On QQQ, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On QQQ, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is the golden cross (50/200): +0.2 points a year over buying and holding QQQ. The worst is Heikin Ashi: follow the coloured candles: -15.4 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 |
|---|---|---|---|---|---|---|
| The golden cross (50/200) | ×17 | ×17 | +0.2% | +2.4% | overfit | 33 |
| Only invest above the 200-day average | 589.0% | ×17 | -3.5% | -1.3% | overfit | 187 |
| 2-day RSI (the Connors rule) | 497.9% | ×17 | -4.0% | -1.8% | partly | 644 |
| Ichimoku: buy above the cloud | 355.5% | ×17 | -5.1% | -2.9% | overfit | 350 |
| “Sell in May and go away” | 269.3% | ×17 | -5.9% | -3.7% | overfit | 55 |
| ADX: trade only in strong trends | 193.6% | ×17 | -6.8% | -4.6% | overfit | 885 |
| The Turtles: 55-day breakout | 188.8% | ×17 | -6.8% | -4.6% | overfit | 128 |
| Wyckoff: buying the accumulation | 151.8% | ×17 | -7.4% | -5.1% | overfit | 118 |
| RSI 14: buy oversold (30/70) | 101.5% | ×17 | -8.2% | -6.0% | overfit | 46 |
| Parabolic SAR: follow the dots | 52.5% | ×17 | -9.2% | -7.0% | overfit | 678 |
| Bounce off the lower Bollinger band | 46.3% | ×17 | -9.4% | -7.2% | overfit | 228 |
| Stochastic: oversold cross (14, 3) | 4.9% | ×17 | -10.6% | -8.4% | overfit | 347 |
| Supertrend: the line that changes colour | 4.6% | ×17 | -10.6% | -8.4% | overfit | 37 |
| ICT / Smart Money: the order block | -7.2% | ×17 | -11.0% | -8.8% | — | 10 |
| Smart Money: the liquidity sweep | -16.7% | ×17 | -11.4% | -9.2% | overfit | 102 |
| ICT / Smart Money: the fair value gap | -17.8% | ×17 | -11.5% | -9.3% | overfit | 210 |
| The MACD cross (12/26/9) | -20.5% | ×17 | -11.6% | -9.4% | overfit | 560 |
| Upper Bollinger band breakout | -39.0% | ×17 | -12.6% | -10.4% | overfit | 358 |
| Kaufman’s adaptive moving average (KAMA) | -47.7% | ×17 | -13.1% | -10.9% | overfit | 1023 |
| Heikin Ashi: follow the coloured candles | -73.0% | ×17 | -15.4% | -13.2% | overfit | 1777 |
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