Finaxion Research · MSCI

Which strategy works on MSCI?

On MSCI, 0 of 19 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.

Findings

On MSCI, 0 of 19 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": -5.8 points a year over buying and holding MSCI. The worst is Heikin Ashi: follow the coloured candles: -24.1 points a year against buy-and-hold.

On MSCI, 0 of 19 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”: -5.8 points a year over buying and holding MSCI.
The worst is Heikin Ashi: follow the coloured candles: -24.1 points a year against buy-and-hold.

The 19 strategies, one by one

Strategy	Return	Buy and hold	Excess (pts/yr)	Vs. S&P 500 (pts/yr)	Out of sample	Trades
“Sell in May and go away”	884.1%	×25	-5.8%	+1.7%	overfit	37
The golden cross (50/200)	568.6%	×25	-8.0%	-0.6%	—	29
Supertrend: the line that changes colour	437.4%	×25	-9.3%	-1.9%	—	31
RSI 14: buy oversold (30/70)	374.4%	×25	-10.0%	-2.6%	—	34
2-day RSI (the Connors rule)	283.4%	×25	-11.3%	-3.8%	—	408
Only invest above the 200-day average	240.1%	×25	-12.0%	-4.5%	—	146
Stochastic: oversold cross (14, 3)	177.9%	×25	-13.1%	-5.7%	—	265
Bounce off the lower Bollinger band	93.5%	×25	-15.1%	-7.7%	—	160
Wyckoff: buying the accumulation	88.3%	×25	-15.3%	-7.8%	—	87
Ichimoku: buy above the cloud	87.8%	×25	-15.3%	-7.8%	—	248
The Turtles: 55-day breakout	41.5%	×25	-16.8%	-9.4%	—	86
ADX: trade only in strong trends	25.9%	×25	-17.5%	-10.0%	—	633
Smart Money: the liquidity sweep	23.9%	×25	-17.6%	-10.1%	—	50
Parabolic SAR: follow the dots	9.9%	×25	-18.2%	-10.8%	—	420
The MACD cross (12/26/9)	-12.8%	×25	-19.4%	-12.0%	—	425
ICT / Smart Money: the fair value gap	-39.9%	×25	-21.4%	-14.0%	—	122
Kaufman’s adaptive moving average (KAMA)	-50.9%	×25	-22.4%	-15.0%	—	738
Upper Bollinger band breakout	-51.2%	×25	-22.5%	-15.0%	—	298
Heikin Ashi: follow the coloured candles	-64.3%	×25	-24.1%	-16.6%	—	1255

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