On PSKY, 16 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On PSKY, 16 of 20 famous strategies beat buy-and-hold on daily bars, but 0 of them hold out of sample. The best is Supertrend: the line that changes colour, at +15.3 points a year over buying and holding PSKY. The worst is RSI 14: buy oversold (30/70), at -3.7 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 |
|---|---|---|---|---|---|---|
| Supertrend: the line that changes colour | ×13 | -34.8% | +15.3% | +2.2% | overfit | 17 |
| The golden cross (50/200) | 384.9% | -34.8% | +10.0% | -3.2% | overfit | 22 |
| “Sell in May and go away” | 85.3% | -34.8% | +5.1% | -8.1% | — | 41 |
| ICT / Smart Money: the fair value gap | 72.1% | -34.8% | +4.7% | -8.4% | overfit | 124 |
| Kaufman’s adaptive moving average (KAMA) | 60.1% | -34.8% | +4.3% | -8.8% | overfit | 745 |
| The MACD cross (12/26/9) | 33.1% | -34.8% | +3.4% | -9.7% | overfit | 409 |
| The Turtles: 55-day breakout | 30.6% | -34.8% | +3.3% | -9.8% | overfit | 76 |
| Heikin Ashi: follow the coloured candles | 25.0% | -34.8% | +3.1% | -10.0% | overfit | 1343 |
| Wyckoff: buying the accumulation | 12.3% | -34.8% | +2.6% | -10.5% | overfit | 125 |
| ICT / Smart Money: the order block | 2.8% | -34.8% | +2.2% | -11.0% | — | 4 |
| Parabolic SAR: follow the dots | -2.7% | -34.8% | +1.9% | -11.2% | overfit | 463 |
| Ichimoku: buy above the cloud | -4.4% | -34.8% | +1.8% | -11.3% | overfit | 231 |
| Only invest above the 200-day average | -5.7% | -34.8% | +1.8% | -11.4% | overfit | 176 |
| Smart Money: the liquidity sweep | -15.4% | -34.8% | +1.2% | -11.9% | overfit | 74 |
| ADX: trade only in strong trends | -24.4% | -34.8% | +0.7% | -12.4% | overfit | 655 |
| Bounce off the lower Bollinger band | -26.3% | -34.8% | +0.6% | -12.6% | overfit | 170 |
| Stochastic: oversold cross (14, 3) | -64.3% | -34.8% | -2.8% | -16.0% | overfit | 280 |
| 2-day RSI (the Connors rule) | -66.5% | -34.8% | -3.1% | -16.2% | overfit | 486 |
| Upper Bollinger band breakout | -68.2% | -34.8% | -3.3% | -16.5% | overfit | 320 |
| RSI 14: buy oversold (30/70) | -70.5% | -34.8% | -3.7% | -16.8% | overfit | 36 |
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