On UAL, 2 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On UAL, 2 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: +4.2 points a year over buying and holding UAL. The worst is the Turtles: 55-day breakout: -12.7 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 | 661.2% | 240.6% | +4.2% | -0.8% | overfit | 135 |
| ADX: trade only in strong trends | 412.3% | 240.6% | +2.1% | -2.9% | overfit | 628 |
| 2-day RSI (the Connors rule) | 124.3% | 240.6% | -2.1% | -7.2% | overfit | 498 |
| The MACD cross (12/26/9) | 66.5% | 240.6% | -3.6% | -8.7% | partly | 390 |
| Supertrend: the line that changes colour | 54.0% | 240.6% | -4.0% | -9.0% | overfit | 40 |
| RSI 14: buy oversold (30/70) | 49.9% | 240.6% | -4.2% | -9.2% | overfit | 38 |
| Kaufman’s adaptive moving average (KAMA) | 31.1% | 240.6% | -4.8% | -9.8% | overfit | 754 |
| ICT / Smart Money: the fair value gap | 13.7% | 240.6% | -5.5% | -10.5% | overfit | 152 |
| Only invest above the 200-day average | 3.1% | 240.6% | -6.0% | -11.0% | overfit | 183 |
| ICT / Smart Money: the order block | 2.5% | 240.6% | -6.0% | -11.1% | — | 2 |
| Heikin Ashi: follow the coloured candles | -1.7% | 240.6% | -6.2% | -11.2% | overfit | 1376 |
| Smart Money: the liquidity sweep | -4.0% | 240.6% | -6.3% | -11.4% | overfit | 66 |
| Bounce off the lower Bollinger band | -36.9% | 240.6% | -8.4% | -13.4% | overfit | 165 |
| “Sell in May and go away” | -40.9% | 240.6% | -8.7% | -13.7% | overfit | 41 |
| Ichimoku: buy above the cloud | -44.1% | 240.6% | -8.9% | -14.0% | overfit | 328 |
| Stochastic: oversold cross (14, 3) | -46.8% | 240.6% | -9.2% | -14.2% | overfit | 275 |
| Parabolic SAR: follow the dots | -48.2% | 240.6% | -9.3% | -14.3% | overfit | 458 |
| Upper Bollinger band breakout | -49.9% | 240.6% | -9.5% | -14.5% | overfit | 294 |
| The golden cross (50/200) | -66.8% | 240.6% | -11.4% | -16.4% | overfit | 37 |
| The Turtles: 55-day breakout | -75.3% | 240.6% | -12.7% | -17.8% | overfit | 80 |
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