On UPS, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On UPS, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is RSI 14: buy oversold (30/70): -0.8 points a year over buying and holding UPS. The worst is Heikin Ashi: follow the coloured candles: -14.1 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 |
|---|---|---|---|---|---|---|
| RSI 14: buy oversold (30/70) | 168.0% | 233.2% | -0.8% | -4.7% | overfit | 50 |
| “Sell in May and go away” | 91.8% | 233.2% | -2.1% | -6.0% | — | 53 |
| Stochastic: oversold cross (14, 3) | 79.9% | 233.2% | -2.4% | -6.3% | overfit | 370 |
| Supertrend: the line that changes colour | 63.3% | 233.2% | -2.7% | -6.7% | overfit | 39 |
| Bounce off the lower Bollinger band | 48.8% | 233.2% | -3.1% | -7.0% | overfit | 234 |
| 2-day RSI (the Connors rule) | 45.7% | 233.2% | -3.2% | -7.1% | overfit | 642 |
| The golden cross (50/200) | 13.9% | 233.2% | -4.1% | -8.0% | overfit | 39 |
| Wyckoff: buying the accumulation | 13.9% | 233.2% | -4.1% | -8.0% | overfit | 155 |
| Smart Money: the liquidity sweep | 1.6% | 233.2% | -4.5% | -8.4% | overfit | 94 |
| The MACD cross (12/26/9) | 0.7% | 233.2% | -4.6% | -8.5% | overfit | 529 |
| ICT / Smart Money: the order block | -3.1% | 233.2% | -4.7% | -8.6% | overfit | 16 |
| The Turtles: 55-day breakout | -5.1% | 233.2% | -4.8% | -8.7% | overfit | 104 |
| Upper Bollinger band breakout | -22.8% | 233.2% | -5.6% | -9.5% | overfit | 396 |
| ICT / Smart Money: the fair value gap | -35.2% | 233.2% | -6.2% | -10.1% | overfit | 198 |
| Only invest above the 200-day average | -46.9% | 233.2% | -6.9% | -10.8% | overfit | 271 |
| ADX: trade only in strong trends | -62.7% | 233.2% | -8.2% | -12.1% | overfit | 897 |
| Parabolic SAR: follow the dots | -79.7% | 233.2% | -10.4% | -14.3% | overfit | 615 |
| Kaufman’s adaptive moving average (KAMA) | -82.8% | 233.2% | -11.0% | -14.9% | overfit | 1013 |
| Ichimoku: buy above the cloud | -87.2% | 233.2% | -12.0% | -15.9% | overfit | 438 |
| Heikin Ashi: follow the coloured candles | -93.0% | 233.2% | -14.1% | -18.0% | overfit | 1855 |
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