On TDY, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On TDY, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is Stochastic: oversold cross (14, 3) at -6.0 points a year over buying and holding TDY, while the worst is Ichimoku: buy above the cloud at -18.9 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 |
|---|---|---|---|---|---|---|
| Stochastic: oversold cross (14, 3) | ×18 | ×73 | -6.0% | +3.0% | partly | 381 |
| “Sell in May and go away” | 792.5% | ×73 | -8.8% | +0.1% | overfit | 53 |
| The golden cross (50/200) | 643.5% | ×73 | -9.6% | -0.6% | overfit | 35 |
| Supertrend: the line that changes colour | 575.7% | ×73 | -10.0% | -1.0% | overfit | 28 |
| Bounce off the lower Bollinger band | 329.0% | ×73 | -11.8% | -2.8% | overfit | 228 |
| 2-day RSI (the Connors rule) | 326.9% | ×73 | -11.8% | -2.8% | partly | 593 |
| RSI 14: buy oversold (30/70) | 305.9% | ×73 | -12.0% | -3.0% | overfit | 37 |
| The MACD cross (12/26/9) | 177.7% | ×73 | -13.5% | -4.5% | overfit | 556 |
| Wyckoff: buying the accumulation | 157.2% | ×73 | -13.8% | -4.8% | overfit | 174 |
| Parabolic SAR: follow the dots | 94.0% | ×73 | -14.9% | -5.9% | overfit | 612 |
| Only invest above the 200-day average | 66.8% | ×73 | -15.4% | -6.5% | overfit | 255 |
| Kaufman’s adaptive moving average (KAMA) | 10.7% | ×73 | -17.0% | -8.0% | overfit | 1018 |
| Smart Money: the liquidity sweep | 6.1% | ×73 | -17.1% | -8.2% | overfit | 92 |
| Upper Bollinger band breakout | 5.2% | ×73 | -17.2% | -8.2% | overfit | 416 |
| ADX: trade only in strong trends | 4.8% | ×73 | -17.2% | -8.2% | overfit | 904 |
| ICT / Smart Money: the fair value gap | 0.8% | ×73 | -17.3% | -8.4% | overfit | 174 |
| ICT / Smart Money: the order block | -3.9% | ×73 | -17.5% | -8.6% | overfit | 22 |
| The Turtles: 55-day breakout | -23.5% | ×73 | -18.4% | -9.4% | overfit | 122 |
| Heikin Ashi: follow the coloured candles | -29.2% | ×73 | -18.7% | -9.7% | overfit | 1780 |
| Ichimoku: buy above the cloud | -33.0% | ×73 | -18.9% | -9.9% | overfit | 448 |
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