On REG, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On REG, 0 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): -1.7 points a year over buying and holding REG. The worst is Heikin Ashi: follow the coloured candles: -13.6 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) | ×13 | ×21 | -1.7% | -2.7% | overfit | 49 |
| “Sell in May and go away” | ×11 | ×21 | -2.1% | -3.2% | — | 66 |
| Stochastic: oversold cross (14, 3) | 778.5% | ×21 | -2.9% | -4.0% | overfit | 481 |
| Only invest above the 200-day average | 401.2% | ×21 | -4.7% | -5.8% | overfit | 307 |
| RSI 14: buy oversold (30/70) | 384.7% | ×21 | -4.9% | -5.9% | overfit | 53 |
| Bounce off the lower Bollinger band | 302.9% | ×21 | -5.4% | -6.5% | overfit | 269 |
| Supertrend: the line that changes colour | 213.2% | ×21 | -6.2% | -7.3% | overfit | 64 |
| 2-day RSI (the Connors rule) | 129.0% | ×21 | -7.2% | -8.3% | overfit | 771 |
| The MACD cross (12/26/9) | 62.7% | ×21 | -8.3% | -9.3% | overfit | 700 |
| The Turtles: 55-day breakout | 50.0% | ×21 | -8.5% | -9.6% | overfit | 140 |
| Ichimoku: buy above the cloud | 43.1% | ×21 | -8.7% | -9.7% | overfit | 472 |
| Smart Money: the liquidity sweep | 7.7% | ×21 | -9.6% | -10.6% | overfit | 94 |
| ICT / Smart Money: the order block | 6.6% | ×21 | -9.6% | -10.6% | overfit | 18 |
| ICT / Smart Money: the fair value gap | 5.4% | ×21 | -9.6% | -10.7% | overfit | 258 |
| ADX: trade only in strong trends | -19.3% | ×21 | -10.4% | -11.5% | overfit | 1052 |
| Kaufman’s adaptive moving average (KAMA) | -22.4% | ×21 | -10.6% | -11.6% | overfit | 1240 |
| Parabolic SAR: follow the dots | -27.3% | ×21 | -10.8% | -11.8% | overfit | 744 |
| Wyckoff: buying the accumulation | -39.3% | ×21 | -11.3% | -12.3% | overfit | 174 |
| Upper Bollinger band breakout | -54.3% | ×21 | -12.1% | -13.2% | overfit | 546 |
| Heikin Ashi: follow the coloured candles | -71.8% | ×21 | -13.6% | -14.6% | overfit | 2154 |
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