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Finaxion Research · SW

Which strategy works on SW?

On SW, 0 of 19 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.

Findings

On SW, 0 of 19 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" at -1.1 points a year over buying and holding SW, while the worst is Kaufman's adaptive moving average (KAMA) at -16.6 points a year against buy-and-hold.

  1. On SW, 0 of 19 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
  2. The best is “Sell in May and go away”: -1.1 points a year over buying and holding SW.
  3. The worst is Kaufman’s adaptive moving average (KAMA): -16.6 points a year against buy-and-hold.

The 19 strategies, one by one

StrategyReturnBuy and holdExcess (pts/yr)Vs. S&P 500 (pts/yr)Out of sampleTrades
“Sell in May and go away”631.1%775.0%-1.1%-0.5%—36
Only invest above the 200-day average240.2%775.0%-5.7%-5.1%—115
Bounce off the lower Bollinger band218.7%775.0%-6.1%-5.4%—168
RSI 14: buy oversold (30/70)192.2%775.0%-6.6%-5.9%—63
The golden cross (50/200)185.7%775.0%-6.7%-6.1%—25
Ichimoku: buy above the cloud167.9%775.0%-7.1%-6.5%—179
The MACD cross (12/26/9)131.3%775.0%-7.9%-7.3%—302
2-day RSI (the Connors rule)104.8%775.0%-8.6%-8.0%—350
The Turtles: 55-day breakout103.7%775.0%-8.7%-8.0%—91
Supertrend: the line that changes colour58.0%775.0%-10.1%-9.5%—189
ADX: trade only in strong trends49.8%775.0%-10.4%-9.8%—403
Upper Bollinger band breakout47.1%775.0%-10.5%-9.9%—262
Stochastic: oversold cross (14, 3)34.3%775.0%-11.0%-10.4%—172
ICT / Smart Money: the fair value gap3.9%775.0%-12.4%-11.8%—344
Smart Money: the liquidity sweep3.2%775.0%-12.5%-11.8%—8
Parabolic SAR: follow the dots-22.1%775.0%-14.0%-13.4%—208
Wyckoff: buying the accumulation-36.8%775.0%-15.1%-14.5%—43
Heikin Ashi: follow the coloured candles-47.5%775.0%-16.1%-15.5%—710
Kaufman’s adaptive moving average (KAMA)-52.3%775.0%-16.6%-16.0%—457

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