On USD/CAD, 5 of 17 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On USD/CAD, 5 of 17 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is Supertrend: the line that changes colour: +1.6 points a year over buying and holding USD/CAD. The worst is Parabolic SAR: follow the dots: -1.5 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 |
|---|---|---|---|---|---|---|
| Supertrend: the line that changes colour | 46.7% | 1.7% | +1.6% | -9.5% | — | 5 |
| Stochastic: oversold cross (14, 3) | 15.9% | 1.7% | +0.6% | -10.5% | overfit | 351 |
| Bounce off the lower Bollinger band | 10.2% | 1.7% | +0.4% | -10.7% | overfit | 177 |
| Upper Bollinger band breakout | 4.0% | 1.7% | +0.1% | -11.0% | overfit | 324 |
| 2-day RSI (the Connors rule) | 3.0% | 1.7% | +0.1% | -11.0% | overfit | 564 |
| ICT / Smart Money: the fair value gap | -0.6% | 1.7% | -0.1% | -11.2% | overfit | 180 |
| “Sell in May and go away” | -1.1% | 1.7% | -0.1% | -11.2% | overfit | 46 |
| The MACD cross (12/26/9) | -1.7% | 1.7% | -0.1% | -11.2% | overfit | 500 |
| RSI 14: buy oversold (30/70) | -3.9% | 1.7% | -0.2% | -11.3% | overfit | 39 |
| The golden cross (50/200) | -5.8% | 1.7% | -0.3% | -11.4% | overfit | 37 |
| The Turtles: 55-day breakout | -8.7% | 1.7% | -0.5% | -11.5% | overfit | 66 |
| Only invest above the 200-day average | -9.1% | 1.7% | -0.5% | -11.6% | overfit | 225 |
| Kaufman’s adaptive moving average (KAMA) | -11.7% | 1.7% | -0.6% | -11.7% | overfit | 926 |
| Ichimoku: buy above the cloud | -14.1% | 1.7% | -0.7% | -11.8% | overfit | 348 |
| ADX: trade only in strong trends | -23.7% | 1.7% | -1.2% | -12.3% | overfit | 826 |
| Heikin Ashi: follow the coloured candles | -24.6% | 1.7% | -1.3% | -12.4% | overfit | 1627 |
| Parabolic SAR: follow the dots | -28.0% | 1.7% | -1.5% | -12.6% | overfit | 569 |
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