On MTD, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On MTD, 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 -4.0 points a year over buying and holding MTD. The worst is Smart Money: the liquidity sweep, at -17.5 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) | ×34 | ×94 | -4.0% | +3.6% | partly | 62 |
| The golden cross (50/200) | ×19 | ×94 | -6.4% | +1.2% | — | 47 |
| “Sell in May and go away” | ×15 | ×94 | -7.2% | +0.5% | overfit | 57 |
| Only invest above the 200-day average | 975.5% | ×94 | -8.5% | -0.9% | — | 213 |
| Stochastic: oversold cross (14, 3) | 694.6% | ×94 | -9.6% | -2.0% | overfit | 411 |
| Ichimoku: buy above the cloud | 539.8% | ×94 | -10.4% | -2.8% | overfit | 343 |
| Supertrend: the line that changes colour | 426.2% | ×94 | -11.2% | -3.5% | overfit | 43 |
| Bounce off the lower Bollinger band | 240.4% | ×94 | -12.8% | -5.1% | overfit | 236 |
| Parabolic SAR: follow the dots | 185.7% | ×94 | -13.4% | -5.8% | overfit | 626 |
| The Turtles: 55-day breakout | 166.7% | ×94 | -13.6% | -6.0% | overfit | 123 |
| 2-day RSI (the Connors rule) | 155.3% | ×94 | -13.8% | -6.2% | overfit | 640 |
| The MACD cross (12/26/9) | 138.1% | ×94 | -14.0% | -6.4% | overfit | 564 |
| Kaufman’s adaptive moving average (KAMA) | 97.3% | ×94 | -14.7% | -7.1% | overfit | 1009 |
| Heikin Ashi: follow the coloured candles | 77.8% | ×94 | -15.1% | -7.4% | overfit | 1829 |
| ADX: trade only in strong trends | 52.4% | ×94 | -15.6% | -8.0% | overfit | 943 |
| ICT / Smart Money: the fair value gap | 51.7% | ×94 | -15.7% | -8.0% | overfit | 227 |
| Upper Bollinger band breakout | 16.8% | ×94 | -16.6% | -8.9% | overfit | 490 |
| ICT / Smart Money: the order block | 1.5% | ×94 | -17.1% | -9.4% | overfit | 20 |
| Wyckoff: buying the accumulation | -6.6% | ×94 | -17.4% | -9.7% | overfit | 158 |
| Smart Money: the liquidity sweep | -9.7% | ×94 | -17.5% | -9.8% | overfit | 72 |
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