On PLD, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On PLD, 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": -2.7 points a year over buying and holding PLD. The worst is Parabolic SAR: follow the dots: -13.9 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 |
|---|---|---|---|---|---|---|
| “Sell in May and go away” | 837.2% | ×19 | -2.7% | -1.2% | overfit | 57 |
| RSI 14: buy oversold (30/70) | 602.4% | ×19 | -3.7% | -2.3% | — | 52 |
| Only invest above the 200-day average | 509.2% | ×19 | -4.2% | -2.8% | partly | 219 |
| The golden cross (50/200) | 314.8% | ×19 | -5.7% | -4.2% | overfit | 47 |
| Stochastic: oversold cross (14, 3) | 138.9% | ×19 | -7.7% | -6.2% | overfit | 400 |
| The Turtles: 55-day breakout | 136.2% | ×19 | -7.7% | -6.3% | overfit | 119 |
| Bounce off the lower Bollinger band | 117.2% | ×19 | -8.0% | -6.6% | overfit | 218 |
| Ichimoku: buy above the cloud | 107.8% | ×19 | -8.2% | -6.7% | overfit | 416 |
| Wyckoff: buying the accumulation | 96.4% | ×19 | -8.4% | -6.9% | overfit | 139 |
| 2-day RSI (the Connors rule) | 64.0% | ×19 | -9.0% | -7.6% | overfit | 626 |
| ICT / Smart Money: the fair value gap | -1.6% | ×19 | -10.8% | -9.4% | overfit | 214 |
| ICT / Smart Money: the order block | -1.8% | ×19 | -10.8% | -9.4% | overfit | 12 |
| Smart Money: the liquidity sweep | -9.9% | ×19 | -11.1% | -9.7% | overfit | 98 |
| The MACD cross (12/26/9) | -14.6% | ×19 | -11.3% | -9.9% | overfit | 619 |
| Supertrend: the line that changes colour | -26.7% | ×19 | -11.8% | -10.4% | overfit | 41 |
| Kaufman’s adaptive moving average (KAMA) | -37.6% | ×19 | -12.4% | -10.9% | overfit | 988 |
| ADX: trade only in strong trends | -41.3% | ×19 | -12.6% | -11.2% | overfit | 945 |
| Heikin Ashi: follow the coloured candles | -49.5% | ×19 | -13.1% | -11.7% | overfit | 1838 |
| Upper Bollinger band breakout | -55.2% | ×19 | -13.5% | -12.1% | overfit | 508 |
| Parabolic SAR: follow the dots | -60.3% | ×19 | -13.9% | -12.5% | overfit | 677 |
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