On MCK, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On MCK, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is Supertrend: the line that changes colour, at -3.3 points a year over buying and holding MCK. The worst is Upper Bollinger band breakout, at -15.4 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 |
|---|---|---|---|---|---|---|
| Supertrend: the line that changes colour | ×28 | ×70 | -3.3% | -0.1% | overfit | 54 |
| Only invest above the 200-day average | ×23 | ×70 | -3.9% | -0.7% | overfit | 207 |
| The golden cross (50/200) | ×22 | ×70 | -4.1% | -0.9% | overfit | 44 |
| “Sell in May and go away” | ×12 | ×70 | -6.3% | -3.1% | overfit | 63 |
| Ichimoku: buy above the cloud | ×11 | ×70 | -6.4% | -3.2% | overfit | 377 |
| Wyckoff: buying the accumulation | 654.3% | ×70 | -7.7% | -4.6% | overfit | 186 |
| Stochastic: oversold cross (14, 3) | 315.3% | ×70 | -9.7% | -6.6% | overfit | 418 |
| Parabolic SAR: follow the dots | 269.8% | ×70 | -10.1% | -6.9% | overfit | 699 |
| The Turtles: 55-day breakout | 187.6% | ×70 | -10.9% | -7.8% | overfit | 139 |
| 2-day RSI (the Connors rule) | 123.7% | ×70 | -11.7% | -8.6% | overfit | 714 |
| Heikin Ashi: follow the coloured candles | 95.2% | ×70 | -12.2% | -9.0% | overfit | 2006 |
| The MACD cross (12/26/9) | 92.0% | ×70 | -12.2% | -9.1% | overfit | 633 |
| ICT / Smart Money: the fair value gap | 35.7% | ×70 | -13.3% | -10.2% | overfit | 256 |
| RSI 14: buy oversold (30/70) | 24.9% | ×70 | -13.6% | -10.4% | overfit | 52 |
| Smart Money: the liquidity sweep | 16.0% | ×70 | -13.8% | -10.7% | overfit | 96 |
| ADX: trade only in strong trends | 2.8% | ×70 | -14.2% | -11.1% | overfit | 1025 |
| ICT / Smart Money: the order block | -1.0% | ×70 | -14.3% | -11.2% | overfit | 18 |
| Kaufman’s adaptive moving average (KAMA) | -4.3% | ×70 | -14.5% | -11.3% | overfit | 1185 |
| Bounce off the lower Bollinger band | -18.9% | ×70 | -15.0% | -11.8% | overfit | 234 |
| Upper Bollinger band breakout | -29.1% | ×70 | -15.4% | -12.2% | overfit | 562 |
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