On ICE, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On ICE, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is Supertrend: the line that changes colour, at -3.8 points a year over buying and holding ICE. The worst is Upper Bollinger band breakout, at -18.6 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 |
|---|---|---|---|---|---|---|
| Supertrend: the line that changes colour | ×12 | ×24 | -3.8% | +1.6% | overfit | 26 |
| RSI 14: buy oversold (30/70) | ×11 | ×24 | -4.3% | +1.1% | overfit | 48 |
| “Sell in May and go away” | 770.4% | ×24 | -5.6% | -0.2% | overfit | 41 |
| The golden cross (50/200) | 500.3% | ×24 | -7.5% | -2.2% | overfit | 24 |
| Only invest above the 200-day average | 438.3% | ×24 | -8.1% | -2.8% | overfit | 169 |
| 2-day RSI (the Connors rule) | 222.4% | ×24 | -10.7% | -5.4% | overfit | 442 |
| ADX: trade only in strong trends | 208.6% | ×24 | -11.0% | -5.6% | overfit | 657 |
| Stochastic: oversold cross (14, 3) | 187.9% | ×24 | -11.3% | -6.0% | overfit | 274 |
| Wyckoff: buying the accumulation | 151.1% | ×24 | -12.0% | -6.7% | overfit | 114 |
| Bounce off the lower Bollinger band | 147.5% | ×24 | -12.1% | -6.7% | overfit | 190 |
| The MACD cross (12/26/9) | 128.9% | ×24 | -12.5% | -7.1% | overfit | 431 |
| Parabolic SAR: follow the dots | 28.8% | ×24 | -15.3% | -10.0% | overfit | 473 |
| Ichimoku: buy above the cloud | -0.9% | ×24 | -16.6% | -11.2% | overfit | 305 |
| ICT / Smart Money: the order block | -2.1% | ×24 | -16.6% | -11.3% | overfit | 14 |
| The Turtles: 55-day breakout | -14.7% | ×24 | -17.3% | -12.0% | overfit | 99 |
| ICT / Smart Money: the fair value gap | -22.9% | ×24 | -17.8% | -12.4% | overfit | 160 |
| Kaufman’s adaptive moving average (KAMA) | -23.4% | ×24 | -17.8% | -12.5% | overfit | 803 |
| Smart Money: the liquidity sweep | -33.3% | ×24 | -18.5% | -13.1% | overfit | 72 |
| Upper Bollinger band breakout | -35.2% | ×24 | -18.6% | -13.3% | overfit | 342 |
| Heikin Ashi: follow the coloured candles | -35.3% | ×24 | -18.6% | -13.3% | overfit | 1353 |
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