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Finaxion Research · Cartera con balance: S&P 500 (máx. 25 posiciones)

Which strategy works on Cartera con balance: S&P 500 (máx. 25 posiciones)?

On Cartera con balance: S&P 500 (máx. 25 posiciones), 8 of 19 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.

Findings

On Cartera con balance: S&P 500 (máx. 25 posiciones), 8 of 19 famous strategies beat buy-and-hold on daily bars, yet 0 of them hold out of sample. The best is RSI 14: buy oversold (30/70), at +8.2 points a year over buying and holding, while the worst is Upper Bollinger band breakout, at -32.5 points a year against buy-and-hold.

  1. On Cartera con balance: S&P 500 (máx. 25 posiciones), 8 of 19 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): +8.2 points a year over buying and holding Cartera con balance: S&P 500 (máx. 25 posiciones).
  3. The worst is Upper Bollinger band breakout: -32.5 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
RSI 14: buy oversold (30/70)×346×32+8.2%+8.2%—3210
2-day RSI (the Connors rule)×236×32+6.8%+6.8%—72412
Bounce off the lower Bollinger band×207×32+6.4%+6.4%—35007
Stochastic: oversold cross (14, 3)×172×32+5.7%+5.7%—28917
Supertrend: the line that changes colour×159×32+5.5%+5.5%—2125
Only invest above the 200-day average×98×32+3.8%+3.8%—5135
The golden cross (50/200)×91×32+3.6%+3.5%—2024
Wyckoff: buying the accumulation×35×32+0.4%+0.4%—10611
Ichimoku: buy above the cloud×13×32-2.9%-2.9%—14521
The Turtles: 55-day breakout232.4%×32-7.2%-7.2%—7439
The MACD cross (12/26/9)95.0%×32-8.8%-8.8%—36740
Kaufman’s adaptive moving average (KAMA)81.7%×32-9.0%-9.0%—51917
ADX: trade only in strong trends65.4%×32-9.3%-9.3%—44021
Parabolic SAR: follow the dots35.9%×32-9.9%-9.9%—40509
ICT / Smart Money: the fair value gap-87.4%×32-16.8%-16.8%—91658
Smart Money: the liquidity sweep-92.2%×32-18.2%-18.2%—36080
ICT / Smart Money: the order block-95.0%×32-19.4%-19.4%—5888
Heikin Ashi: follow the coloured candles-95.1%×32-19.5%-19.5%—100911
Upper Bollinger band breakout-100.0%×32-32.5%-32.5%—131566

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