On SPG, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On SPG, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is Supertrend: the line that changes colour: -1.6 points a year over buying and holding SPG. The worst is Heikin Ashi: follow the coloured candles: -17.3 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 |
|---|---|---|---|---|---|---|
| Supertrend: the line that changes colour | ×34 | ×54 | -1.6% | +0.5% | overfit | 41 |
| The golden cross (50/200) | ×32 | ×54 | -1.8% | +0.3% | partly | 37 |
| “Sell in May and go away” | ×12 | ×54 | -5.0% | -2.9% | — | 65 |
| Only invest above the 200-day average | 982.2% | ×54 | -5.4% | -3.3% | overfit | 273 |
| RSI 14: buy oversold (30/70) | 369.6% | ×54 | -8.1% | -6.0% | overfit | 56 |
| Ichimoku: buy above the cloud | 332.5% | ×54 | -8.4% | -6.3% | overfit | 442 |
| The MACD cross (12/26/9) | 282.2% | ×54 | -8.8% | -6.7% | overfit | 634 |
| Wyckoff: buying the accumulation | 208.0% | ×54 | -9.5% | -7.4% | overfit | 176 |
| Bounce off the lower Bollinger band | 160.5% | ×54 | -10.0% | -7.9% | overfit | 256 |
| The Turtles: 55-day breakout | 138.5% | ×54 | -10.3% | -8.2% | overfit | 146 |
| Stochastic: oversold cross (14, 3) | 88.6% | ×54 | -11.0% | -8.9% | overfit | 431 |
| Kaufman’s adaptive moving average (KAMA) | 84.6% | ×54 | -11.1% | -9.0% | overfit | 1212 |
| ICT / Smart Money: the fair value gap | 49.2% | ×54 | -11.8% | -9.7% | overfit | 194 |
| Smart Money: the liquidity sweep | 34.7% | ×54 | -12.1% | -10.0% | overfit | 102 |
| Parabolic SAR: follow the dots | 29.4% | ×54 | -12.2% | -10.1% | overfit | 752 |
| 2-day RSI (the Connors rule) | 23.4% | ×54 | -12.3% | -10.3% | overfit | 707 |
| ADX: trade only in strong trends | 9.1% | ×54 | -12.7% | -10.6% | overfit | 1022 |
| ICT / Smart Money: the order block | 0.4% | ×54 | -13.0% | -10.9% | overfit | 22 |
| Upper Bollinger band breakout | -38.5% | ×54 | -14.5% | -12.4% | overfit | 580 |
| Heikin Ashi: follow the coloured candles | -76.6% | ×54 | -17.3% | -15.2% | overfit | 2140 |
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