On NRG, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On NRG, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is Supertrend: the line that changes colour: -0.3 points a year over buying and holding NRG. The worst is Upper Bollinger band breakout: -14.2 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 |
|---|---|---|---|---|---|---|
| Supertrend: the line that changes colour | ×14 | ×15 | -0.3% | +1.4% | partly | 38 |
| The golden cross (50/200) | 887.7% | ×15 | -2.2% | -0.4% | overfit | 30 |
| Only invest above the 200-day average | 765.8% | ×15 | -2.8% | -1.1% | partly | 170 |
| “Sell in May and go away” | 681.3% | ×15 | -3.3% | -1.6% | overfit | 45 |
| Wyckoff: buying the accumulation | 383.3% | ×15 | -5.6% | -3.9% | overfit | 140 |
| Ichimoku: buy above the cloud | 272.0% | ×15 | -6.8% | -5.1% | overfit | 282 |
| RSI 14: buy oversold (30/70) | 252.0% | ×15 | -7.1% | -5.3% | overfit | 55 |
| The Turtles: 55-day breakout | 234.6% | ×15 | -7.3% | -5.6% | overfit | 92 |
| The MACD cross (12/26/9) | 190.7% | ×15 | -8.0% | -6.2% | overfit | 434 |
| Stochastic: oversold cross (14, 3) | 179.7% | ×15 | -8.1% | -6.4% | overfit | 303 |
| Parabolic SAR: follow the dots | 172.6% | ×15 | -8.3% | -6.5% | overfit | 500 |
| ADX: trade only in strong trends | 138.3% | ×15 | -8.9% | -7.1% | overfit | 728 |
| Bounce off the lower Bollinger band | 73.2% | ×15 | -10.3% | -8.6% | overfit | 177 |
| Kaufman’s adaptive moving average (KAMA) | 65.9% | ×15 | -10.5% | -8.8% | overfit | 862 |
| 2-day RSI (the Connors rule) | 42.7% | ×15 | -11.2% | -9.5% | overfit | 508 |
| ICT / Smart Money: the fair value gap | 0.5% | ×15 | -12.8% | -11.0% | overfit | 134 |
| ICT / Smart Money: the order block | -3.5% | ×15 | -12.9% | -11.2% | — | 8 |
| Smart Money: the liquidity sweep | -7.2% | ×15 | -13.1% | -11.4% | overfit | 68 |
| Heikin Ashi: follow the coloured candles | -19.6% | ×15 | -13.7% | -12.0% | overfit | 1471 |
| Upper Bollinger band breakout | -27.9% | ×15 | -14.2% | -12.5% | overfit | 370 |
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