On MLM, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On MLM, 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 MLM. The worst is Heikin Ashi: follow the coloured candles: -14.4 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 |
|---|---|---|---|---|---|---|
| “Sell in May and go away” | ×57 | ×32 | +2.0% | +2.3% | — | 65 |
| Supertrend: the line that changes colour | ×22 | ×32 | -1.2% | -0.9% | partly | 48 |
| The golden cross (50/200) | 508.4% | ×32 | -5.5% | -5.2% | overfit | 52 |
| The Turtles: 55-day breakout | 323.4% | ×32 | -6.7% | -6.3% | overfit | 124 |
| RSI 14: buy oversold (30/70) | 310.0% | ×32 | -6.8% | -6.5% | partly | 57 |
| Wyckoff: buying the accumulation | 287.7% | ×32 | -7.0% | -6.6% | overfit | 228 |
| 2-day RSI (the Connors rule) | 281.5% | ×32 | -7.0% | -6.7% | overfit | 815 |
| Only invest above the 200-day average | 233.2% | ×32 | -7.5% | -7.1% | overfit | 256 |
| Bounce off the lower Bollinger band | 202.8% | ×32 | -7.8% | -7.4% | overfit | 263 |
| Ichimoku: buy above the cloud | 157.1% | ×32 | -8.3% | -7.9% | overfit | 434 |
| Stochastic: oversold cross (14, 3) | 136.7% | ×32 | -8.5% | -8.2% | overfit | 433 |
| The MACD cross (12/26/9) | 98.2% | ×32 | -9.1% | -8.8% | overfit | 665 |
| Parabolic SAR: follow the dots | 89.4% | ×32 | -9.2% | -8.9% | overfit | 718 |
| Smart Money: the liquidity sweep | 14.6% | ×32 | -10.8% | -10.5% | overfit | 160 |
| ICT / Smart Money: the fair value gap | 4.4% | ×32 | -11.1% | -10.8% | overfit | 260 |
| ICT / Smart Money: the order block | 1.1% | ×32 | -11.2% | -10.8% | overfit | 16 |
| Kaufman’s adaptive moving average (KAMA) | -10.8% | ×32 | -11.6% | -11.2% | overfit | 1172 |
| ADX: trade only in strong trends | -21.8% | ×32 | -12.0% | -11.6% | overfit | 1068 |
| Upper Bollinger band breakout | -28.2% | ×32 | -12.2% | -11.9% | overfit | 524 |
| Heikin Ashi: follow the coloured candles | -65.3% | ×32 | -14.4% | -14.1% | overfit | 2150 |
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