On MDLZ, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On MDLZ, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is RSI 14: buy oversold (30/70), at -1.4 points a year over buying and holding MDLZ. The worst is Heikin Ashi: follow the coloured candles, at -11.7 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 |
|---|---|---|---|---|---|---|
| RSI 14: buy oversold (30/70) | 306.3% | 461.4% | -1.4% | -3.7% | overfit | 46 |
| “Sell in May and go away” | 259.6% | 461.4% | -1.9% | -4.2% | — | 50 |
| Stochastic: oversold cross (14, 3) | 161.8% | 461.4% | -3.2% | -5.5% | overfit | 364 |
| Supertrend: the line that changes colour | 125.7% | 461.4% | -3.8% | -6.1% | overfit | 35 |
| Bounce off the lower Bollinger band | 118.3% | 461.4% | -3.9% | -6.3% | overfit | 226 |
| The MACD cross (12/26/9) | 58.3% | 461.4% | -5.2% | -7.6% | overfit | 528 |
| 2-day RSI (the Connors rule) | 34.8% | 461.4% | -5.9% | -8.2% | overfit | 571 |
| The golden cross (50/200) | 29.9% | 461.4% | -6.0% | -8.4% | overfit | 41 |
| ICT / Smart Money: the order block | 3.5% | 461.4% | -6.9% | -9.3% | overfit | 14 |
| Wyckoff: buying the accumulation | -5.5% | 461.4% | -7.3% | -9.7% | overfit | 144 |
| ICT / Smart Money: the fair value gap | -6.5% | 461.4% | -7.4% | -9.7% | overfit | 158 |
| Smart Money: the liquidity sweep | -15.6% | 461.4% | -7.8% | -10.1% | overfit | 84 |
| The Turtles: 55-day breakout | -40.7% | 461.4% | -9.1% | -11.5% | overfit | 113 |
| Upper Bollinger band breakout | -44.9% | 461.4% | -9.4% | -11.8% | overfit | 358 |
| Only invest above the 200-day average | -45.2% | 461.4% | -9.4% | -11.8% | overfit | 303 |
| Parabolic SAR: follow the dots | -45.7% | 461.4% | -9.5% | -11.8% | overfit | 593 |
| ADX: trade only in strong trends | -47.6% | 461.4% | -9.6% | -11.9% | overfit | 818 |
| Ichimoku: buy above the cloud | -56.4% | 461.4% | -10.3% | -12.7% | overfit | 407 |
| Kaufman’s adaptive moving average (KAMA) | -60.8% | 461.4% | -10.7% | -13.1% | overfit | 984 |
| Heikin Ashi: follow the coloured candles | -69.9% | 461.4% | -11.7% | -14.1% | overfit | 1664 |
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