On ISRG, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On ISRG, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is Parabolic SAR: follow the dots, at -3.5 points a year over buying and holding ISRG. The worst is ICT / Smart Money: the fair value gap, at -24.3 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 |
|---|---|---|---|---|---|---|
| Parabolic SAR: follow the dots | ×86 | ×186 | -3.5% | +10.1% | overfit | 552 |
| Supertrend: the line that changes colour | ×40 | ×186 | -6.9% | +6.7% | partly | 43 |
| The golden cross (50/200) | ×33 | ×186 | -7.8% | +5.9% | partly | 50 |
| Ichimoku: buy above the cloud | ×26 | ×186 | -8.8% | +4.8% | partly | 264 |
| Only invest above the 200-day average | ×23 | ×186 | -9.2% | +4.4% | partly | 204 |
| Heikin Ashi: follow the coloured candles | ×17 | ×186 | -10.6% | +3.0% | overfit | 1712 |
| Wyckoff: buying the accumulation | 889.2% | ×186 | -12.9% | +0.7% | overfit | 172 |
| RSI 14: buy oversold (30/70) | 700.7% | ×186 | -13.8% | -0.1% | overfit | 49 |
| ADX: trade only in strong trends | 667.8% | ×186 | -14.0% | -0.3% | partly | 826 |
| Kaufman’s adaptive moving average (KAMA) | 630.2% | ×186 | -14.2% | -0.5% | partly | 918 |
| The Turtles: 55-day breakout | 512.7% | ×186 | -14.9% | -1.2% | overfit | 104 |
| The MACD cross (12/26/9) | 439.7% | ×186 | -15.4% | -1.8% | overfit | 538 |
| “Sell in May and go away” | 427.0% | ×186 | -15.5% | -1.9% | overfit | 52 |
| Stochastic: oversold cross (14, 3) | 296.5% | ×186 | -16.7% | -3.0% | overfit | 341 |
| 2-day RSI (the Connors rule) | 256.8% | ×186 | -17.1% | -3.4% | partly | 626 |
| Bounce off the lower Bollinger band | 243.3% | ×186 | -17.2% | -3.6% | overfit | 220 |
| Smart Money: the liquidity sweep | 4.8% | ×186 | -21.9% | -8.2% | overfit | 76 |
| ICT / Smart Money: the order block | 1.9% | ×186 | -22.0% | -8.3% | — | 8 |
| Upper Bollinger band breakout | -13.3% | ×186 | -22.6% | -9.0% | overfit | 420 |
| ICT / Smart Money: the fair value gap | -45.3% | ×186 | -24.3% | -10.7% | overfit | 208 |
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