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Finaxion Research · KKR

Which strategy works on KKR?

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

Findings

On KKR, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is Wyckoff: buying the accumulation, at -9.5 points a year over buying and holding KKR. The worst is Upper Bollinger band breakout, at -22.6 points a year against buy-and-hold.

  1. On KKR, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
  2. The best is Wyckoff: buying the accumulation: -9.5 points a year over buying and holding KKR.
  3. The worst is Upper Bollinger band breakout: -22.6 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
Wyckoff: buying the accumulation393.8%×19-9.5%-4.4%—82
Ichimoku: buy above the cloud371.6%×19-9.8%-4.7%—201
Only invest above the 200-day average346.8%×19-10.2%-5.1%—101
Stochastic: oversold cross (14, 3)339.6%×19-10.3%-5.2%—227
“Sell in May and go away”329.4%×19-10.5%-5.4%overfit32
2-day RSI (the Connors rule)244.1%×19-12.0%-6.8%—392
Supertrend: the line that changes colour199.4%×19-12.9%-7.8%—22
The Turtles: 55-day breakout197.7%×19-13.0%-7.8%—67
The golden cross (50/200)150.3%×19-14.1%-8.9%—20
Heikin Ashi: follow the coloured candles128.0%×19-14.7%-9.6%—1087
Bounce off the lower Bollinger band116.9%×19-15.0%-9.9%—142
RSI 14: buy oversold (30/70)77.9%×19-16.3%-11.2%—22
Parabolic SAR: follow the dots42.8%×19-17.7%-12.6%—366
ADX: trade only in strong trends35.0%×19-18.1%-12.9%—519
The MACD cross (12/26/9)26.8%×19-18.5%-13.3%—320
ICT / Smart Money: the fair value gap11.5%×19-19.3%-14.1%—120
ICT / Smart Money: the order block4.6%×19-19.7%-14.5%—8
Smart Money: the liquidity sweep-15.4%×19-21.0%-15.9%—46
Kaufman’s adaptive moving average (KAMA)-22.4%×19-21.5%-16.4%—615
Upper Bollinger band breakout-34.9%×19-22.6%-17.4%—294

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