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Finaxion Research · XYL

Which strategy works on XYL?

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

Findings

On XYL, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is Supertrend: the line that changes colour, at -5.3 points a year over buying and holding XYL, while the worst is Upper Bollinger band breakout, at -13.8 points a year against buy-and-hold.

  1. On XYL, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
  2. The best is Supertrend: the line that changes colour: -5.3 points a year over buying and holding XYL.
  3. The worst is Upper Bollinger band breakout: -13.8 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
Supertrend: the line that changes colour170.6%455.0%-5.3%-8.3%—22
Only invest above the 200-day average144.5%455.0%-6.0%-9.0%—118
Ichimoku: buy above the cloud131.2%455.0%-6.4%-9.4%—148
RSI 14: buy oversold (30/70)115.6%455.0%-6.9%-9.9%—28
“Sell in May and go away”91.1%455.0%-7.8%-10.8%—30
The Turtles: 55-day breakout71.3%455.0%-8.5%-11.5%—60
Parabolic SAR: follow the dots62.3%455.0%-8.9%-11.9%—348
Stochastic: oversold cross (14, 3)48.1%455.0%-9.5%-12.6%—199
Bounce off the lower Bollinger band37.3%455.0%-10.0%-13.1%—109
The MACD cross (12/26/9)36.3%455.0%-10.1%-13.1%—310
2-day RSI (the Connors rule)33.3%455.0%-10.2%-13.3%—343
Kaufman’s adaptive moving average (KAMA)30.3%455.0%-10.4%-13.4%—516
The golden cross (50/200)27.7%455.0%-10.5%-13.6%—28
ADX: trade only in strong trends8.8%455.0%-11.6%-14.7%—510
ICT / Smart Money: the order block3.0%455.0%-12.0%-15.0%—14
ICT / Smart Money: the fair value gap0.9%455.0%-12.1%-15.2%—100
Wyckoff: buying the accumulation0.4%455.0%-12.2%-15.2%—88
Smart Money: the liquidity sweep-3.5%455.0%-12.4%-15.5%—62
Heikin Ashi: follow the coloured candles-15.6%455.0%-13.3%-16.4%—974
Upper Bollinger band breakout-21.3%455.0%-13.8%-16.8%—234

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