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Finaxion Research · KEYS

Which strategy works on KEYS?

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

Findings

On KEYS, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is the golden cross (50/200): -6.7 points a year over buying and holding KEYS. The worst is Upper Bollinger band breakout: -25.2 points a year against buy-and-hold.

  1. On KEYS, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
  2. The best is the golden cross (50/200): -6.7 points a year over buying and holding KEYS.
  3. The worst is Upper Bollinger band breakout: -25.2 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
The golden cross (50/200)484.1%×11-6.7%+1.7%—11
Supertrend: the line that changes colour446.7%×11-7.4%+1.1%—21
Stochastic: oversold cross (14, 3)293.4%×11-10.5%-2.1%—181
Only invest above the 200-day average293.1%×11-10.5%-2.1%—95
Parabolic SAR: follow the dots259.8%×11-11.4%-2.9%—268
“Sell in May and go away”218.0%×11-12.6%-4.1%overfit24
The Turtles: 55-day breakout151.1%×11-14.7%-6.3%—48
The MACD cross (12/26/9)117.9%×11-16.0%-7.5%—234
Wyckoff: buying the accumulation111.1%×11-16.3%-7.8%—71
RSI 14: buy oversold (30/70)100.2%×11-16.8%-8.3%—18
2-day RSI (the Connors rule)77.8%×11-17.8%-9.4%—278
Heikin Ashi: follow the coloured candles63.7%×11-18.5%-10.1%—773
Kaufman’s adaptive moving average (KAMA)42.0%×11-19.8%-11.3%—414
ADX: trade only in strong trends36.8%×11-20.1%-11.7%—404
Ichimoku: buy above the cloud36.9%×11-20.1%-11.7%—176
Bounce off the lower Bollinger band17.3%×11-21.4%-13.0%—100
Smart Money: the liquidity sweep2.4%×11-22.6%-14.1%—52
ICT / Smart Money: the order block-0.2%×11-22.8%-14.4%—2
ICT / Smart Money: the fair value gap-7.3%×11-23.4%-15.0%—78
Upper Bollinger band breakout-24.9%×11-25.2%-16.7%—206

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