On PFG, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On PFG, 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): -0.9 points a year over buying and holding PFG. The worst is Heikin Ashi: follow the coloured candles: -18.8 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) | 722.7% | 920.1% | -0.9% | -1.3% | partly | 37 |
| Wyckoff: buying the accumulation | 531.4% | 920.1% | -2.1% | -2.4% | — | 112 |
| “Sell in May and go away” | 353.2% | 920.1% | -3.5% | -3.9% | overfit | 50 |
| Supertrend: the line that changes colour | 250.3% | 920.1% | -4.6% | -5.0% | overfit | 37 |
| RSI 14: buy oversold (30/70) | 190.5% | 920.1% | -5.4% | -5.8% | overfit | 40 |
| Bounce off the lower Bollinger band | 183.3% | 920.1% | -5.5% | -5.9% | partly | 194 |
| 2-day RSI (the Connors rule) | 179.5% | 920.1% | -5.6% | -5.9% | overfit | 540 |
| Stochastic: oversold cross (14, 3) | 129.7% | 920.1% | -6.4% | -6.7% | overfit | 347 |
| The MACD cross (12/26/9) | 129.7% | 920.1% | -6.4% | -6.7% | overfit | 494 |
| Only invest above the 200-day average | 68.1% | 920.1% | -7.7% | -8.0% | overfit | 221 |
| Ichimoku: buy above the cloud | 48.3% | 920.1% | -8.2% | -8.5% | overfit | 347 |
| The Turtles: 55-day breakout | 19.4% | 920.1% | -9.1% | -9.4% | overfit | 103 |
| Parabolic SAR: follow the dots | 17.5% | 920.1% | -9.1% | -9.5% | overfit | 562 |
| ICT / Smart Money: the order block | -5.9% | 920.1% | -10.0% | -10.4% | overfit | 14 |
| Smart Money: the liquidity sweep | -18.4% | 920.1% | -10.6% | -10.9% | overfit | 68 |
| ICT / Smart Money: the fair value gap | -24.1% | 920.1% | -10.9% | -11.2% | overfit | 200 |
| ADX: trade only in strong trends | -54.5% | 920.1% | -12.9% | -13.3% | overfit | 858 |
| Upper Bollinger band breakout | -74.9% | 920.1% | -15.2% | -15.6% | overfit | 396 |
| Kaufman’s adaptive moving average (KAMA) | -82.8% | 920.1% | -16.6% | -17.0% | overfit | 954 |
| Heikin Ashi: follow the coloured candles | -90.4% | 920.1% | -18.8% | -19.2% | overfit | 1658 |
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