On RMD, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On RMD, 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): -8.3 points a year over buying and holding RMD. The worst is Smart Money: the liquidity sweep: -21.5 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) | ×48 | ×434 | -8.3% | +2.4% | — | 44 |
| RSI 14: buy oversold (30/70) | ×47 | ×434 | -8.3% | +2.3% | partly | 71 |
| Parabolic SAR: follow the dots | ×33 | ×434 | -9.5% | +1.1% | overfit | 627 |
| The MACD cross (12/26/9) | ×23 | ×434 | -10.9% | -0.3% | partly | 585 |
| “Sell in May and go away” | ×20 | ×434 | -11.3% | -0.7% | overfit | 62 |
| Only invest above the 200-day average | ×17 | ×434 | -11.9% | -1.3% | — | 251 |
| Supertrend: the line that changes colour | ×14 | ×434 | -12.6% | -1.9% | overfit | 73 |
| Wyckoff: buying the accumulation | ×14 | ×434 | -12.6% | -1.9% | overfit | 191 |
| Stochastic: oversold cross (14, 3) | ×12 | ×434 | -13.0% | -2.4% | partly | 394 |
| Heikin Ashi: follow the coloured candles | 711.1% | ×434 | -14.5% | -3.9% | overfit | 2173 |
| The Turtles: 55-day breakout | 624.6% | ×434 | -14.9% | -4.2% | overfit | 133 |
| Kaufman’s adaptive moving average (KAMA) | 605.0% | ×434 | -15.0% | -4.3% | overfit | 1101 |
| 2-day RSI (the Connors rule) | 371.8% | ×434 | -16.3% | -5.7% | overfit | 718 |
| Ichimoku: buy above the cloud | 301.6% | ×434 | -16.9% | -6.2% | overfit | 385 |
| Bounce off the lower Bollinger band | 203.5% | ×434 | -17.8% | -7.2% | overfit | 248 |
| ADX: trade only in strong trends | 108.4% | ×434 | -19.1% | -8.4% | overfit | 965 |
| ICT / Smart Money: the fair value gap | 63.3% | ×434 | -19.9% | -9.2% | overfit | 278 |
| Upper Bollinger band breakout | 18.1% | ×434 | -20.9% | -10.3% | overfit | 516 |
| ICT / Smart Money: the order block | 8.5% | ×434 | -21.2% | -10.5% | — | 10 |
| Smart Money: the liquidity sweep | -2.6% | ×434 | -21.5% | -10.9% | overfit | 86 |
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