On NDAQ, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On NDAQ, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is the golden cross (50/200): -0.7 points a year over buying and holding NDAQ. The worst is Smart Money: the liquidity sweep: -15.9 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 |
|---|---|---|---|---|---|---|
| The golden cross (50/200) | ×21 | ×25 | -0.7% | +2.6% | overfit | 33 |
| Wyckoff: buying the accumulation | 928.6% | ×25 | -4.1% | -0.8% | overfit | 147 |
| Only invest above the 200-day average | 761.0% | ×25 | -4.9% | -1.6% | overfit | 187 |
| Supertrend: the line that changes colour | 639.9% | ×25 | -5.5% | -2.3% | overfit | 37 |
| The Turtles: 55-day breakout | 329.5% | ×25 | -8.0% | -4.7% | overfit | 99 |
| The MACD cross (12/26/9) | 272.8% | ×25 | -8.6% | -5.3% | overfit | 455 |
| “Sell in May and go away” | 253.6% | ×25 | -8.8% | -5.5% | overfit | 48 |
| Heikin Ashi: follow the coloured candles | 230.4% | ×25 | -9.1% | -5.8% | overfit | 1557 |
| RSI 14: buy oversold (30/70) | 154.7% | ×25 | -10.2% | -7.0% | overfit | 46 |
| Ichimoku: buy above the cloud | 131.0% | ×25 | -10.7% | -7.4% | overfit | 323 |
| Parabolic SAR: follow the dots | 123.1% | ×25 | -10.8% | -7.5% | overfit | 543 |
| Stochastic: oversold cross (14, 3) | 81.6% | ×25 | -11.7% | -8.4% | overfit | 308 |
| ADX: trade only in strong trends | 75.8% | ×25 | -11.8% | -8.6% | partly | 741 |
| Kaufman’s adaptive moving average (KAMA) | 48.3% | ×25 | -12.5% | -9.3% | overfit | 875 |
| ICT / Smart Money: the fair value gap | 24.4% | ×25 | -13.3% | -10.0% | overfit | 132 |
| Upper Bollinger band breakout | 22.4% | ×25 | -13.4% | -10.1% | overfit | 414 |
| ICT / Smart Money: the order block | -7.4% | ×25 | -14.5% | -11.2% | overfit | 14 |
| Bounce off the lower Bollinger band | -8.8% | ×25 | -14.6% | -11.3% | overfit | 176 |
| 2-day RSI (the Connors rule) | -33.4% | ×25 | -15.9% | -12.6% | overfit | 546 |
| Smart Money: the liquidity sweep | -34.7% | ×25 | -15.9% | -12.7% | overfit | 88 |
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