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Finaxion Research · KMI

Which strategy works on KMI?

On KMI, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.

Findings

On KMI, 1 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 +3.6 points a year over buying and holding KMI. The worst is Parabolic SAR: follow the dots, at -10.9 points a year against buy-and-hold.

  1. On KMI, 1 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: +3.6 points a year over buying and holding KMI.
  3. The worst is Parabolic SAR: follow the dots: -10.9 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 accumulation268.1%117.5%+3.6%-5.1%—77
Only invest above the 200-day average109.6%117.5%-0.2%-9.0%—113
“Sell in May and go away”107.2%117.5%-0.3%-9.1%—31
Supertrend: the line that changes colour104.3%117.5%-0.4%-9.2%—18
RSI 14: buy oversold (30/70)60.8%117.5%-2.0%-10.8%—30
The Turtles: 55-day breakout57.8%117.5%-2.1%-10.9%—56
The golden cross (50/200)41.2%117.5%-2.9%-11.7%—23
2-day RSI (the Connors rule)30.4%117.5%-3.4%-12.2%—388
Bounce off the lower Bollinger band23.1%117.5%-3.8%-12.6%—132
Ichimoku: buy above the cloud22.6%117.5%-3.8%-12.6%—202
Kaufman’s adaptive moving average (KAMA)15.4%117.5%-4.2%-13.0%—546
ICT / Smart Money: the order block2.3%117.5%-5.0%-13.8%—8
The MACD cross (12/26/9)0.1%117.5%-5.1%-13.9%—300
ICT / Smart Money: the fair value gap-3.5%117.5%-5.4%-14.1%—86
ADX: trade only in strong trends-9.2%117.5%-5.7%-14.5%—517
Smart Money: the liquidity sweep-11.6%117.5%-5.9%-14.7%—54
Upper Bollinger band breakout-22.9%117.5%-6.8%-15.6%—218
Stochastic: oversold cross (14, 3)-24.9%117.5%-7.0%-15.7%—199
Heikin Ashi: follow the coloured candles-44.2%117.5%-8.8%-17.6%—1029
Parabolic SAR: follow the dots-60.5%117.5%-10.9%-19.7%—372

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