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Finaxion Research · TPR

Which strategy works on TPR?

On TPR, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.

Findings

On TPR, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is "Sell in May and go away": +0.8 points a year over buying and holding TPR. The worst is Heikin Ashi: follow the coloured candles: -24.2 points a year against buy-and-hold.

  1. On TPR, 1 of 20 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”: +0.8 points a year over buying and holding TPR.
  3. The worst is Heikin Ashi: follow the coloured candles: -24.2 points a year against buy-and-hold.

The 20 strategies, one by one

StrategyReturnBuy and holdExcess (pts/yr)Vs. S&P 500 (pts/yr)Out of sampleTrades
“Sell in May and go away”×93×79+0.8%+10.4%—52
Ichimoku: buy above the cloud×17×79-6.9%+2.8%overfit284
Only invest above the 200-day average×15×79-7.2%+2.5%overfit164
The golden cross (50/200)×13×79-7.8%+1.9%overfit39
Supertrend: the line that changes colour×13×79-7.9%+1.8%overfit42
RSI 14: buy oversold (30/70)×12×79-8.2%+1.5%overfit48
The Turtles: 55-day breakout846.0%×79-9.3%+0.4%overfit102
2-day RSI (the Connors rule)787.0%×79-9.5%+0.1%overfit591
Stochastic: oversold cross (14, 3)477.2%×79-11.3%-1.7%overfit339
Wyckoff: buying the accumulation361.2%×79-12.3%-2.6%overfit160
ADX: trade only in strong trends113.5%×79-15.4%-5.7%overfit832
Smart Money: the liquidity sweep105.8%×79-15.5%-5.8%overfit108
Kaufman’s adaptive moving average (KAMA)90.6%×79-15.8%-6.1%overfit920
Bounce off the lower Bollinger band15.0%×79-17.8%-8.1%overfit217
ICT / Smart Money: the fair value gap10.1%×79-18.0%-8.3%overfit194
ICT / Smart Money: the order block9.5%×79-18.0%-8.3%—4
Parabolic SAR: follow the dots-13.3%×79-18.9%-9.2%overfit602
The MACD cross (12/26/9)-29.1%×79-19.7%-10.0%overfit510
Upper Bollinger band breakout-52.9%×79-21.2%-11.5%overfit418
Heikin Ashi: follow the coloured candles-79.0%×79-24.2%-14.5%overfit1804

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