Finaxion Research · NWSA

Which strategy works on NWSA?

On NWSA, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.

Findings

On NWSA, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is RSI 14: buy oversold (30/70): +2.2 points a year over buying and holding NWSA. The worst is Heikin Ashi: follow the coloured candles: -11.9 points a year against buy-and-hold.

On NWSA, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
The best is RSI 14: buy oversold (30/70): +2.2 points a year over buying and holding NWSA.
The worst is Heikin Ashi: follow the coloured candles: -11.9 points a year against buy-and-hold.

The 20 strategies, one by one

Strategy	Return	Buy and hold	Excess (pts/yr)	Vs. S&P 500 (pts/yr)	Out of sample	Trades
RSI 14: buy oversold (30/70)	192.3%	122.2%	+2.2%	-5.9%	—	28
Supertrend: the line that changes colour	105.5%	122.2%	-0.6%	-8.8%	—	16
Bounce off the lower Bollinger band	104.7%	122.2%	-0.6%	-8.8%	—	136
The golden cross (50/200)	77.2%	122.2%	-1.8%	-9.9%	—	19
Wyckoff: buying the accumulation	64.5%	122.2%	-2.4%	-10.5%	—	79
Only invest above the 200-day average	54.1%	122.2%	-2.9%	-11.0%	—	107
“Sell in May and go away”	42.3%	122.2%	-3.5%	-11.7%	—	26
The MACD cross (12/26/9)	41.9%	122.2%	-3.5%	-11.7%	—	255
Stochastic: oversold cross (14, 3)	19.8%	122.2%	-4.9%	-13.0%	—	176
2-day RSI (the Connors rule)	10.4%	122.2%	-5.5%	-13.6%	—	306
ICT / Smart Money: the order block	0.3%	122.2%	-6.2%	-14.3%	—	2
Parabolic SAR: follow the dots	-2.1%	122.2%	-6.4%	-14.5%	—	311
ICT / Smart Money: the fair value gap	-2.7%	122.2%	-6.4%	-14.6%	—	70
Smart Money: the liquidity sweep	-5.7%	122.2%	-6.7%	-14.8%	—	54
Ichimoku: buy above the cloud	-9.4%	122.2%	-7.0%	-15.1%	—	189
The Turtles: 55-day breakout	-16.5%	122.2%	-7.6%	-15.7%	—	57
Upper Bollinger band breakout	-18.2%	122.2%	-7.7%	-15.9%	—	190
Kaufman’s adaptive moving average (KAMA)	-18.6%	122.2%	-7.8%	-15.9%	—	497
ADX: trade only in strong trends	-29.8%	122.2%	-8.9%	-17.0%	—	457
Heikin Ashi: follow the coloured candles	-53.4%	122.2%	-11.9%	-20.0%	—	901

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