On MA, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On MA, 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): -11.0 points a year over buying and holding MA. The worst is Smart Money: the liquidity sweep: -29.4 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 |
|---|---|---|---|---|---|---|
| The golden cross (50/200) | ×23 | ×142 | -11.0% | +5.4% | overfit | 25 |
| “Sell in May and go away” | ×20 | ×142 | -11.7% | +4.7% | overfit | 40 |
| Only invest above the 200-day average | ×15 | ×142 | -13.4% | +3.0% | overfit | 123 |
| Wyckoff: buying the accumulation | ×12 | ×142 | -14.7% | +1.7% | overfit | 102 |
| Ichimoku: buy above the cloud | ×11 | ×142 | -15.0% | +1.5% | overfit | 265 |
| Supertrend: the line that changes colour | 982.2% | ×142 | -15.2% | +1.2% | overfit | 25 |
| Stochastic: oversold cross (14, 3) | 925.0% | ×142 | -15.5% | +0.9% | partly | 262 |
| The Turtles: 55-day breakout | 686.5% | ×142 | -17.0% | -0.5% | overfit | 75 |
| RSI 14: buy oversold (30/70) | 454.9% | ×142 | -18.8% | -2.4% | overfit | 28 |
| Parabolic SAR: follow the dots | 427.3% | ×142 | -19.1% | -2.7% | overfit | 461 |
| 2-day RSI (the Connors rule) | 380.4% | ×142 | -19.6% | -3.2% | overfit | 444 |
| Heikin Ashi: follow the coloured candles | 298.1% | ×142 | -20.6% | -4.2% | overfit | 1378 |
| ADX: trade only in strong trends | 234.5% | ×142 | -21.5% | -5.1% | overfit | 707 |
| Bounce off the lower Bollinger band | 222.4% | ×142 | -21.7% | -5.3% | overfit | 146 |
| Kaufman’s adaptive moving average (KAMA) | 53.4% | ×142 | -25.5% | -9.1% | overfit | 759 |
| The MACD cross (12/26/9) | 50.2% | ×142 | -25.7% | -9.2% | overfit | 447 |
| Upper Bollinger band breakout | 4.1% | ×142 | -27.5% | -11.1% | overfit | 330 |
| ICT / Smart Money: the order block | -3.4% | ×142 | -27.9% | -11.4% | overfit | 10 |
| ICT / Smart Money: the fair value gap | -19.6% | ×142 | -28.8% | -12.3% | overfit | 174 |
| Smart Money: the liquidity sweep | -29.8% | ×142 | -29.4% | -13.0% | overfit | 74 |
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