On SRE, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On SRE, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is RSI 14: buy oversold (30/70): -2.9 points a year over buying and holding SRE. The worst is Heikin Ashi: follow the coloured candles: -15.2 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 |
|---|---|---|---|---|---|---|
| RSI 14: buy oversold (30/70) | 634.3% | ×16 | -2.9% | -1.5% | overfit | 47 |
| “Sell in May and go away” | 570.1% | ×16 | -3.3% | -1.9% | overfit | 56 |
| Stochastic: oversold cross (14, 3) | 499.2% | ×16 | -3.7% | -2.3% | partly | 399 |
| The golden cross (50/200) | 337.4% | ×16 | -4.9% | -3.5% | overfit | 40 |
| Supertrend: the line that changes colour | 118.0% | ×16 | -7.4% | -6.0% | overfit | 37 |
| Bounce off the lower Bollinger band | 94.8% | ×16 | -7.9% | -6.5% | overfit | 220 |
| Ichimoku: buy above the cloud | 76.4% | ×16 | -8.2% | -6.8% | overfit | 356 |
| Only invest above the 200-day average | 51.2% | ×16 | -8.8% | -7.4% | overfit | 304 |
| 2-day RSI (the Connors rule) | 44.7% | ×16 | -8.9% | -7.5% | overfit | 622 |
| Wyckoff: buying the accumulation | 44.6% | ×16 | -8.9% | -7.5% | overfit | 148 |
| The Turtles: 55-day breakout | 28.2% | ×16 | -9.4% | -8.0% | overfit | 118 |
| Smart Money: the liquidity sweep | 9.4% | ×16 | -9.9% | -8.5% | overfit | 74 |
| The MACD cross (12/26/9) | 2.6% | ×16 | -10.2% | -8.8% | overfit | 637 |
| ICT / Smart Money: the order block | -0.9% | ×16 | -10.3% | -8.9% | overfit | 22 |
| ICT / Smart Money: the fair value gap | -31.3% | ×16 | -11.6% | -10.2% | overfit | 178 |
| ADX: trade only in strong trends | -35.5% | ×16 | -11.8% | -10.4% | overfit | 950 |
| Kaufman’s adaptive moving average (KAMA) | -45.3% | ×16 | -12.4% | -11.0% | overfit | 1040 |
| Parabolic SAR: follow the dots | -62.7% | ×16 | -13.7% | -12.3% | overfit | 694 |
| Upper Bollinger band breakout | -74.4% | ×16 | -15.0% | -13.6% | overfit | 474 |
| Heikin Ashi: follow the coloured candles | -75.8% | ×16 | -15.2% | -13.8% | overfit | 1890 |
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