On WBD, 2 of 20 famous strategies beat buy-and-hold on daily bars; 1 of them hold out of sample.
On WBD, 2 of 20 famous strategies beat buy-and-hold on daily bars, and 1 of them holds out of sample. The best is "Sell in May and go away" at +0.5 points a year over buying and holding WBD, while the worst is ADX: trade only in strong trends at -10.4 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” | 347.3% | 302.2% | +0.5% | -3.8% | holds | 42 |
| Kaufman’s adaptive moving average (KAMA) | 335.0% | 302.2% | +0.4% | -3.9% | partly | 757 |
| The golden cross (50/200) | 268.9% | 302.2% | -0.4% | -4.7% | partly | 36 |
| Ichimoku: buy above the cloud | 116.9% | 302.2% | -3.1% | -7.4% | partly | 271 |
| Only invest above the 200-day average | 105.3% | 302.2% | -3.3% | -7.6% | overfit | 181 |
| The Turtles: 55-day breakout | 89.4% | 302.2% | -3.7% | -8.1% | overfit | 75 |
| Bounce off the lower Bollinger band | 80.5% | 302.2% | -4.0% | -8.3% | overfit | 194 |
| Supertrend: the line that changes colour | 77.8% | 302.2% | -4.0% | -8.4% | overfit | 29 |
| Parabolic SAR: follow the dots | 51.9% | 302.2% | -4.8% | -9.1% | overfit | 477 |
| The MACD cross (12/26/9) | 47.2% | 302.2% | -5.0% | -9.3% | overfit | 409 |
| RSI 14: buy oversold (30/70) | 27.0% | 302.2% | -5.7% | -10.0% | overfit | 38 |
| Heikin Ashi: follow the coloured candles | 14.1% | 302.2% | -6.2% | -10.5% | overfit | 1371 |
| Smart Money: the liquidity sweep | 9.2% | 302.2% | -6.4% | -10.7% | overfit | 92 |
| ICT / Smart Money: the order block | 3.3% | 302.2% | -6.6% | -11.0% | — | 6 |
| Upper Bollinger band breakout | -5.7% | 302.2% | -7.1% | -11.4% | overfit | 330 |
| ICT / Smart Money: the fair value gap | -7.3% | 302.2% | -7.2% | -11.5% | overfit | 140 |
| 2-day RSI (the Connors rule) | -12.9% | 302.2% | -7.5% | -11.8% | overfit | 522 |
| Stochastic: oversold cross (14, 3) | -17.4% | 302.2% | -7.7% | -12.0% | overfit | 272 |
| Wyckoff: buying the accumulation | -36.9% | 302.2% | -9.0% | -13.3% | overfit | 136 |
| ADX: trade only in strong trends | -54.1% | 302.2% | -10.4% | -14.7% | overfit | 721 |
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