On MAR, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On MAR, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is "Sell in May and go away": +2.0 points a year over buying and holding MAR. The worst is Heikin Ashi: follow the coloured candles: -19.9 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” | ×44 | ×26 | +2.0% | +5.3% | — | 57 |
| Only invest above the 200-day average | ×12 | ×26 | -3.2% | +0.1% | partly | 197 |
| Supertrend: the line that changes colour | 840.5% | ×26 | -4.0% | -0.7% | overfit | 45 |
| The golden cross (50/200) | 664.5% | ×26 | -4.8% | -1.5% | partly | 31 |
| The MACD cross (12/26/9) | 371.3% | ×26 | -6.6% | -3.3% | partly | 567 |
| Wyckoff: buying the accumulation | 342.6% | ×26 | -6.8% | -3.5% | overfit | 165 |
| 2-day RSI (the Connors rule) | 262.3% | ×26 | -7.6% | -4.3% | overfit | 667 |
| ADX: trade only in strong trends | 237.6% | ×26 | -7.8% | -4.5% | overfit | 922 |
| Stochastic: oversold cross (14, 3) | 165.9% | ×26 | -8.7% | -5.4% | overfit | 369 |
| RSI 14: buy oversold (30/70) | 140.5% | ×26 | -9.1% | -5.8% | overfit | 44 |
| Ichimoku: buy above the cloud | 116.4% | ×26 | -9.4% | -6.2% | overfit | 404 |
| Bounce off the lower Bollinger band | 55.4% | ×26 | -10.6% | -7.4% | overfit | 228 |
| Kaufman’s adaptive moving average (KAMA) | 26.3% | ×26 | -11.4% | -8.1% | overfit | 1016 |
| Smart Money: the liquidity sweep | 13.2% | ×26 | -11.8% | -8.5% | overfit | 108 |
| ICT / Smart Money: the order block | 1.4% | ×26 | -12.1% | -8.9% | overfit | 14 |
| ICT / Smart Money: the fair value gap | 1.1% | ×26 | -12.2% | -8.9% | overfit | 258 |
| Parabolic SAR: follow the dots | 1.0% | ×26 | -12.2% | -8.9% | overfit | 666 |
| The Turtles: 55-day breakout | -6.9% | ×26 | -12.4% | -9.2% | overfit | 126 |
| Upper Bollinger band breakout | -20.6% | ×26 | -13.0% | -9.7% | overfit | 442 |
| Heikin Ashi: follow the coloured candles | -89.6% | ×26 | -19.9% | -16.6% | overfit | 1896 |
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