On MET, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On MET, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is Stochastic: oversold cross (14, 3): +0.7 points a year over buying and holding MET. The worst is Heikin Ashi: follow the coloured candles: -18.1 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 |
|---|---|---|---|---|---|---|
| Stochastic: oversold cross (14, 3) | ×15 | ×13 | +0.7% | +2.5% | overfit | 389 |
| Bounce off the lower Bollinger band | 583.9% | ×13 | -2.6% | -0.7% | overfit | 246 |
| 2-day RSI (the Connors rule) | 499.3% | ×13 | -3.1% | -1.3% | overfit | 600 |
| “Sell in May and go away” | 498.2% | ×13 | -3.1% | -1.3% | overfit | 53 |
| Wyckoff: buying the accumulation | 397.4% | ×13 | -3.8% | -2.0% | overfit | 122 |
| The golden cross (50/200) | 171.1% | ×13 | -6.3% | -4.4% | overfit | 35 |
| RSI 14: buy oversold (30/70) | 160.8% | ×13 | -6.4% | -4.6% | overfit | 36 |
| Supertrend: the line that changes colour | 82.8% | ×13 | -7.8% | -6.0% | overfit | 37 |
| ICT / Smart Money: the order block | 3.8% | ×13 | -10.0% | -8.2% | — | 12 |
| ICT / Smart Money: the fair value gap | 2.6% | ×13 | -10.0% | -8.2% | overfit | 182 |
| Smart Money: the liquidity sweep | -4.9% | ×13 | -10.3% | -8.5% | overfit | 84 |
| Parabolic SAR: follow the dots | -19.5% | ×13 | -10.9% | -9.1% | overfit | 626 |
| Only invest above the 200-day average | -30.7% | ×13 | -11.5% | -9.7% | overfit | 265 |
| Ichimoku: buy above the cloud | -39.3% | ×13 | -12.0% | -10.2% | overfit | 447 |
| Upper Bollinger band breakout | -49.1% | ×13 | -12.7% | -10.8% | overfit | 386 |
| ADX: trade only in strong trends | -55.2% | ×13 | -13.1% | -11.3% | overfit | 944 |
| The MACD cross (12/26/9) | -55.5% | ×13 | -13.2% | -11.3% | overfit | 552 |
| Kaufman’s adaptive moving average (KAMA) | -60.2% | ×13 | -13.6% | -11.7% | overfit | 941 |
| The Turtles: 55-day breakout | -71.9% | ×13 | -14.8% | -13.0% | overfit | 125 |
| Heikin Ashi: follow the coloured candles | -88.7% | ×13 | -18.1% | -16.2% | overfit | 1847 |
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