On RL, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On RL, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is "Sell in May and go away": +0.3 points a year over buying and holding RL. The worst is Heikin Ashi: follow the coloured candles: -20.1 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 |
|---|---|---|---|---|---|---|
| “Sell in May and go away” | ×16 | ×15 | +0.3% | +0.5% | — | 58 |
| RSI 14: buy oversold (30/70) | 989.0% | ×15 | -1.1% | -1.0% | overfit | 52 |
| 2-day RSI (the Connors rule) | 827.6% | ×15 | -1.7% | -1.6% | partly | 693 |
| Stochastic: oversold cross (14, 3) | 798.5% | ×15 | -1.8% | -1.7% | partly | 421 |
| Bounce off the lower Bollinger band | 632.7% | ×15 | -2.6% | -2.5% | overfit | 260 |
| Wyckoff: buying the accumulation | 456.2% | ×15 | -3.6% | -3.5% | overfit | 191 |
| Supertrend: the line that changes colour | 373.7% | ×15 | -4.2% | -4.0% | overfit | 41 |
| The golden cross (50/200) | 141.0% | ×15 | -6.6% | -6.5% | overfit | 43 |
| Only invest above the 200-day average | 117.6% | ×15 | -7.0% | -6.8% | overfit | 218 |
| Ichimoku: buy above the cloud | 3.4% | ×15 | -9.5% | -9.4% | overfit | 410 |
| ICT / Smart Money: the fair value gap | -4.1% | ×15 | -9.8% | -9.7% | overfit | 242 |
| ICT / Smart Money: the order block | -6.4% | ×15 | -9.9% | -9.8% | overfit | 22 |
| Smart Money: the liquidity sweep | -32.9% | ×15 | -11.0% | -10.9% | overfit | 140 |
| Parabolic SAR: follow the dots | -37.9% | ×15 | -11.3% | -11.1% | overfit | 644 |
| The MACD cross (12/26/9) | -46.4% | ×15 | -11.8% | -11.6% | overfit | 586 |
| The Turtles: 55-day breakout | -63.6% | ×15 | -13.1% | -12.9% | overfit | 132 |
| ADX: trade only in strong trends | -74.9% | ×15 | -14.3% | -14.1% | overfit | 968 |
| Upper Bollinger band breakout | -78.6% | ×15 | -14.8% | -14.7% | overfit | 472 |
| Kaufman’s adaptive moving average (KAMA) | -80.0% | ×15 | -15.0% | -14.9% | overfit | 1082 |
| Heikin Ashi: follow the coloured candles | -96.0% | ×15 | -20.1% | -20.0% | overfit | 2012 |
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