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Finaxion Research · Cartera con balance: Dow 30 (máx. 10 posiciones)

Which strategy works on Cartera con balance: Dow 30 (máx. 10 posiciones)?

On Cartera con balance: Dow 30 (máx. 10 posiciones), 5 of 19 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.

Findings

On Cartera con balance: Dow 30 (máx. 10 posiciones), 5 of 19 famous strategies beat buy-and-hold on daily bars, but 0 of them hold out of sample. The best is 2-day RSI (the Connors rule) at +7.9 points a year over buying and holding, while the worst is Upper Bollinger band breakout at -26.5 points a year against buy-and-hold.

  1. On Cartera con balance: Dow 30 (máx. 10 posiciones), 5 of 19 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
  2. The best is 2-day RSI (the Connors rule): +7.9 points a year over buying and holding Cartera con balance: Dow 30 (máx. 10 posiciones).
  3. The worst is Upper Bollinger band breakout: -26.5 points a year against buy-and-hold.

The 19 strategies, one by one

StrategyReturnBuy and holdExcess (pts/yr)Vs. S&P 500 (pts/yr)Out of sampleTrades
2-day RSI (the Connors rule)×322×32+7.9%+7.9%—8939
The golden cross (50/200)×297×32+7.7%+7.6%—676
Only invest above the 200-day average×294×32+7.6%+7.6%—1728
Stochastic: oversold cross (14, 3)×180×32+5.9%+5.9%—8822
Ichimoku: buy above the cloud×39×32+0.7%+0.7%—4918
Supertrend: the line that changes colour×22×32-1.2%-1.2%—187
Wyckoff: buying the accumulation×21×32-1.3%-1.3%—3889
Bounce off the lower Bollinger band×18×32-1.9%-1.9%—5444
Parabolic SAR: follow the dots×12×32-3.2%-3.2%—14088
The MACD cross (12/26/9)486.9%×32-5.4%-5.4%—12168
ADX: trade only in strong trends417.1%×32-5.8%-5.8%—15164
The Turtles: 55-day breakout303.1%×32-6.6%-6.6%—1075
Kaufman’s adaptive moving average (KAMA)253.6%×32-7.0%-7.0%—13318
RSI 14: buy oversold (30/70)193.6%×32-7.6%-7.6%—206
ICT / Smart Money: the order block-33.0%×32-12.0%-12.0%—472
Heikin Ashi: follow the coloured candles-53.7%×32-13.1%-13.1%—34156
ICT / Smart Money: the fair value gap-90.8%×32-17.7%-17.7%—6022
Smart Money: the liquidity sweep-92.2%×32-18.2%-18.2%—2820
Upper Bollinger band breakout-99.7%×32-26.5%-26.5%—12357

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