On NTAP, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On NTAP, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is Only invest above the 200-day average, at -1.1 points a year over buying and holding NTAP, while the worst is Bounce off the lower Bollinger band, at -22.0 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 |
|---|---|---|---|---|---|---|
| Only invest above the 200-day average | ×147 | ×198 | -1.1% | +7.1% | partly | 183 |
| The golden cross (50/200) | ×93 | ×198 | -2.8% | +5.4% | overfit | 35 |
| Wyckoff: buying the accumulation | ×74 | ×198 | -3.7% | +4.5% | overfit | 194 |
| ADX: trade only in strong trends | ×47 | ×198 | -5.4% | +2.8% | overfit | 948 |
| Parabolic SAR: follow the dots | ×37 | ×198 | -6.2% | +2.0% | overfit | 676 |
| The Turtles: 55-day breakout | ×29 | ×198 | -7.2% | +1.1% | partly | 123 |
| Ichimoku: buy above the cloud | ×24 | ×198 | -7.8% | +0.4% | partly | 415 |
| “Sell in May and go away” | 812.1% | ×198 | -11.3% | -3.1% | overfit | 61 |
| The MACD cross (12/26/9) | 781.9% | ×198 | -11.4% | -3.2% | overfit | 600 |
| Kaufman’s adaptive moving average (KAMA) | 532.7% | ×198 | -12.5% | -4.3% | partly | 1146 |
| Supertrend: the line that changes colour | 453.1% | ×198 | -13.0% | -4.8% | overfit | 47 |
| Heikin Ashi: follow the coloured candles | 285.1% | ×198 | -14.2% | -6.0% | partly | 1963 |
| ICT / Smart Money: the fair value gap | 229.4% | ×198 | -14.8% | -6.6% | overfit | 218 |
| Smart Money: the liquidity sweep | 7.4% | ×198 | -18.5% | -10.3% | overfit | 122 |
| ICT / Smart Money: the order block | 0.2% | ×198 | -18.7% | -10.5% | — | 10 |
| Stochastic: oversold cross (14, 3) | -3.6% | ×198 | -18.9% | -10.6% | overfit | 423 |
| RSI 14: buy oversold (30/70) | -7.3% | ×198 | -19.0% | -10.8% | overfit | 50 |
| 2-day RSI (the Connors rule) | -15.4% | ×198 | -19.3% | -11.1% | overfit | 678 |
| Upper Bollinger band breakout | -63.9% | ×198 | -22.0% | -13.8% | overfit | 494 |
| Bounce off the lower Bollinger band | -64.4% | ×198 | -22.0% | -13.8% | overfit | 248 |
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