On TKO, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On TKO, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is Wyckoff: buying the accumulation: +1.8 points a year over buying and holding TKO. The worst is Kaufman’s adaptive moving average (KAMA): -12.8 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 |
|---|---|---|---|---|---|---|
| Wyckoff: buying the accumulation | ×26 | ×17 | +1.8% | +4.2% | overfit | 183 |
| Supertrend: the line that changes colour | ×13 | ×17 | -1.1% | +1.3% | overfit | 36 |
| “Sell in May and go away” | ×12 | ×17 | -1.4% | +1.0% | — | 54 |
| The golden cross (50/200) | 675.2% | ×17 | -3.3% | -0.9% | overfit | 40 |
| The Turtles: 55-day breakout | 493.0% | ×17 | -4.4% | -1.9% | overfit | 102 |
| Only invest above the 200-day average | 489.1% | ×17 | -4.4% | -2.0% | overfit | 214 |
| The MACD cross (12/26/9) | 383.1% | ×17 | -5.2% | -2.8% | overfit | 516 |
| Parabolic SAR: follow the dots | 121.3% | ×17 | -8.2% | -5.8% | overfit | 574 |
| RSI 14: buy oversold (30/70) | 111.0% | ×17 | -8.4% | -6.0% | overfit | 50 |
| Bounce off the lower Bollinger band | 54.4% | ×17 | -9.6% | -7.2% | overfit | 222 |
| Stochastic: oversold cross (14, 3) | 52.1% | ×17 | -9.6% | -7.2% | overfit | 366 |
| Ichimoku: buy above the cloud | 46.7% | ×17 | -9.8% | -7.4% | overfit | 402 |
| 2-day RSI (the Connors rule) | 43.5% | ×17 | -9.9% | -7.4% | overfit | 605 |
| ADX: trade only in strong trends | 25.6% | ×17 | -10.4% | -8.0% | overfit | 834 |
| Upper Bollinger band breakout | 22.9% | ×17 | -10.4% | -8.0% | overfit | 448 |
| Heikin Ashi: follow the coloured candles | 17.0% | ×17 | -10.6% | -8.2% | overfit | 1752 |
| ICT / Smart Money: the order block | -0.6% | ×17 | -11.2% | -8.8% | overfit | 14 |
| Smart Money: the liquidity sweep | -3.7% | ×17 | -11.4% | -8.9% | overfit | 108 |
| ICT / Smart Money: the fair value gap | -26.2% | ×17 | -12.3% | -9.9% | overfit | 168 |
| Kaufman’s adaptive moving average (KAMA) | -34.2% | ×17 | -12.8% | -10.4% | overfit | 992 |
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