On TLT, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On TLT, 0 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: -1.5 points a year over buying and holding TLT. The worst is Heikin Ashi: follow the coloured candles: -11.8 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 |
|---|---|---|---|---|---|---|
| Supertrend: the line that changes colour | 62.4% | 131.2% | -1.5% | -9.2% | overfit | 54 |
| The Turtles: 55-day breakout | 59.4% | 131.2% | -1.6% | -9.3% | overfit | 86 |
| The golden cross (50/200) | 41.1% | 131.2% | -2.1% | -9.8% | overfit | 44 |
| “Sell in May and go away” | 39.4% | 131.2% | -2.2% | -9.9% | overfit | 48 |
| Wyckoff: buying the accumulation | 32.1% | 131.2% | -2.4% | -10.1% | overfit | 171 |
| RSI 14: buy oversold (30/70) | 31.5% | 131.2% | -2.4% | -10.1% | overfit | 35 |
| Ichimoku: buy above the cloud | 29.0% | 131.2% | -2.5% | -10.2% | overfit | 306 |
| ICT / Smart Money: the fair value gap | 6.9% | 131.2% | -3.3% | -11.0% | overfit | 186 |
| ICT / Smart Money: the order block | -1.8% | 131.2% | -3.6% | -11.3% | overfit | 62 |
| Bounce off the lower Bollinger band | -1.9% | 131.2% | -3.6% | -11.3% | overfit | 184 |
| Parabolic SAR: follow the dots | -2.4% | 131.2% | -3.6% | -11.4% | overfit | 521 |
| Stochastic: oversold cross (14, 3) | -3.5% | 131.2% | -3.7% | -11.4% | overfit | 336 |
| Only invest above the 200-day average | -9.7% | 131.2% | -4.0% | -11.7% | overfit | 264 |
| Smart Money: the liquidity sweep | -13.4% | 131.2% | -4.1% | -11.9% | overfit | 70 |
| The MACD cross (12/26/9) | -16.3% | 131.2% | -4.3% | -12.0% | overfit | 479 |
| 2-day RSI (the Connors rule) | -21.6% | 131.2% | -4.6% | -12.3% | overfit | 520 |
| ADX: trade only in strong trends | -45.2% | 131.2% | -6.0% | -13.7% | overfit | 863 |
| Upper Bollinger band breakout | -51.7% | 131.2% | -6.5% | -14.2% | overfit | 420 |
| Kaufman’s adaptive moving average (KAMA) | -55.6% | 131.2% | -6.9% | -14.6% | overfit | 861 |
| Heikin Ashi: follow the coloured candles | -87.3% | 131.2% | -11.8% | -19.5% | overfit | 1738 |
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