FINAXIONResearch
Finaxion Research · URI

Which strategy works on URI?

On URI, 2 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.

Findings

On URI, 2 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": +1.8 points a year over buying and holding URI. The worst is 2-day RSI (the Connors rule): -21.3 points a year against buy-and-hold.

  1. On URI, 2 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”: +1.8 points a year over buying and holding URI.
  3. The worst is 2-day RSI (the Connors rule): -21.3 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”×112×72+1.8%+8.5%—57
Kaufman’s adaptive moving average (KAMA)×82×72+0.6%+7.2%—960
The MACD cross (12/26/9)×66×72-0.3%+6.3%—518
Ichimoku: buy above the cloud×39×72-2.5%+4.2%overfit284
ADX: trade only in strong trends×34×72-2.9%+3.7%—836
Heikin Ashi: follow the coloured candles×33×72-3.0%+3.6%overfit1838
Parabolic SAR: follow the dots×29×72-3.5%+3.1%partly622
Supertrend: the line that changes colour×12×72-7.1%-0.4%overfit59
The Turtles: 55-day breakout898.9%×72-7.7%-1.0%overfit116
Only invest above the 200-day average771.2%×72-8.2%-1.5%overfit217
The golden cross (50/200)234.2%×72-11.8%-5.1%overfit43
Stochastic: oversold cross (14, 3)232.6%×72-11.8%-5.1%overfit367
RSI 14: buy oversold (30/70)66.6%×72-14.3%-7.6%overfit60
ICT / Smart Money: the fair value gap18.7%×72-15.5%-8.8%overfit190
Smart Money: the liquidity sweep16.1%×72-15.5%-8.9%overfit82
Wyckoff: buying the accumulation5.1%×72-15.9%-9.2%overfit171
ICT / Smart Money: the order block-3.6%×72-16.2%-9.5%—8
Upper Bollinger band breakout-4.1%×72-16.2%-9.5%overfit460
Bounce off the lower Bollinger band-26.7%×72-17.1%-10.5%overfit218
2-day RSI (the Connors rule)-78.6%×72-21.3%-14.6%overfit675

Finaxion is an analysis tool, not an investment adviser. This page is not a recommendation. Past performance does not guarantee future results. Prices and series: market data. Computations: Finaxion engine.