On RSG, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On RSG, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is "Sell in May and go away" at -1.5 points a year over buying and holding RSG, while the worst is Heikin Ashi: follow the coloured candles at -15.6 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 |
|---|---|---|---|---|---|---|
| “Sell in May and go away” | ×14 | ×21 | -1.5% | +1.0% | overfit | 56 |
| RSI 14: buy oversold (30/70) | ×11 | ×21 | -2.3% | +0.2% | overfit | 53 |
| Only invest above the 200-day average | 297.9% | ×21 | -6.3% | -3.8% | overfit | 211 |
| The golden cross (50/200) | 281.3% | ×21 | -6.5% | -4.0% | overfit | 39 |
| The MACD cross (12/26/9) | 249.1% | ×21 | -6.8% | -4.3% | overfit | 575 |
| Supertrend: the line that changes colour | 108.6% | ×21 | -8.7% | -6.2% | overfit | 38 |
| Parabolic SAR: follow the dots | 97.4% | ×21 | -8.9% | -6.4% | overfit | 633 |
| Stochastic: oversold cross (14, 3) | 97.0% | ×21 | -8.9% | -6.4% | overfit | 368 |
| 2-day RSI (the Connors rule) | 67.0% | ×21 | -9.5% | -7.0% | overfit | 592 |
| Wyckoff: buying the accumulation | 54.9% | ×21 | -9.8% | -7.3% | overfit | 147 |
| ADX: trade only in strong trends | 10.2% | ×21 | -11.0% | -8.5% | overfit | 867 |
| Ichimoku: buy above the cloud | 3.4% | ×21 | -11.3% | -8.7% | overfit | 427 |
| ICT / Smart Money: the order block | -8.6% | ×21 | -11.7% | -9.2% | overfit | 32 |
| ICT / Smart Money: the fair value gap | -19.2% | ×21 | -12.1% | -9.6% | overfit | 206 |
| Smart Money: the liquidity sweep | -26.0% | ×21 | -12.4% | -9.9% | overfit | 98 |
| Bounce off the lower Bollinger band | -26.4% | ×21 | -12.5% | -9.9% | overfit | 204 |
| The Turtles: 55-day breakout | -40.7% | ×21 | -13.2% | -10.7% | overfit | 132 |
| Upper Bollinger band breakout | -44.1% | ×21 | -13.4% | -10.9% | overfit | 474 |
| Kaufman’s adaptive moving average (KAMA) | -54.8% | ×21 | -14.2% | -11.6% | overfit | 983 |
| Heikin Ashi: follow the coloured candles | -70.6% | ×21 | -15.6% | -13.1% | overfit | 1850 |
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