On ON, 6 of 20 famous strategies beat buy-and-hold on daily bars; 1 of them hold out of sample.
On ON, 6 of 20 famous strategies beat buy-and-hold on daily bars, and 1 of them holds out of sample. The best is "Sell in May and go away" at +10.7 points a year over buying and holding ON, while the worst is Bounce off the lower Bollinger band at -11.1 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” | ×40 | 208.7% | +10.7% | +6.6% | holds | 52 |
| ADX: trade only in strong trends | ×28 | 208.7% | +9.1% | +5.0% | partly | 812 |
| Kaufman’s adaptive moving average (KAMA) | 468.6% | 208.7% | +2.5% | -1.6% | overfit | 944 |
| Ichimoku: buy above the cloud | 377.3% | 208.7% | +1.8% | -2.3% | overfit | 342 |
| Parabolic SAR: follow the dots | 320.1% | 208.7% | +1.2% | -2.8% | overfit | 582 |
| The Turtles: 55-day breakout | 209.8% | 208.7% | +0.0% | -4.0% | overfit | 96 |
| Only invest above the 200-day average | 206.5% | 208.7% | -0.0% | -4.1% | overfit | 206 |
| Supertrend: the line that changes colour | 157.5% | 208.7% | -0.7% | -4.8% | overfit | 39 |
| ICT / Smart Money: the fair value gap | 66.3% | 208.7% | -2.4% | -6.5% | overfit | 144 |
| The golden cross (50/200) | 28.8% | 208.7% | -3.4% | -7.5% | overfit | 37 |
| Wyckoff: buying the accumulation | 17.1% | 208.7% | -3.8% | -7.8% | overfit | 188 |
| Smart Money: the liquidity sweep | 4.7% | 208.7% | -4.2% | -8.3% | overfit | 78 |
| ICT / Smart Money: the order block | -2.8% | 208.7% | -4.5% | -8.6% | — | 6 |
| The MACD cross (12/26/9) | -3.5% | 208.7% | -4.5% | -8.6% | overfit | 543 |
| Upper Bollinger band breakout | -22.1% | 208.7% | -5.3% | -9.4% | overfit | 422 |
| 2-day RSI (the Connors rule) | -36.7% | 208.7% | -6.1% | -10.2% | overfit | 614 |
| Heikin Ashi: follow the coloured candles | -39.5% | 208.7% | -6.3% | -10.3% | overfit | 1766 |
| RSI 14: buy oversold (30/70) | -52.1% | 208.7% | -7.1% | -11.2% | overfit | 50 |
| Stochastic: oversold cross (14, 3) | -81.0% | 208.7% | -10.5% | -14.6% | overfit | 361 |
| Bounce off the lower Bollinger band | -84.0% | 208.7% | -11.1% | -15.2% | overfit | 213 |
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