On MAA, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On MAA, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is the golden cross (50/200): -4.2 points a year over buying and holding MAA. The worst is Heikin Ashi: follow the coloured candles: -16.4 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) | 939.0% | ×36 | -4.2% | -3.4% | overfit | 39 |
| “Sell in May and go away” | 876.3% | ×36 | -4.4% | -3.6% | — | 65 |
| Only invest above the 200-day average | 558.6% | ×36 | -5.7% | -4.9% | overfit | 236 |
| Stochastic: oversold cross (14, 3) | 530.0% | ×36 | -5.8% | -5.0% | partly | 449 |
| RSI 14: buy oversold (30/70) | 411.6% | ×36 | -6.5% | -5.7% | overfit | 56 |
| 2-day RSI (the Connors rule) | 323.4% | ×36 | -7.1% | -6.3% | overfit | 735 |
| Bounce off the lower Bollinger band | 248.2% | ×36 | -7.7% | -6.9% | overfit | 244 |
| Supertrend: the line that changes colour | 150.1% | ×36 | -8.8% | -8.0% | overfit | 58 |
| Wyckoff: buying the accumulation | 129.2% | ×36 | -9.1% | -8.2% | overfit | 166 |
| The Turtles: 55-day breakout | 91.4% | ×36 | -9.6% | -8.8% | overfit | 134 |
| ICT / Smart Money: the order block | -4.8% | ×36 | -11.8% | -11.0% | overfit | 24 |
| Upper Bollinger band breakout | -17.1% | ×36 | -12.2% | -11.4% | overfit | 532 |
| Ichimoku: buy above the cloud | -19.2% | ×36 | -12.3% | -11.5% | overfit | 540 |
| ICT / Smart Money: the fair value gap | -21.7% | ×36 | -12.4% | -11.6% | overfit | 210 |
| Parabolic SAR: follow the dots | -24.5% | ×36 | -12.5% | -11.7% | overfit | 756 |
| Smart Money: the liquidity sweep | -38.3% | ×36 | -13.1% | -12.3% | overfit | 114 |
| ADX: trade only in strong trends | -39.1% | ×36 | -13.2% | -12.3% | overfit | 1088 |
| The MACD cross (12/26/9) | -39.2% | ×36 | -13.2% | -12.3% | overfit | 706 |
| Kaufman’s adaptive moving average (KAMA) | -65.6% | ×36 | -14.9% | -14.1% | overfit | 1230 |
| Heikin Ashi: follow the coloured candles | -79.8% | ×36 | -16.4% | -15.6% | overfit | 2110 |
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