On STLD, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On STLD, 1 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is "Sell in May and go away": +1.5 points a year over buying and holding STLD. The worst is Upper Bollinger band breakout: -17.9 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 |
|---|---|---|---|---|---|---|
| “Sell in May and go away” | ×116 | ×79 | +1.5% | +7.3% | overfit | 59 |
| ADX: trade only in strong trends | ×15 | ×79 | -6.3% | -0.5% | overfit | 958 |
| RSI 14: buy oversold (30/70) | ×13 | ×79 | -6.9% | -1.0% | overfit | 49 |
| Only invest above the 200-day average | 964.6% | ×79 | -7.5% | -1.7% | overfit | 251 |
| Supertrend: the line that changes colour | 766.5% | ×79 | -8.3% | -2.5% | partly | 40 |
| Kaufman’s adaptive moving average (KAMA) | 706.7% | ×79 | -8.5% | -2.7% | overfit | 1048 |
| The golden cross (50/200) | 427.9% | ×79 | -10.1% | -4.2% | overfit | 47 |
| Wyckoff: buying the accumulation | 307.4% | ×79 | -11.0% | -5.1% | overfit | 204 |
| The MACD cross (12/26/9) | 278.9% | ×79 | -11.2% | -5.4% | overfit | 612 |
| Parabolic SAR: follow the dots | 168.2% | ×79 | -12.4% | -6.6% | overfit | 684 |
| Ichimoku: buy above the cloud | 95.2% | ×79 | -13.5% | -7.7% | overfit | 430 |
| Stochastic: oversold cross (14, 3) | 75.8% | ×79 | -13.9% | -8.1% | overfit | 393 |
| The Turtles: 55-day breakout | 34.1% | ×79 | -14.8% | -9.0% | overfit | 126 |
| Bounce off the lower Bollinger band | 31.5% | ×79 | -14.9% | -9.1% | overfit | 249 |
| 2-day RSI (the Connors rule) | 24.8% | ×79 | -15.1% | -9.2% | overfit | 678 |
| Heikin Ashi: follow the coloured candles | 11.8% | ×79 | -15.4% | -9.6% | overfit | 1975 |
| ICT / Smart Money: the order block | -1.8% | ×79 | -15.9% | -10.1% | — | 6 |
| ICT / Smart Money: the fair value gap | -23.5% | ×79 | -16.7% | -10.9% | overfit | 250 |
| Smart Money: the liquidity sweep | -35.9% | ×79 | -17.3% | -11.5% | overfit | 90 |
| Upper Bollinger band breakout | -47.1% | ×79 | -17.9% | -12.1% | overfit | 514 |
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