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Finaxion Research · SBAC

Which strategy works on SBAC?

On SBAC, 6 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.

Findings

On SBAC, 6 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is the MACD cross (12/26/9): +4.7 points a year over buying and holding SBAC. The worst is 2-day RSI (the Connors rule): -25.2 points a year against buy-and-hold.

  1. On SBAC, 6 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
  2. The best is the MACD cross (12/26/9): +4.7 points a year over buying and holding SBAC.
  3. The worst is 2-day RSI (the Connors rule): -25.2 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
The MACD cross (12/26/9)×72×24+4.7%+8.5%overfit551
Heikin Ashi: follow the coloured candles×65×24+4.3%+8.1%overfit1777
Kaufman’s adaptive moving average (KAMA)×64×24+4.2%+8.0%overfit933
Only invest above the 200-day average×56×24+3.6%+7.4%overfit180
“Sell in May and go away”×32×24+1.3%+5.1%overfit54
The golden cross (50/200)×25×24+0.2%+4.0%overfit32
Supertrend: the line that changes colour×18×24-1.0%+2.8%partly27
The Turtles: 55-day breakout×18×24-1.2%+2.6%overfit96
Parabolic SAR: follow the dots×15×24-1.9%+1.9%overfit617
Ichimoku: buy above the cloud×13×24-2.3%+1.5%overfit362
Wyckoff: buying the accumulation×12×24-2.7%+1.1%overfit161
ADX: trade only in strong trends629.7%×24-4.7%-0.9%overfit905
Stochastic: oversold cross (14, 3)116.8%×24-9.4%-5.6%overfit378
ICT / Smart Money: the order block8.9%×24-12.0%-8.2%overfit12
Smart Money: the liquidity sweep4.7%×24-12.1%-8.3%overfit86
Upper Bollinger band breakout-25.3%×24-13.4%-9.6%overfit456
ICT / Smart Money: the fair value gap-33.3%×24-13.8%-10.0%overfit178
Bounce off the lower Bollinger band-34.5%×24-13.9%-10.1%overfit198
RSI 14: buy oversold (30/70)-65.0%×24-16.1%-12.3%overfit38
2-day RSI (the Connors rule)-97.7%×24-25.2%-21.4%overfit616

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