On PRU, 0 of 19 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On PRU, 0 of 19 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 PRU. The worst is Heikin Ashi: follow the coloured candles, at -17.2 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 |
|---|---|---|---|---|---|---|
| RSI 14: buy oversold (30/70) | 497.3% | 767.8% | -1.6% | -2.6% | overfit | 44 |
| “Sell in May and go away” | 407.8% | 767.8% | -2.3% | -3.3% | overfit | 49 |
| Supertrend: the line that changes colour | 185.4% | 767.8% | -4.8% | -5.7% | partly | 34 |
| 2-day RSI (the Connors rule) | 172.5% | 767.8% | -5.0% | -5.9% | overfit | 560 |
| The golden cross (50/200) | 108.4% | 767.8% | -6.1% | -7.0% | overfit | 43 |
| Stochastic: oversold cross (14, 3) | 99.4% | 767.8% | -6.3% | -7.2% | overfit | 343 |
| Bounce off the lower Bollinger band | 68.8% | 767.8% | -7.0% | -7.9% | overfit | 208 |
| Only invest above the 200-day average | 52.3% | 767.8% | -7.4% | -8.3% | overfit | 239 |
| Ichimoku: buy above the cloud | 47.4% | 767.8% | -7.6% | -8.5% | overfit | 353 |
| The MACD cross (12/26/9) | 46.9% | 767.8% | -7.6% | -8.5% | overfit | 540 |
| ICT / Smart Money: the fair value gap | 23.1% | 767.8% | -8.3% | -9.2% | overfit | 192 |
| The Turtles: 55-day breakout | 0.0% | 767.8% | -9.1% | -10.1% | overfit | 111 |
| Smart Money: the liquidity sweep | -14.1% | 767.8% | -9.7% | -10.7% | overfit | 74 |
| ADX: trade only in strong trends | -16.5% | 767.8% | -9.9% | -10.8% | overfit | 808 |
| Wyckoff: buying the accumulation | -40.8% | 767.8% | -11.2% | -12.2% | overfit | 106 |
| Kaufman’s adaptive moving average (KAMA) | -41.2% | 767.8% | -11.3% | -12.2% | overfit | 915 |
| Upper Bollinger band breakout | -64.8% | 767.8% | -13.3% | -14.2% | overfit | 402 |
| Parabolic SAR: follow the dots | -74.6% | 767.8% | -14.5% | -15.5% | overfit | 574 |
| Heikin Ashi: follow the coloured candles | -87.3% | 767.8% | -17.2% | -18.1% | overfit | 1692 |
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