On WTW, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On WTW, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is Stochastic: oversold cross (14, 3): -3.9 points a year over buying and holding WTW. The worst is Heikin Ashi: follow the coloured candles: -16.7 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 |
|---|---|---|---|---|---|---|
| Stochastic: oversold cross (14, 3) | 420.8% | ×13 | -3.9% | -2.6% | overfit | 350 |
| “Sell in May and go away” | 347.8% | ×13 | -4.5% | -3.2% | overfit | 50 |
| RSI 14: buy oversold (30/70) | 304.3% | ×13 | -4.9% | -3.7% | overfit | 50 |
| 2-day RSI (the Connors rule) | 131.8% | ×13 | -7.2% | -6.0% | overfit | 586 |
| Bounce off the lower Bollinger band | 123.8% | ×13 | -7.4% | -6.1% | overfit | 194 |
| Supertrend: the line that changes colour | 104.6% | ×13 | -7.8% | -6.5% | overfit | 31 |
| The golden cross (50/200) | 92.0% | ×13 | -8.0% | -6.8% | overfit | 45 |
| ICT / Smart Money: the fair value gap | 5.9% | ×13 | -10.4% | -9.2% | overfit | 176 |
| The MACD cross (12/26/9) | 3.7% | ×13 | -10.5% | -9.2% | overfit | 514 |
| ICT / Smart Money: the order block | -1.1% | ×13 | -10.7% | -9.4% | overfit | 20 |
| ADX: trade only in strong trends | -7.2% | ×13 | -10.9% | -9.7% | overfit | 845 |
| Wyckoff: buying the accumulation | -17.9% | ×13 | -11.4% | -10.2% | overfit | 153 |
| Smart Money: the liquidity sweep | -19.5% | ×13 | -11.5% | -10.2% | overfit | 102 |
| The Turtles: 55-day breakout | -23.2% | ×13 | -11.7% | -10.4% | overfit | 109 |
| Ichimoku: buy above the cloud | -32.2% | ×13 | -12.2% | -10.9% | overfit | 377 |
| Upper Bollinger band breakout | -37.4% | ×13 | -12.5% | -11.2% | overfit | 400 |
| Kaufman’s adaptive moving average (KAMA) | -38.4% | ×13 | -12.6% | -11.3% | overfit | 923 |
| Only invest above the 200-day average | -39.0% | ×13 | -12.6% | -11.3% | overfit | 251 |
| Parabolic SAR: follow the dots | -43.8% | ×13 | -12.9% | -11.6% | overfit | 563 |
| Heikin Ashi: follow the coloured candles | -79.1% | ×13 | -16.7% | -15.4% | overfit | 1672 |
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