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Finaxion Research · PM

Which strategy works on PM?

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

Findings

On PM, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is RSI 14: buy oversold (30/70), at -1.6 points a year over buying and holding PM, while the worst is 2-day RSI (the Connors rule), at -14.8 points a year against buy-and-hold.

  1. On PM, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
  2. The best is RSI 14: buy oversold (30/70): -1.6 points a year over buying and holding PM.
  3. The worst is 2-day RSI (the Connors rule): -14.8 points a year against buy-and-hold.

The 20 strategies, one by one

StrategyReturnBuy and holdExcess (pts/yr)Vs. S&P 500 (pts/yr)Out of sampleTrades
RSI 14: buy oversold (30/70)578.0%785.7%-1.6%-1.3%—42
“Sell in May and go away”319.2%785.7%-4.5%-4.1%—37
ADX: trade only in strong trends201.1%785.7%-6.4%-6.1%—569
Supertrend: the line that changes colour192.3%785.7%-6.6%-6.2%—33
Only invest above the 200-day average160.5%785.7%-7.2%-6.9%—177
Bounce off the lower Bollinger band155.8%785.7%-7.3%-7.0%—156
Kaufman’s adaptive moving average (KAMA)132.9%785.7%-7.8%-7.5%—641
Stochastic: oversold cross (14, 3)132.8%785.7%-7.9%-7.5%—252
Heikin Ashi: follow the coloured candles130.5%785.7%-7.9%-7.6%—1176
The golden cross (50/200)123.8%785.7%-8.1%-7.8%—37
The MACD cross (12/26/9)101.1%785.7%-8.7%-8.3%—381
Wyckoff: buying the accumulation91.0%785.7%-9.0%-8.6%—82
Parabolic SAR: follow the dots80.5%785.7%-9.3%-9.0%—415
Ichimoku: buy above the cloud69.6%785.7%-9.6%-9.3%—271
The Turtles: 55-day breakout38.0%785.7%-10.8%-10.5%—77
Smart Money: the liquidity sweep1.9%785.7%-12.4%-12.1%—56
ICT / Smart Money: the order block-2.5%785.7%-12.7%-12.4%—12
ICT / Smart Money: the fair value gap-15.0%785.7%-13.4%-13.1%—148
Upper Bollinger band breakout-27.9%785.7%-14.3%-14.0%—274
2-day RSI (the Connors rule)-34.7%785.7%-14.8%-14.5%—410

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