On SJM, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On SJM, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is Stochastic: oversold cross (14, 3), at -1.4 points a year over buying and holding SJM, while the worst is Heikin Ashi: follow the coloured candles, at -13.1 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 |
|---|---|---|---|---|---|---|
| Stochastic: oversold cross (14, 3) | 712.8% | ×12 | -1.4% | -4.2% | overfit | 440 |
| RSI 14: buy oversold (30/70) | 460.2% | ×12 | -2.6% | -5.5% | partly | 64 |
| Bounce off the lower Bollinger band | 434.0% | ×12 | -2.8% | -5.7% | overfit | 284 |
| “Sell in May and go away” | 272.4% | ×12 | -4.0% | -6.8% | — | 64 |
| 2-day RSI (the Connors rule) | 182.0% | ×12 | -4.9% | -7.7% | overfit | 738 |
| Supertrend: the line that changes colour | 112.7% | ×12 | -5.8% | -8.7% | overfit | 57 |
| Wyckoff: buying the accumulation | 98.3% | ×12 | -6.0% | -8.9% | overfit | 216 |
| The golden cross (50/200) | 69.0% | ×12 | -6.5% | -9.4% | overfit | 51 |
| Smart Money: the liquidity sweep | 37.7% | ×12 | -7.2% | -10.1% | overfit | 138 |
| ICT / Smart Money: the order block | 5.8% | ×12 | -8.0% | -10.9% | overfit | 12 |
| ICT / Smart Money: the fair value gap | -23.3% | ×12 | -9.0% | -11.9% | overfit | 272 |
| The Turtles: 55-day breakout | -47.6% | ×12 | -10.2% | -13.1% | overfit | 139 |
| The MACD cross (12/26/9) | -54.5% | ×12 | -10.6% | -13.5% | overfit | 659 |
| Ichimoku: buy above the cloud | -59.5% | ×12 | -11.0% | -13.9% | overfit | 443 |
| Kaufman’s adaptive moving average (KAMA) | -63.5% | ×12 | -11.3% | -14.2% | overfit | 1151 |
| Only invest above the 200-day average | -65.1% | ×12 | -11.4% | -14.3% | overfit | 365 |
| ADX: trade only in strong trends | -69.3% | ×12 | -11.8% | -14.7% | overfit | 1033 |
| Upper Bollinger band breakout | -70.6% | ×12 | -12.0% | -14.8% | overfit | 495 |
| Parabolic SAR: follow the dots | -77.4% | ×12 | -12.7% | -15.6% | overfit | 707 |
| Heikin Ashi: follow the coloured candles | -79.9% | ×12 | -13.1% | -16.0% | overfit | 2081 |
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