On O, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On O, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is "Sell in May and go away": -5.1 points a year over buying and holding O. The worst is Heikin Ashi: follow the coloured candles: -18.1 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 |
|---|---|---|---|---|---|---|
| “Sell in May and go away” | ×13 | ×55 | -5.1% | -2.8% | overfit | 64 |
| RSI 14: buy oversold (30/70) | 943.7% | ×55 | -5.7% | -3.4% | overfit | 51 |
| Stochastic: oversold cross (14, 3) | 792.3% | ×55 | -6.3% | -4.0% | partly | 435 |
| The golden cross (50/200) | 703.4% | ×55 | -6.6% | -4.3% | partly | 39 |
| 2-day RSI (the Connors rule) | 323.1% | ×55 | -8.7% | -6.5% | overfit | 677 |
| The MACD cross (12/26/9) | 300.2% | ×55 | -8.9% | -6.6% | partly | 654 |
| Bounce off the lower Bollinger band | 238.5% | ×55 | -9.5% | -7.2% | overfit | 246 |
| Supertrend: the line that changes colour | 177.7% | ×55 | -10.1% | -7.8% | partly | 40 |
| The Turtles: 55-day breakout | 174.4% | ×55 | -10.2% | -7.9% | overfit | 132 |
| Only invest above the 200-day average | 171.0% | ×55 | -10.2% | -7.9% | overfit | 295 |
| Parabolic SAR: follow the dots | 155.4% | ×55 | -10.4% | -8.1% | overfit | 734 |
| Wyckoff: buying the accumulation | 124.1% | ×55 | -10.8% | -8.5% | overfit | 140 |
| Kaufman’s adaptive moving average (KAMA) | 18.8% | ×55 | -12.8% | -10.5% | overfit | 1098 |
| Ichimoku: buy above the cloud | 2.9% | ×55 | -13.3% | -11.0% | overfit | 514 |
| ICT / Smart Money: the order block | -6.6% | ×55 | -13.6% | -11.3% | overfit | 34 |
| Smart Money: the liquidity sweep | -10.0% | ×55 | -13.7% | -11.4% | overfit | 80 |
| ADX: trade only in strong trends | -10.8% | ×55 | -13.7% | -11.5% | overfit | 1030 |
| ICT / Smart Money: the fair value gap | -27.8% | ×55 | -14.4% | -12.1% | overfit | 232 |
| Upper Bollinger band breakout | -58.6% | ×55 | -16.1% | -13.8% | overfit | 556 |
| Heikin Ashi: follow the coloured candles | -78.8% | ×55 | -18.1% | -15.8% | overfit | 2116 |
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