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Finaxion Research · KDP

Which strategy works on KDP?

On KDP, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.

Findings

On KDP, 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: -5.1 points a year over buying and holding KDP. The worst is Heikin Ashi: follow the coloured candles: -18.5 points a year against buy-and-hold.

  1. On KDP, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
  2. The best is Supertrend: the line that changes colour: -5.1 points a year over buying and holding KDP.
  3. The worst is Heikin Ashi: follow the coloured candles: -18.5 points a year against buy-and-hold.

The 20 strategies, one by one

StrategyReturnBuy and holdExcess (pts/yr)Vs. S&P 500 (pts/yr)Out of sampleTrades
Supertrend: the line that changes colour411.4%×12-5.1%-2.4%—23
“Sell in May and go away”397.5%×12-5.3%-2.6%—36
The golden cross (50/200)361.6%×12-5.8%-3.0%—27
Stochastic: oversold cross (14, 3)260.7%×12-7.2%-4.5%—266
Wyckoff: buying the accumulation222.7%×12-7.9%-5.1%—93
Only invest above the 200-day average221.0%×12-7.9%-5.2%—193
Kaufman’s adaptive moving average (KAMA)184.4%×12-8.6%-5.9%—621
RSI 14: buy oversold (30/70)170.1%×12-8.9%-6.2%—36
Ichimoku: buy above the cloud151.4%×12-9.3%-6.6%—259
Parabolic SAR: follow the dots117.1%×12-10.1%-7.4%—443
The Turtles: 55-day breakout61.8%×12-11.8%-9.1%—74
The MACD cross (12/26/9)59.9%×12-11.9%-9.2%—397
Bounce off the lower Bollinger band34.9%×12-12.8%-10.1%—148
ADX: trade only in strong trends21.6%×12-13.4%-10.7%—615
2-day RSI (the Connors rule)7.8%×12-14.1%-11.4%—392
ICT / Smart Money: the order block-0.7%×12-14.5%-11.8%—6
ICT / Smart Money: the fair value gap-6.0%×12-14.8%-12.1%—114
Smart Money: the liquidity sweep-12.9%×12-15.2%-12.5%—64
Upper Bollinger band breakout-52.6%×12-18.5%-15.8%—288
Heikin Ashi: follow the coloured candles-53.1%×12-18.5%-15.8%—1241

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