Finaxion Research · MPC

Which strategy works on MPC?

On MPC, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.

Findings

On MPC, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is the MACD cross (12/26/9): -4.1 points a year over buying and holding MPC. The worst is 2-day RSI (the Connors rule): -29.7 points a year against buy-and-hold.

On MPC, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
The best is the MACD cross (12/26/9): -4.1 points a year over buying and holding MPC.
The worst is 2-day RSI (the Connors rule): -29.7 points a year against buy-and-hold.

The 20 strategies, one by one

Strategy	Return	Buy and hold	Excess (pts/yr)	Vs. S&P 500 (pts/yr)	Out of sample	Trades
The MACD cross (12/26/9)	×18	×31	-4.1%	+6.7%	—	297
ADX: trade only in strong trends	×17	×31	-4.9%	+5.9%	—	487
Only invest above the 200-day average	×16	×31	-5.2%	+5.5%	—	73
Parabolic SAR: follow the dots	×13	×31	-6.8%	+3.9%	—	357
Kaufman’s adaptive moving average (KAMA)	959.8%	×31	-8.4%	+2.3%	—	511
The golden cross (50/200)	792.8%	×31	-9.7%	+1.0%	—	17
Wyckoff: buying the accumulation	625.6%	×31	-11.3%	-0.6%	—	70
RSI 14: buy oversold (30/70)	499.2%	×31	-12.7%	-2.0%	—	36
Supertrend: the line that changes colour	496.4%	×31	-12.8%	-2.1%	—	27
“Sell in May and go away”	416.3%	×31	-13.9%	-3.1%	overfit	30
Ichimoku: buy above the cloud	329.1%	×31	-15.2%	-4.5%	—	229
The Turtles: 55-day breakout	231.1%	×31	-17.1%	-6.3%	—	61
Heikin Ashi: follow the coloured candles	215.2%	×31	-17.4%	-6.7%	—	995
Stochastic: oversold cross (14, 3)	15.8%	×31	-24.3%	-13.6%	—	184
ICT / Smart Money: the order block	0.1%	×31	-25.3%	-14.6%	—	6
Bounce off the lower Bollinger band	-3.1%	×31	-25.5%	-14.8%	—	116
ICT / Smart Money: the fair value gap	-5.4%	×31	-25.7%	-14.9%	—	102
Smart Money: the liquidity sweep	-7.9%	×31	-25.8%	-15.1%	—	26
Upper Bollinger band breakout	-10.3%	×31	-26.0%	-15.3%	—	276
2-day RSI (the Connors rule)	-49.8%	×31	-29.7%	-19.0%	—	312

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