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Finaxion Research · RCL

Which strategy works on RCL?

On RCL, 3 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.

Findings

On RCL, 3 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is Supertrend: the line that changes colour: +4.6 points a year over buying and holding RCL. The worst is Stochastic: oversold cross (14, 3): -18.4 points a year against buy-and-hold.

  1. On RCL, 3 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
  2. The best is Supertrend: the line that changes colour: +4.6 points a year over buying and holding RCL.
  3. The worst is Stochastic: oversold cross (14, 3): -18.4 points a year against buy-and-hold.

The 20 strategies, one by one

StrategyReturnBuy and holdExcess (pts/yr)Vs. S&P 500 (pts/yr)Out of sampleTrades
Supertrend: the line that changes colour×181×47+4.6%+6.0%—55
ADX: trade only in strong trends×57×47+0.7%+2.0%overfit1054
Kaufman’s adaptive moving average (KAMA)×48×47+0.1%+1.4%partly1080
The MACD cross (12/26/9)×37×47-0.8%+0.5%overfit664
Only invest above the 200-day average×23×47-2.4%-1.1%partly242
The golden cross (50/200)×13×47-4.2%-2.9%overfit47
Ichimoku: buy above the cloud692.8%×47-5.8%-4.5%overfit432
The Turtles: 55-day breakout617.4%×47-6.1%-4.8%partly135
“Sell in May and go away”559.0%×47-6.4%-5.1%—67
Heikin Ashi: follow the coloured candles553.6%×47-6.4%-5.1%overfit2142
RSI 14: buy oversold (30/70)501.8%×47-6.7%-5.4%overfit68
Wyckoff: buying the accumulation432.1%×47-7.1%-5.8%overfit214
Parabolic SAR: follow the dots274.3%×47-8.2%-6.9%overfit734
ICT / Smart Money: the order block1.4%×47-12.2%-10.9%—8
ICT / Smart Money: the fair value gap0.0%×47-12.2%-10.9%overfit312
Smart Money: the liquidity sweep-36.1%×47-13.6%-12.3%overfit122
Upper Bollinger band breakout-47.6%×47-14.2%-12.8%overfit556
Bounce off the lower Bollinger band-60.2%×47-15.0%-13.7%overfit253
2-day RSI (the Connors rule)-77.1%×47-16.6%-15.3%overfit827
Stochastic: oversold cross (14, 3)-88.1%×47-18.4%-17.1%overfit439

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