On IVZ, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On IVZ, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is 2-day RSI (the Connors rule): -0.1 points a year over buying and holding IVZ. The worst is Upper Bollinger band breakout: -12.8 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 |
|---|---|---|---|---|---|---|
| 2-day RSI (the Connors rule) | ×12 | ×12 | -0.1% | -2.4% | overfit | 766 |
| “Sell in May and go away” | ×11 | ×12 | -0.2% | -2.5% | — | 62 |
| Only invest above the 200-day average | 590.1% | ×12 | -1.9% | -4.2% | overfit | 253 |
| Ichimoku: buy above the cloud | 368.7% | ×12 | -3.2% | -5.6% | overfit | 367 |
| The golden cross (50/200) | 326.1% | ×12 | -3.5% | -5.9% | overfit | 45 |
| ADX: trade only in strong trends | 254.6% | ×12 | -4.2% | -6.5% | overfit | 997 |
| Wyckoff: buying the accumulation | 178.6% | ×12 | -5.0% | -7.3% | overfit | 196 |
| Stochastic: oversold cross (14, 3) | 55.6% | ×12 | -6.9% | -9.2% | overfit | 428 |
| RSI 14: buy oversold (30/70) | 46.0% | ×12 | -7.1% | -9.5% | overfit | 54 |
| The Turtles: 55-day breakout | 44.0% | ×12 | -7.1% | -9.5% | overfit | 129 |
| The MACD cross (12/26/9) | 41.5% | ×12 | -7.2% | -9.6% | overfit | 617 |
| ICT / Smart Money: the fair value gap | 20.8% | ×12 | -7.7% | -10.1% | overfit | 276 |
| Bounce off the lower Bollinger band | 12.4% | ×12 | -7.9% | -10.3% | overfit | 264 |
| Smart Money: the liquidity sweep | 2.4% | ×12 | -8.2% | -10.6% | overfit | 90 |
| ICT / Smart Money: the order block | -1.7% | ×12 | -8.4% | -10.8% | — | 10 |
| Kaufman’s adaptive moving average (KAMA) | -6.9% | ×12 | -8.6% | -10.9% | overfit | 1089 |
| Supertrend: the line that changes colour | -28.5% | ×12 | -9.4% | -11.8% | overfit | 83 |
| Parabolic SAR: follow the dots | -46.0% | ×12 | -10.3% | -12.7% | overfit | 677 |
| Heikin Ashi: follow the coloured candles | -63.0% | ×12 | -11.5% | -13.9% | overfit | 2099 |
| Upper Bollinger band breakout | -75.5% | ×12 | -12.8% | -15.1% | overfit | 478 |
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