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Finaxion Research · ZTS

Which strategy works on ZTS?

On ZTS, 2 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.

Findings

On ZTS, 2 of 20 famous strategies beat buy-and-hold on daily bars, yet 0 of them hold out of sample. The best is Only invest above the 200-day average, at +1.1 points a year over buying and holding ZTS, while the worst is Heikin Ashi: follow the coloured candles, at -12.5 points a year against buy-and-hold.

  1. On ZTS, 2 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
  2. The best is Only invest above the 200-day average: +1.1 points a year over buying and holding ZTS.
  3. The worst is Heikin Ashi: follow the coloured candles: -12.5 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
Only invest above the 200-day average217.7%179.3%+1.1%-5.7%—80
Stochastic: oversold cross (14, 3)187.7%179.3%+0.3%-6.5%—195
The golden cross (50/200)137.4%179.3%-1.3%-8.0%—20
Ichimoku: buy above the cloud87.0%179.3%-3.1%-9.9%—152
“Sell in May and go away”79.5%179.3%-3.5%-10.2%overfit27
Supertrend: the line that changes colour25.2%179.3%-6.2%-13.0%—20
The Turtles: 55-day breakout21.1%179.3%-6.4%-13.2%—58
RSI 14: buy oversold (30/70)14.5%179.3%-6.8%-13.6%—21
Bounce off the lower Bollinger band13.7%179.3%-6.9%-13.7%—108
2-day RSI (the Connors rule)12.0%179.3%-7.0%-13.8%—314
ICT / Smart Money: the fair value gap3.0%179.3%-7.6%-14.4%—122
ICT / Smart Money: the order block1.0%179.3%-7.8%-14.6%—4
Wyckoff: buying the accumulation-2.8%179.3%-8.1%-14.8%—63
The MACD cross (12/26/9)-9.6%179.3%-8.6%-15.4%—273
Kaufman’s adaptive moving average (KAMA)-14.6%179.3%-9.0%-15.8%—488
Upper Bollinger band breakout-14.8%179.3%-9.0%-15.8%—190
Smart Money: the liquidity sweep-15.2%179.3%-9.1%-15.8%—56
ADX: trade only in strong trends-34.5%179.3%-10.9%-17.7%—481
Parabolic SAR: follow the dots-43.0%179.3%-11.9%-18.7%—315
Heikin Ashi: follow the coloured candles-47.3%179.3%-12.5%-19.2%—942

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