On NVR, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On NVR, 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): -3.7 points a year over buying and holding NVR. The worst is Smart Money: the liquidity sweep: -21.9 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) | ×224 | ×616 | -3.7% | +7.0% | partly | 40 |
| “Sell in May and go away” | ×196 | ×616 | -4.2% | +6.5% | — | 66 |
| Only invest above the 200-day average | ×110 | ×616 | -6.2% | +4.5% | overfit | 212 |
| Ichimoku: buy above the cloud | ×66 | ×616 | -8.0% | +2.7% | partly | 406 |
| Wyckoff: buying the accumulation | ×44 | ×616 | -9.3% | +1.4% | partly | 190 |
| The Turtles: 55-day breakout | ×38 | ×616 | -9.9% | +0.8% | partly | 124 |
| Supertrend: the line that changes colour | ×27 | ×616 | -11.0% | -0.3% | partly | 56 |
| Kaufman’s adaptive moving average (KAMA) | ×20 | ×616 | -12.0% | -1.3% | overfit | 1157 |
| Parabolic SAR: follow the dots | ×11 | ×616 | -13.9% | -3.2% | overfit | 711 |
| RSI 14: buy oversold (30/70) | 614.3% | ×616 | -15.4% | -4.7% | partly | 55 |
| Stochastic: oversold cross (14, 3) | 547.2% | ×616 | -15.7% | -5.0% | overfit | 439 |
| ADX: trade only in strong trends | 518.0% | ×616 | -15.9% | -5.2% | overfit | 1047 |
| 2-day RSI (the Connors rule) | 454.3% | ×616 | -16.2% | -5.5% | overfit | 774 |
| Bounce off the lower Bollinger band | 152.9% | ×616 | -18.7% | -8.0% | overfit | 244 |
| Heikin Ashi: follow the coloured candles | 142.9% | ×616 | -18.8% | -8.1% | overfit | 2223 |
| The MACD cross (12/26/9) | 43.0% | ×616 | -20.5% | -9.8% | overfit | 731 |
| Upper Bollinger band breakout | 13.1% | ×616 | -21.2% | -10.5% | overfit | 544 |
| ICT / Smart Money: the fair value gap | 10.6% | ×616 | -21.2% | -10.5% | overfit | 320 |
| ICT / Smart Money: the order block | 6.4% | ×616 | -21.4% | -10.7% | overfit | 22 |
| Smart Money: the liquidity sweep | -10.9% | ×616 | -21.9% | -11.2% | overfit | 108 |
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