On USD/JPY, 3 of 17 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On USD/JPY, 3 of 17 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": +1.3 points a year over buying and holding USD/JPY. The worst is Heikin Ashi: follow the coloured candles: -1.9 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 |
|---|---|---|---|---|---|---|
| “Sell in May and go away” | 103.4% | 40.2% | +1.3% | -7.8% | — | 60 |
| The Turtles: 55-day breakout | 89.5% | 40.2% | +1.0% | -8.1% | overfit | 84 |
| Supertrend: the line that changes colour | 45.6% | 40.2% | +0.1% | -8.9% | overfit | 20 |
| Parabolic SAR: follow the dots | 22.0% | 40.2% | -0.5% | -9.6% | overfit | 675 |
| 2-day RSI (the Connors rule) | 19.4% | 40.2% | -0.5% | -9.6% | overfit | 718 |
| RSI 14: buy oversold (30/70) | 10.7% | 40.2% | -0.8% | -9.9% | overfit | 57 |
| Upper Bollinger band breakout | 9.9% | 40.2% | -0.8% | -9.9% | overfit | 476 |
| Ichimoku: buy above the cloud | 8.9% | 40.2% | -0.9% | -9.9% | overfit | 440 |
| The golden cross (50/200) | 4.4% | 40.2% | -1.0% | -10.1% | overfit | 43 |
| Only invest above the 200-day average | 1.1% | 40.2% | -1.1% | -10.2% | overfit | 275 |
| Stochastic: oversold cross (14, 3) | 0.4% | 40.2% | -1.1% | -10.2% | overfit | 400 |
| ADX: trade only in strong trends | -2.1% | 40.2% | -1.2% | -10.3% | overfit | 966 |
| Kaufman’s adaptive moving average (KAMA) | -3.0% | 40.2% | -1.2% | -10.3% | overfit | 1119 |
| The MACD cross (12/26/9) | -7.2% | 40.2% | -1.4% | -10.5% | overfit | 645 |
| Bounce off the lower Bollinger band | -14.8% | 40.2% | -1.7% | -10.8% | overfit | 238 |
| ICT / Smart Money: the fair value gap | -16.9% | 40.2% | -1.8% | -10.8% | overfit | 224 |
| Heikin Ashi: follow the coloured candles | -20.6% | 40.2% | -1.9% | -11.0% | overfit | 2037 |
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