On LVS, 9 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On LVS, 9 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is Only invest above the 200-day average: +8.5 points a year over buying and holding LVS. The worst is RSI 14: buy oversold (30/70): -11.3 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 |
|---|---|---|---|---|---|---|
| Only invest above the 200-day average | 760.2% | 50.3% | +8.5% | -0.5% | overfit | 138 |
| The golden cross (50/200) | 710.4% | 50.3% | +8.2% | -0.8% | overfit | 30 |
| Supertrend: the line that changes colour | 467.0% | 50.3% | +6.4% | -2.6% | overfit | 34 |
| The Turtles: 55-day breakout | 354.0% | 50.3% | +5.3% | -3.7% | overfit | 78 |
| 2-day RSI (the Connors rule) | 221.5% | 50.3% | +3.6% | -5.4% | overfit | 561 |
| Ichimoku: buy above the cloud | 182.3% | 50.3% | +3.0% | -6.0% | overfit | 276 |
| The MACD cross (12/26/9) | 175.8% | 50.3% | +2.9% | -6.1% | overfit | 416 |
| Heikin Ashi: follow the coloured candles | 126.6% | 50.3% | +2.0% | -7.0% | overfit | 1424 |
| “Sell in May and go away” | 103.0% | 50.3% | +1.4% | -7.6% | — | 43 |
| Upper Bollinger band breakout | 29.0% | 50.3% | -0.7% | -9.7% | overfit | 294 |
| Kaufman’s adaptive moving average (KAMA) | 23.5% | 50.3% | -0.9% | -9.9% | overfit | 774 |
| ADX: trade only in strong trends | 8.4% | 50.3% | -1.5% | -10.5% | overfit | 670 |
| ICT / Smart Money: the order block | -2.5% | 50.3% | -2.0% | -11.0% | — | 6 |
| Smart Money: the liquidity sweep | -20.8% | 50.3% | -3.0% | -12.0% | overfit | 72 |
| ICT / Smart Money: the fair value gap | -24.9% | 50.3% | -3.2% | -12.2% | overfit | 138 |
| Bounce off the lower Bollinger band | -38.0% | 50.3% | -4.1% | -13.1% | overfit | 196 |
| Parabolic SAR: follow the dots | -50.3% | 50.3% | -5.1% | -14.1% | overfit | 482 |
| Stochastic: oversold cross (14, 3) | -52.1% | 50.3% | -5.2% | -14.2% | overfit | 288 |
| Wyckoff: buying the accumulation | -74.2% | 50.3% | -8.0% | -17.0% | overfit | 130 |
| RSI 14: buy oversold (30/70) | -88.3% | 50.3% | -11.3% | -20.3% | overfit | 35 |
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