On STX, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On STX, 1 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: +1.1 points a year over buying and holding STX. The worst is Bounce off the lower Bollinger band: -28.2 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 |
|---|---|---|---|---|---|---|
| Supertrend: the line that changes colour | ×193 | ×157 | +1.1% | +13.5% | partly | 43 |
| Ichimoku: buy above the cloud | ×156 | ×157 | +0.0% | +12.3% | overfit | 242 |
| ADX: trade only in strong trends | ×141 | ×157 | -0.5% | +11.8% | overfit | 714 |
| The MACD cross (12/26/9) | ×87 | ×157 | -3.0% | +9.3% | partly | 436 |
| Kaufman’s adaptive moving average (KAMA) | ×76 | ×157 | -3.7% | +8.7% | overfit | 818 |
| Parabolic SAR: follow the dots | ×65 | ×157 | -4.5% | +7.9% | overfit | 522 |
| The golden cross (50/200) | ×64 | ×157 | -4.5% | +7.8% | overfit | 29 |
| Only invest above the 200-day average | ×52 | ×157 | -5.6% | +6.7% | overfit | 145 |
| “Sell in May and go away” | ×50 | ×157 | -5.8% | +6.5% | — | 47 |
| The Turtles: 55-day breakout | ×44 | ×157 | -6.4% | +5.9% | overfit | 90 |
| Heikin Ashi: follow the coloured candles | ×19 | ×157 | -10.5% | +1.9% | overfit | 1522 |
| Wyckoff: buying the accumulation | 432.9% | ×157 | -16.4% | -4.1% | overfit | 158 |
| ICT / Smart Money: the fair value gap | 52.9% | ×157 | -22.0% | -9.6% | overfit | 148 |
| Stochastic: oversold cross (14, 3) | 23.8% | ×157 | -22.9% | -10.5% | overfit | 321 |
| 2-day RSI (the Connors rule) | 8.6% | ×157 | -23.4% | -11.1% | overfit | 570 |
| Smart Money: the liquidity sweep | -5.6% | ×157 | -24.0% | -11.7% | overfit | 78 |
| ICT / Smart Money: the order block | -15.4% | ×157 | -24.5% | -12.1% | — | 4 |
| Upper Bollinger band breakout | -19.1% | ×157 | -24.7% | -12.3% | overfit | 400 |
| RSI 14: buy oversold (30/70) | -24.7% | ×157 | -25.0% | -12.6% | overfit | 42 |
| Bounce off the lower Bollinger band | -66.1% | ×157 | -28.2% | -15.9% | overfit | 188 |
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