Test against daily bars between 2010 and 2019. It may not be fair to some intraday strategies.
| Index | Backtest | Sharpe |
|---|---|---|
| 1 | Buy and Hold | 0.78 |
| 2 | Moving Average cross | -0.27 |
| 3 | Moving Average double cross | 0.32 |
| 4 | Bollinger Bands | 0.60 |
| 5 | Dual Thrust | -0.10 |
| 6 | Ghost Trader | -0.14 |
| 7 | R-Breaker | 0.15 |
| 8 | dynamic breakout ii | 0.51 |
| 9 | Turtle | 0.15 |
| 10 | Mebane Faber TAA | 0.50 |
| 11 | MinVar, MaxSharpe, MaxDiversified, RiskParity | 1.08, 0.66, 0.90, 0.81 |