On USD/MXN, 2 of 17 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On USD/MXN, 2 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): +0.3 points a year over buying and holding USD/MXN. The worst is Kaufman's adaptive moving average (KAMA): -3.6 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) | 60.2% | 49.9% | +0.3% | -8.9% | overfit | 606 |
| Supertrend: the line that changes colour | 55.2% | 49.9% | +0.2% | -9.1% | — | 3 |
| Stochastic: oversold cross (14, 3) | 39.4% | 49.9% | -0.3% | -9.6% | overfit | 315 |
| Ichimoku: buy above the cloud | 36.2% | 49.9% | -0.4% | -9.7% | overfit | 292 |
| Bounce off the lower Bollinger band | 32.7% | 49.9% | -0.5% | -9.8% | overfit | 165 |
| The MACD cross (12/26/9) | 13.9% | 49.9% | -1.2% | -10.5% | overfit | 484 |
| The Turtles: 55-day breakout | 5.5% | 49.9% | -1.6% | -10.8% | overfit | 68 |
| Upper Bollinger band breakout | 3.7% | 49.9% | -1.6% | -10.9% | overfit | 374 |
| RSI 14: buy oversold (30/70) | 0.5% | 49.9% | -1.8% | -11.0% | overfit | 35 |
| Parabolic SAR: follow the dots | -1.1% | 49.9% | -1.8% | -11.1% | overfit | 571 |
| ADX: trade only in strong trends | -4.0% | 49.9% | -2.0% | -11.2% | overfit | 782 |
| ICT / Smart Money: the fair value gap | -6.2% | 49.9% | -2.1% | -11.3% | overfit | 130 |
| “Sell in May and go away” | -16.8% | 49.9% | -2.6% | -11.8% | overfit | 45 |
| The golden cross (50/200) | -17.8% | 49.9% | -2.7% | -11.9% | overfit | 40 |
| Only invest above the 200-day average | -19.8% | 49.9% | -2.8% | -12.0% | overfit | 252 |
| Heikin Ashi: follow the coloured candles | -20.2% | 49.9% | -2.8% | -12.0% | overfit | 1561 |
| Kaufman’s adaptive moving average (KAMA) | -34.3% | 49.9% | -3.6% | -12.8% | overfit | 880 |
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