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Finaxion Research · ULTA

Which strategy works on ULTA?

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

Findings

On ULTA, 1 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is the golden cross (50/200): +0.2 points a year over buying and holding ULTA. The worst is Wyckoff: buying the accumulation: -20.4 points a year against buy-and-hold.

  1. On ULTA, 1 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
  2. The best is the golden cross (50/200): +0.2 points a year over buying and holding ULTA.
  3. The worst is Wyckoff: buying the accumulation: -20.4 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
The golden cross (50/200)×19×18+0.2%+5.8%—18
Supertrend: the line that changes colour×12×18-2.3%+3.3%—33
Only invest above the 200-day average942.5%×18-3.4%+2.3%—96
2-day RSI (the Connors rule)939.3%×18-3.4%+2.3%—440
“Sell in May and go away”511.0%×18-6.6%-0.9%overfit38
RSI 14: buy oversold (30/70)424.5%×18-7.4%-1.8%—32
Stochastic: oversold cross (14, 3)290.2%×18-9.1%-3.5%—271
ICT / Smart Money: the fair value gap62.5%×18-14.0%-8.4%—154
Bounce off the lower Bollinger band51.1%×18-14.4%-8.8%—150
Ichimoku: buy above the cloud42.1%×18-14.8%-9.1%—279
The Turtles: 55-day breakout41.3%×18-14.8%-9.1%—87
ADX: trade only in strong trends30.3%×18-15.2%-9.6%—575
The MACD cross (12/26/9)7.1%×18-16.3%-10.6%—383
Parabolic SAR: follow the dots2.8%×18-16.5%-10.8%—417
Kaufman’s adaptive moving average (KAMA)2.1%×18-16.5%-10.9%—639
ICT / Smart Money: the order block-0.6%×18-16.7%-11.0%—4
Smart Money: the liquidity sweep-22.7%×18-18.0%-12.3%—56
Heikin Ashi: follow the coloured candles-37.2%×18-19.1%-13.4%—1283
Upper Bollinger band breakout-49.6%×18-20.2%-14.5%—298
Wyckoff: buying the accumulation-50.9%×18-20.4%-14.7%—129

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