On VTR, 2 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On VTR, 2 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is the golden cross (50/200): +2.3 points a year over buying and holding VTR. The worst is Heikin Ashi: follow the coloured candles: -12.6 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 |
|---|---|---|---|---|---|---|
| The golden cross (50/200) | ×29 | ×16 | +2.3% | +2.5% | overfit | 35 |
| Only invest above the 200-day average | ×20 | ×16 | +0.9% | +1.1% | overfit | 191 |
| RSI 14: buy oversold (30/70) | 592.2% | ×16 | -3.1% | -2.9% | overfit | 56 |
| Stochastic: oversold cross (14, 3) | 305.1% | ×16 | -5.0% | -4.8% | partly | 398 |
| Wyckoff: buying the accumulation | 216.1% | ×16 | -5.9% | -5.7% | overfit | 170 |
| “Sell in May and go away” | 213.5% | ×16 | -5.9% | -5.8% | overfit | 58 |
| The Turtles: 55-day breakout | 193.9% | ×16 | -6.2% | -6.0% | overfit | 124 |
| Supertrend: the line that changes colour | 152.4% | ×16 | -6.7% | -6.5% | overfit | 51 |
| ADX: trade only in strong trends | 135.5% | ×16 | -6.9% | -6.8% | overfit | 918 |
| The MACD cross (12/26/9) | 133.0% | ×16 | -7.0% | -6.8% | overfit | 561 |
| Parabolic SAR: follow the dots | 62.9% | ×16 | -8.2% | -8.1% | overfit | 679 |
| Ichimoku: buy above the cloud | 49.5% | ×16 | -8.5% | -8.3% | overfit | 417 |
| 2-day RSI (the Connors rule) | 20.0% | ×16 | -9.3% | -9.1% | overfit | 650 |
| Smart Money: the liquidity sweep | 5.6% | ×16 | -9.7% | -9.5% | overfit | 112 |
| Bounce off the lower Bollinger band | 4.7% | ×16 | -9.8% | -9.6% | overfit | 232 |
| ICT / Smart Money: the fair value gap | 1.0% | ×16 | -9.9% | -9.7% | overfit | 232 |
| ICT / Smart Money: the order block | -0.4% | ×16 | -9.9% | -9.7% | — | 10 |
| Kaufman’s adaptive moving average (KAMA) | -26.3% | ×16 | -11.0% | -10.8% | overfit | 1072 |
| Upper Bollinger band breakout | -48.2% | ×16 | -12.1% | -12.0% | overfit | 502 |
| Heikin Ashi: follow the coloured candles | -54.5% | ×16 | -12.6% | -12.4% | overfit | 1870 |
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