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Finaxion Research · SHOP

Which strategy works on SHOP?

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

Findings

On SHOP, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is the golden cross (50/200): -4.1 points a year over buying and holding SHOP, while the worst is ICT / Smart Money: the fair value gap: -49.0 points a year against buy-and-hold.

  1. On SHOP, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
  2. The best is the golden cross (50/200): -4.1 points a year over buying and holding SHOP.
  3. The worst is ICT / Smart Money: the fair value gap: -49.0 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 golden cross (50/200)×63×87-4.1%+30.5%—10
Only invest above the 200-day average×25×87-15.2%+19.4%—65
Ichimoku: buy above the cloud743.3%×87-27.7%+7.0%—137
Supertrend: the line that changes colour699.6%×87-28.2%+6.4%—17
Wyckoff: buying the accumulation699.3%×87-28.2%+6.4%—80
The Turtles: 55-day breakout678.1%×87-28.5%+6.1%—39
“Sell in May and go away”460.5%×87-32.0%+2.6%overfit22
Stochastic: oversold cross (14, 3)439.0%×87-32.4%+2.2%—154
ADX: trade only in strong trends417.2%×87-32.8%+1.8%—349
2-day RSI (the Connors rule)406.1%×87-33.0%+1.6%—238
Parabolic SAR: follow the dots253.2%×87-36.7%-2.0%—261
Kaufman’s adaptive moving average (KAMA)234.1%×87-37.2%-2.6%—393
RSI 14: buy oversold (30/70)178.0%×87-39.0%-4.4%—20
Heikin Ashi: follow the coloured candles131.1%×87-40.8%-6.2%—751
The MACD cross (12/26/9)103.1%×87-42.0%-7.4%—238
Bounce off the lower Bollinger band69.6%×87-43.7%-9.1%—72
Smart Money: the liquidity sweep3.0%×87-48.3%-13.6%—32
ICT / Smart Money: the order block-0.2%×87-48.5%-13.9%—2
Upper Bollinger band breakout-2.4%×87-48.7%-14.1%—206
ICT / Smart Money: the fair value gap-4.7%×87-49.0%-14.3%—76

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