On LII, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On LII, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is "Sell in May and go away" at -1.1 points a year over buying and holding LII, while the worst is Heikin Ashi: follow the coloured candles at -17.7 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 |
|---|---|---|---|---|---|---|
| “Sell in May and go away” | ×25 | ×32 | -1.1% | +4.1% | — | 54 |
| Stochastic: oversold cross (14, 3) | ×13 | ×32 | -3.6% | +1.5% | partly | 379 |
| The golden cross (50/200) | 631.6% | ×32 | -6.0% | -0.9% | overfit | 36 |
| Supertrend: the line that changes colour | 626.8% | ×32 | -6.1% | -0.9% | partly | 40 |
| Ichimoku: buy above the cloud | 416.3% | ×32 | -7.4% | -2.3% | partly | 330 |
| Only invest above the 200-day average | 367.0% | ×32 | -7.8% | -2.6% | overfit | 206 |
| RSI 14: buy oversold (30/70) | 290.0% | ×32 | -8.5% | -3.4% | partly | 43 |
| 2-day RSI (the Connors rule) | 241.4% | ×32 | -9.0% | -3.9% | overfit | 613 |
| Wyckoff: buying the accumulation | 178.3% | ×32 | -9.8% | -4.7% | overfit | 168 |
| The Turtles: 55-day breakout | 166.4% | ×32 | -10.0% | -4.8% | partly | 110 |
| ADX: trade only in strong trends | 104.3% | ×32 | -11.0% | -5.8% | overfit | 880 |
| The MACD cross (12/26/9) | 54.6% | ×32 | -12.0% | -6.9% | overfit | 549 |
| Bounce off the lower Bollinger band | 23.6% | ×32 | -12.9% | -7.7% | overfit | 219 |
| ICT / Smart Money: the fair value gap | 12.4% | ×32 | -13.2% | -8.1% | overfit | 178 |
| ICT / Smart Money: the order block | 0.1% | ×32 | -13.7% | -8.5% | overfit | 12 |
| Smart Money: the liquidity sweep | -14.5% | ×32 | -14.3% | -9.1% | overfit | 106 |
| Parabolic SAR: follow the dots | -37.1% | ×32 | -15.4% | -10.2% | overfit | 622 |
| Upper Bollinger band breakout | -38.6% | ×32 | -15.5% | -10.3% | overfit | 456 |
| Kaufman’s adaptive moving average (KAMA) | -65.7% | ×32 | -17.6% | -12.4% | overfit | 1018 |
| Heikin Ashi: follow the coloured candles | -67.3% | ×32 | -17.7% | -12.6% | overfit | 1760 |
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