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Finaxion Research · VRSK

Which strategy works on VRSK?

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

Findings

On VRSK, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is RSI 14: buy oversold (30/70), at -2.4 points a year over buying and holding VRSK. The worst is Heikin Ashi: follow the coloured candles, at -16.3 points a year against buy-and-hold.

  1. On VRSK, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
  2. The best is RSI 14: buy oversold (30/70): -2.4 points a year over buying and holding VRSK.
  3. The worst is Heikin Ashi: follow the coloured candles: -16.3 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
RSI 14: buy oversold (30/70)416.4%648.8%-2.4%-4.2%—38
The golden cross (50/200)352.7%648.8%-3.3%-5.1%—26
Only invest above the 200-day average232.4%648.8%-5.3%-7.1%—104
“Sell in May and go away”220.7%648.8%-5.5%-7.3%overfit34
Wyckoff: buying the accumulation140.6%648.8%-7.3%-9.1%—93
Parabolic SAR: follow the dots102.2%648.8%-8.4%-10.2%—385
Stochastic: oversold cross (14, 3)80.5%648.8%-9.1%-10.9%—217
Ichimoku: buy above the cloud53.4%648.8%-10.1%-11.9%—223
Bounce off the lower Bollinger band33.1%648.8%-10.9%-12.7%—132
The MACD cross (12/26/9)24.4%648.8%-11.4%-13.1%—361
The Turtles: 55-day breakout23.5%648.8%-11.4%-13.2%—70
2-day RSI (the Connors rule)15.7%648.8%-11.8%-13.6%—362
Supertrend: the line that changes colour13.0%648.8%-11.9%-13.7%—28
Smart Money: the liquidity sweep6.5%648.8%-12.3%-14.1%—56
ICT / Smart Money: the order block3.8%648.8%-12.4%-14.2%—8
ICT / Smart Money: the fair value gap-15.1%648.8%-13.6%-15.4%—118
Kaufman’s adaptive moving average (KAMA)-24.0%648.8%-14.3%-16.1%—629
ADX: trade only in strong trends-29.2%648.8%-14.7%-16.5%—565
Upper Bollinger band breakout-37.9%648.8%-15.4%-17.2%—268
Heikin Ashi: follow the coloured candles-46.8%648.8%-16.3%-18.1%—1163

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