On TTWO, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On TTWO, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is Stochastic: oversold cross (14, 3): -6.4 points a year over buying and holding TTWO. The worst is Upper Bollinger band breakout: -19.8 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 |
|---|---|---|---|---|---|---|
| Stochastic: oversold cross (14, 3) | 925.2% | ×56 | -6.4% | -1.8% | — | 399 |
| RSI 14: buy oversold (30/70) | 769.2% | ×56 | -7.0% | -2.4% | overfit | 42 |
| “Sell in May and go away” | 539.0% | ×56 | -8.2% | -3.5% | overfit | 59 |
| Wyckoff: buying the accumulation | 241.3% | ×56 | -10.4% | -5.8% | overfit | 196 |
| Bounce off the lower Bollinger band | 221.4% | ×56 | -10.6% | -6.0% | overfit | 244 |
| The MACD cross (12/26/9) | 207.7% | ×56 | -10.8% | -6.2% | overfit | 586 |
| 2-day RSI (the Connors rule) | 153.4% | ×56 | -11.5% | -6.9% | overfit | 656 |
| Ichimoku: buy above the cloud | 115.1% | ×56 | -12.0% | -7.4% | overfit | 378 |
| ADX: trade only in strong trends | 101.3% | ×56 | -12.3% | -7.7% | overfit | 920 |
| Heikin Ashi: follow the coloured candles | 50.1% | ×56 | -13.3% | -8.7% | overfit | 1945 |
| Parabolic SAR: follow the dots | 43.1% | ×56 | -13.5% | -8.8% | overfit | 624 |
| The golden cross (50/200) | 20.7% | ×56 | -14.1% | -9.4% | overfit | 49 |
| Smart Money: the liquidity sweep | 19.2% | ×56 | -14.1% | -9.5% | overfit | 80 |
| ICT / Smart Money: the order block | 9.1% | ×56 | -14.4% | -9.8% | overfit | 16 |
| The Turtles: 55-day breakout | 6.6% | ×56 | -14.5% | -9.8% | overfit | 116 |
| Supertrend: the line that changes colour | -2.9% | ×56 | -14.8% | -10.2% | overfit | 39 |
| Only invest above the 200-day average | -12.2% | ×56 | -15.1% | -10.5% | overfit | 285 |
| ICT / Smart Money: the fair value gap | -18.1% | ×56 | -15.4% | -10.8% | overfit | 222 |
| Kaufman’s adaptive moving average (KAMA) | -23.4% | ×56 | -15.6% | -11.0% | overfit | 1086 |
| Upper Bollinger band breakout | -78.8% | ×56 | -19.8% | -15.2% | overfit | 472 |
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