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Finaxion Research · Cartera con balance: Nasdaq-100 (máx. 20 posiciones)

Which strategy works on Cartera con balance: Nasdaq-100 (máx. 20 posiciones)?

On Cartera con balance: Nasdaq-100 (máx. 20 posiciones), 12 of 19 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.

Findings

On Cartera con balance: Nasdaq-100 (máx. 20 posiciones), 12 of 19 famous strategies beat buy-and-hold on daily bars, but 0 of them hold out of sample. The best is Only invest above the 200-day average: +11.2 points a year over buying and holding. The worst is Upper Bollinger band breakout: -24.8 points a year against buy-and-hold.

  1. On Cartera con balance: Nasdaq-100 (máx. 20 posiciones), 12 of 19 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
  2. The best is Only invest above the 200-day average: +11.2 points a year over buying and holding Cartera con balance: Nasdaq-100 (máx. 20 posiciones).
  3. The worst is Upper Bollinger band breakout: -24.8 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
Only invest above the 200-day average×796×32+11.2%+11.2%—3770
The golden cross (50/200)×681×32+10.6%+10.6%—1474
Wyckoff: buying the accumulation×640×32+10.4%+10.4%—8748
Supertrend: the line that changes colour×593×32+10.1%+10.1%—518
Stochastic: oversold cross (14, 3)×448×32+9.1%+9.1%—19667
The Turtles: 55-day breakout×430×32+9.0%+9.0%—3463
Ichimoku: buy above the cloud×283×32+7.5%+7.5%—10765
2-day RSI (the Connors rule)×241×32+6.9%+6.9%—26614
RSI 14: buy oversold (30/70)×168×32+5.6%+5.6%—536
The MACD cross (12/26/9)×148×32+5.2%+5.2%—26597
Bounce off the lower Bollinger band×115×32+4.3%+4.3%—14040
ADX: trade only in strong trends×47×32+1.3%+1.3%—32324
Parabolic SAR: follow the dots×19×32-1.7%-1.8%—29739
Kaufman’s adaptive moving average (KAMA)×15×32-2.4%-2.4%—33490
Heikin Ashi: follow the coloured candles3.1%×32-10.8%-10.8%—73533
ICT / Smart Money: the order block-50.1%×32-12.9%-12.9%—858
ICT / Smart Money: the fair value gap-73.8%×32-14.8%-14.8%—14696
Smart Money: the liquidity sweep-80.8%×32-15.6%-15.7%—6792
Upper Bollinger band breakout-99.4%×32-24.8%-24.8%—32510

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