On USD/CHF, 14 of 17 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On USD/CHF, 14 of 17 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is 2-day RSI (the Connors rule): +3.5 points a year over buying and holding USD/CHF. The worst is Ichimoku: buy above the cloud: -0.3 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 |
|---|---|---|---|---|---|---|
| 2-day RSI (the Connors rule) | 30.4% | -41.4% | +3.5% | -10.0% | overfit | 580 |
| Bounce off the lower Bollinger band | 25.0% | -41.4% | +3.3% | -10.2% | overfit | 229 |
| Stochastic: oversold cross (14, 3) | 19.5% | -41.4% | +3.1% | -10.4% | overfit | 333 |
| ICT / Smart Money: the fair value gap | -1.5% | -41.4% | +2.2% | -11.2% | overfit | 134 |
| Upper Bollinger band breakout | -2.9% | -41.4% | +2.2% | -11.3% | overfit | 304 |
| Supertrend: the line that changes colour | -7.2% | -41.4% | +2.0% | -11.5% | — | 10 |
| RSI 14: buy oversold (30/70) | -15.3% | -41.4% | +1.6% | -11.9% | overfit | 40 |
| The golden cross (50/200) | -21.7% | -41.4% | +1.2% | -12.2% | overfit | 37 |
| Parabolic SAR: follow the dots | -22.3% | -41.4% | +1.2% | -12.2% | overfit | 554 |
| The Turtles: 55-day breakout | -28.0% | -41.4% | +0.9% | -12.6% | overfit | 66 |
| ADX: trade only in strong trends | -31.5% | -41.4% | +0.7% | -12.8% | overfit | 808 |
| The MACD cross (12/26/9) | -32.1% | -41.4% | +0.6% | -12.8% | overfit | 468 |
| “Sell in May and go away” | -34.9% | -41.4% | +0.5% | -13.0% | — | 46 |
| Only invest above the 200-day average | -40.0% | -41.4% | +0.1% | -13.3% | overfit | 241 |
| Kaufman’s adaptive moving average (KAMA) | -43.4% | -41.4% | -0.1% | -13.6% | overfit | 904 |
| Heikin Ashi: follow the coloured candles | -44.9% | -41.4% | -0.3% | -13.7% | overfit | 1601 |
| Ichimoku: buy above the cloud | -45.1% | -41.4% | -0.3% | -13.7% | overfit | 322 |
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