper Bollinger band breakout | -34.2% | ×20 | -11.6% | -11.9% | overfit | 468 |
| The Turtles: 55-day breakout | -67.0% | ×20 | -13.8% | -14.1% | overfit | 143 |
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