On MCO, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On MCO, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is "Sell in May and go away" at -3.9 points a year over buying and holding MCO, while the worst is Upper Bollinger band breakout at -17.3 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 |
|---|---|---|---|---|---|---|
| “Sell in May and go away” | ×26 | ×79 | -3.9% | -0.3% | overfit | 64 |
| Supertrend: the line that changes colour | ×16 | ×79 | -5.5% | -1.9% | overfit | 49 |
| Only invest above the 200-day average | ×12 | ×79 | -6.5% | -2.9% | overfit | 227 |
| The golden cross (50/200) | 882.7% | ×79 | -7.2% | -3.6% | overfit | 45 |
| RSI 14: buy oversold (30/70) | 628.3% | ×79 | -8.2% | -4.6% | overfit | 48 |
| Wyckoff: buying the accumulation | 490.0% | ×79 | -9.0% | -5.3% | overfit | 156 |
| Stochastic: oversold cross (14, 3) | 426.8% | ×79 | -9.3% | -5.7% | partly | 426 |
| Ichimoku: buy above the cloud | 354.6% | ×79 | -9.8% | -6.2% | overfit | 433 |
| 2-day RSI (the Connors rule) | 291.1% | ×79 | -10.3% | -6.7% | overfit | 712 |
| Bounce off the lower Bollinger band | 81.8% | ×79 | -12.8% | -9.2% | overfit | 216 |
| The Turtles: 55-day breakout | 81.3% | ×79 | -12.8% | -9.2% | overfit | 139 |
| Parabolic SAR: follow the dots | 29.5% | ×79 | -13.9% | -10.2% | overfit | 721 |
| Smart Money: the liquidity sweep | 13.0% | ×79 | -14.3% | -10.7% | overfit | 104 |
| ICT / Smart Money: the order block | 0.9% | ×79 | -14.7% | -11.0% | overfit | 22 |
| ADX: trade only in strong trends | -19.1% | ×79 | -15.4% | -11.7% | overfit | 1015 |
| Kaufman’s adaptive moving average (KAMA) | -19.5% | ×79 | -15.4% | -11.7% | overfit | 1211 |
| Heikin Ashi: follow the coloured candles | -22.2% | ×79 | -15.5% | -11.8% | overfit | 2069 |
| ICT / Smart Money: the fair value gap | -24.5% | ×79 | -15.6% | -11.9% | overfit | 262 |
| The MACD cross (12/26/9) | -44.8% | ×79 | -16.5% | -12.9% | overfit | 687 |
| Upper Bollinger band breakout | -56.5% | ×79 | -17.3% | -13.6% | overfit | 564 |
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