On JBL, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On JBL, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is the golden cross (50/200): -6.2 points a year over buying and holding JBL. The worst is Upper Bollinger band breakout: -21.2 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 |
|---|---|---|---|---|---|---|
| The golden cross (50/200) | ×70 | ×413 | -6.2% | +2.7% | overfit | 43 |
| ADX: trade only in strong trends | ×49 | ×413 | -7.4% | +1.5% | partly | 1016 |
| Ichimoku: buy above the cloud | ×32 | ×413 | -8.9% | +0.0% | partly | 432 |
| Only invest above the 200-day average | ×23 | ×413 | -9.9% | -1.0% | overfit | 295 |
| Parabolic SAR: follow the dots | ×15 | ×413 | -11.3% | -2.4% | overfit | 736 |
| Supertrend: the line that changes colour | ×14 | ×413 | -11.6% | -2.7% | overfit | 65 |
| Kaufman’s adaptive moving average (KAMA) | ×13 | ×413 | -11.9% | -3.0% | partly | 1210 |
| The MACD cross (12/26/9) | 902.6% | ×413 | -12.6% | -3.7% | partly | 684 |
| RSI 14: buy oversold (30/70) | 792.0% | ×413 | -13.0% | -4.1% | partly | 66 |
| Wyckoff: buying the accumulation | 699.8% | ×413 | -13.4% | -4.5% | overfit | 187 |
| Heikin Ashi: follow the coloured candles | 576.6% | ×413 | -13.9% | -5.0% | overfit | 2161 |
| The Turtles: 55-day breakout | 527.6% | ×413 | -14.1% | -5.2% | partly | 152 |
| Stochastic: oversold cross (14, 3) | 459.7% | ×413 | -14.5% | -5.6% | overfit | 471 |
| “Sell in May and go away” | 437.1% | ×413 | -14.6% | -5.7% | overfit | 66 |
| 2-day RSI (the Connors rule) | 321.2% | ×413 | -15.4% | -6.5% | overfit | 773 |
| ICT / Smart Money: the order block | 9.5% | ×413 | -19.5% | -10.6% | — | 6 |
| Smart Money: the liquidity sweep | 0.5% | ×413 | -19.8% | -10.9% | overfit | 96 |
| ICT / Smart Money: the fair value gap | -28.2% | ×413 | -20.8% | -11.9% | overfit | 276 |
| Bounce off the lower Bollinger band | -30.4% | ×413 | -20.9% | -12.0% | overfit | 250 |
| Upper Bollinger band breakout | -37.6% | ×413 | -21.2% | -12.3% | overfit | 538 |
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