On IRM, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On IRM, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is Supertrend: the line that changes colour: -6.3 points a year over buying and holding IRM. The worst is ICT / Smart Money: the fair value gap: -17.2 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 | ×18 | ×100 | -6.3% | -0.4% | overfit | 63 |
| RSI 14: buy oversold (30/70) | ×13 | ×100 | -7.5% | -1.6% | partly | 70 |
| Stochastic: oversold cross (14, 3) | 907.2% | ×100 | -8.4% | -2.5% | — | 411 |
| Wyckoff: buying the accumulation | 810.2% | ×100 | -8.8% | -2.9% | overfit | 204 |
| “Sell in May and go away” | 631.2% | ×100 | -9.5% | -3.6% | — | 61 |
| The Turtles: 55-day breakout | 537.9% | ×100 | -10.0% | -4.1% | overfit | 126 |
| Kaufman’s adaptive moving average (KAMA) | 532.8% | ×100 | -10.0% | -4.1% | overfit | 1102 |
| Bounce off the lower Bollinger band | 502.3% | ×100 | -10.2% | -4.3% | overfit | 268 |
| Ichimoku: buy above the cloud | 358.9% | ×100 | -11.1% | -5.2% | overfit | 442 |
| Heikin Ashi: follow the coloured candles | 312.3% | ×100 | -11.5% | -5.6% | overfit | 1971 |
| Parabolic SAR: follow the dots | 230.5% | ×100 | -12.3% | -6.4% | overfit | 656 |
| 2-day RSI (the Connors rule) | 216.0% | ×100 | -12.4% | -6.5% | overfit | 704 |
| The MACD cross (12/26/9) | 156.6% | ×100 | -13.1% | -7.2% | overfit | 626 |
| Only invest above the 200-day average | 128.1% | ×100 | -13.5% | -7.6% | overfit | 271 |
| The golden cross (50/200) | 86.7% | ×100 | -14.2% | -8.3% | overfit | 51 |
| Upper Bollinger band breakout | 31.4% | ×100 | -15.4% | -9.4% | overfit | 490 |
| ADX: trade only in strong trends | 29.7% | ×100 | -15.4% | -9.5% | overfit | 951 |
| Smart Money: the liquidity sweep | 5.1% | ×100 | -16.1% | -10.2% | overfit | 108 |
| ICT / Smart Money: the order block | -2.0% | ×100 | -16.3% | -10.4% | — | 12 |
| ICT / Smart Money: the fair value gap | -25.7% | ×100 | -17.2% | -11.3% | overfit | 258 |
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