On SPY, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On SPY, 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): -1.4 points a year over buying and holding SPY, while the worst is Heikin Ashi: follow the coloured candles: -14.9 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 |
|---|---|---|---|---|---|---|
| The golden cross (50/200) | ×21 | ×32 | -1.4% | -1.4% | partly | 31 |
| Only invest above the 200-day average | ×11 | ×32 | -3.3% | -3.3% | overfit | 215 |
| “Sell in May and go away” | 739.7% | ×32 | -4.3% | -4.3% | overfit | 67 |
| Supertrend: the line that changes colour | 590.9% | ×32 | -4.9% | -4.9% | overfit | 27 |
| RSI 14: buy oversold (30/70) | 350.0% | ×32 | -6.3% | -6.3% | overfit | 56 |
| Ichimoku: buy above the cloud | 303.6% | ×32 | -6.6% | -6.6% | overfit | 435 |
| 2-day RSI (the Connors rule) | 240.2% | ×32 | -7.1% | -7.1% | partly | 764 |
| Stochastic: oversold cross (14, 3) | 176.6% | ×32 | -7.8% | -7.8% | overfit | 423 |
| Wyckoff: buying the accumulation | 167.7% | ×32 | -7.9% | -7.9% | overfit | 178 |
| The MACD cross (12/26/9) | 108.9% | ×32 | -8.6% | -8.6% | overfit | 714 |
| The Turtles: 55-day breakout | 101.5% | ×32 | -8.7% | -8.7% | overfit | 163 |
| Bounce off the lower Bollinger band | 101.0% | ×32 | -8.7% | -8.8% | overfit | 294 |
| ADX: trade only in strong trends | 30.4% | ×32 | -10.1% | -10.1% | overfit | 1089 |
| Parabolic SAR: follow the dots | 17.1% | ×32 | -10.4% | -10.4% | overfit | 829 |
| ICT / Smart Money: the order block | 3.0% | ×32 | -10.8% | -10.8% | overfit | 34 |
| Smart Money: the liquidity sweep | -17.8% | ×32 | -11.4% | -11.4% | overfit | 116 |
| ICT / Smart Money: the fair value gap | -21.8% | ×32 | -11.6% | -11.6% | overfit | 296 |
| Upper Bollinger band breakout | -31.7% | ×32 | -12.0% | -12.0% | overfit | 462 |
| Kaufman’s adaptive moving average (KAMA) | -45.4% | ×32 | -12.6% | -12.6% | overfit | 1281 |
| Heikin Ashi: follow the coloured candles | -74.8% | ×32 | -14.9% | -14.9% | overfit | 2173 |
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