On TDG, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On TDG, 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) at -9.2 points a year over buying and holding TDG, while the worst is ICT / Smart Money: the fair value gap at -28.0 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) | ×29 | ×134 | -9.2% | +6.8% | overfit | 24 |
| “Sell in May and go away” | ×16 | ×134 | -12.7% | +3.3% | overfit | 41 |
| Stochastic: oversold cross (14, 3) | ×15 | ×134 | -12.9% | +3.1% | partly | 283 |
| Only invest above the 200-day average | ×13 | ×134 | -13.8% | +2.1% | overfit | 144 |
| Supertrend: the line that changes colour | ×12 | ×134 | -14.3% | +1.7% | overfit | 30 |
| Wyckoff: buying the accumulation | 665.9% | ×134 | -16.6% | -0.6% | overfit | 114 |
| 2-day RSI (the Connors rule) | 576.2% | ×134 | -17.2% | -1.2% | overfit | 442 |
| RSI 14: buy oversold (30/70) | 412.7% | ×134 | -18.7% | -2.7% | overfit | 29 |
| Heikin Ashi: follow the coloured candles | 146.1% | ×134 | -22.5% | -6.5% | overfit | 1350 |
| Ichimoku: buy above the cloud | 123.4% | ×134 | -23.0% | -7.0% | overfit | 336 |
| The Turtles: 55-day breakout | 95.2% | ×134 | -23.7% | -7.7% | overfit | 96 |
| Bounce off the lower Bollinger band | 76.0% | ×134 | -24.2% | -8.2% | overfit | 153 |
| Parabolic SAR: follow the dots | 66.3% | ×134 | -24.5% | -8.5% | overfit | 480 |
| The MACD cross (12/26/9) | 65.0% | ×134 | -24.6% | -8.6% | overfit | 440 |
| ADX: trade only in strong trends | 35.7% | ×134 | -25.5% | -9.5% | overfit | 694 |
| Smart Money: the liquidity sweep | 7.6% | ×134 | -26.7% | -10.7% | overfit | 56 |
| ICT / Smart Money: the order block | -1.3% | ×134 | -27.1% | -11.1% | overfit | 16 |
| Kaufman’s adaptive moving average (KAMA) | -1.4% | ×134 | -27.1% | -11.1% | overfit | 778 |
| Upper Bollinger band breakout | -13.5% | ×134 | -27.8% | -11.8% | overfit | 360 |
| ICT / Smart Money: the fair value gap | -18.2% | ×134 | -28.0% | -12.0% | overfit | 178 |
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