On WAT, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On WAT, 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 -6.1 points a year over buying and holding WAT. The worst is Upper Bollinger band breakout, at -17.8 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 |
|---|---|---|---|---|---|---|
| RSI 14: buy oversold (30/70) | ×21 | ×110 | -6.1% | -0.1% | overfit | 66 |
| Stochastic: oversold cross (14, 3) | ×18 | ×110 | -6.7% | -0.7% | overfit | 432 |
| “Sell in May and go away” | ×15 | ×110 | -7.2% | -1.2% | overfit | 61 |
| The Turtles: 55-day breakout | ×13 | ×110 | -7.7% | -1.8% | overfit | 115 |
| Only invest above the 200-day average | 673.3% | ×110 | -9.6% | -3.6% | overfit | 221 |
| Ichimoku: buy above the cloud | 612.9% | ×110 | -9.9% | -3.9% | overfit | 389 |
| The golden cross (50/200) | 238.0% | ×110 | -12.4% | -6.5% | overfit | 55 |
| The MACD cross (12/26/9) | 230.1% | ×110 | -12.5% | -6.6% | partly | 622 |
| ADX: trade only in strong trends | 169.2% | ×110 | -13.2% | -7.2% | overfit | 981 |
| 2-day RSI (the Connors rule) | 155.7% | ×110 | -13.4% | -7.4% | overfit | 690 |
| Heikin Ashi: follow the coloured candles | 144.8% | ×110 | -13.5% | -7.5% | overfit | 2001 |
| Parabolic SAR: follow the dots | 116.4% | ×110 | -13.9% | -8.0% | overfit | 681 |
| Supertrend: the line that changes colour | 79.6% | ×110 | -14.6% | -8.6% | overfit | 65 |
| Kaufman’s adaptive moving average (KAMA) | 51.5% | ×110 | -15.1% | -9.2% | overfit | 1181 |
| Bounce off the lower Bollinger band | 29.8% | ×110 | -15.6% | -9.7% | overfit | 232 |
| ICT / Smart Money: the order block | -0.5% | ×110 | -16.5% | -10.5% | — | 2 |
| ICT / Smart Money: the fair value gap | -4.7% | ×110 | -16.6% | -10.7% | overfit | 238 |
| Wyckoff: buying the accumulation | -15.2% | ×110 | -17.0% | -11.0% | overfit | 190 |
| Smart Money: the liquidity sweep | -29.9% | ×110 | -17.6% | -11.7% | overfit | 78 |
| Upper Bollinger band breakout | -32.9% | ×110 | -17.8% | -11.8% | overfit | 474 |
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