Library
Strategies
Classic rules with their original sources and results on eight markets, after fees, over the full history and over the last three years. Each one opens in the lab with a single button.
Buy and hold
The benchmark for any strategy: buy once and do nothing.
Read more10-month moving-average filter
In the market while the price is above its 10-month average (about 200 trading days); out of the market when it is below.
Read moreGolden cross 50/200
In the market while the 50-day average is above the 200-day one.
Read more12-month momentum
In the market if the price is higher than a year ago; out of the market if it is lower.
Read moreDonchian channel breakout (the Turtles)
Buy on a breakout above the 20-day high, exit on a breakout below the 10-day low.
Read moreTrend both ways (EMA 20/100)
Long while the fast average is above the slow one; short while it is below.
Read moreMACD
Buy when the MACD line crosses the signal line from below.
Read moreConnors RSI(2)
Buy a sharp pullback in an uptrend, exit a few days later.
Read moreBollinger Bands mean reversion
Buy below the lower band, sell at the middle line.
Read moreSell in May
In the market from November to April, out of it from May to October.
Read moreStrategy × market
The annual return of each rule on each market. Green where the rule beat buy and hold over the same span, red where it lost.
| Strategy | IMOEX | SBER | GAZP | XAU | Brent | BTC | ETH | VN-Index |
|---|---|---|---|---|---|---|---|---|
| Buy and hold | — | — | — | — | — | — | — | — |
| 10-month moving-average filter | — | — | — | — | — | — | — | — |
| Golden cross 50/200 | — | — | — | — | — | — | — | — |
| 12-month momentum | — | — | — | — | — | — | — | — |
| Donchian channel breakout (the Turtles) | — | — | — | — | — | — | — | — |
| Trend both ways (EMA 20/100) | — | — | — | — | — | — | — | — |
| MACD | — | — | — | — | — | — | — | — |
| Connors RSI(2) | — | — | — | — | — | — | — | — |
| Bollinger Bands mean reversion | — | — | — | — | — | — | — | — |
| Sell in May | — | — | — | — | — | — | — | — |
| Strategy | IMOEX | SBER | GAZP | XAU | Brent | BTC | ETH | VN-Index |
|---|---|---|---|---|---|---|---|---|
| Buy and hold | — | — | — | — | — | — | — | — |
| 10-month moving-average filter | — | — | — | — | — | — | — | — |
| Golden cross 50/200 | — | — | — | — | — | — | — | — |
| 12-month momentum | — | — | — | — | — | — | — | — |
| Donchian channel breakout (the Turtles) | — | — | — | — | — | — | — | — |
| Trend both ways (EMA 20/100) | — | — | — | — | — | — | — | — |
| MACD | — | — | — | — | — | — | — | — |
| Connors RSI(2) | — | — | — | — | — | — | — | — |
| Bollinger Bands mean reversion | — | — | — | — | — | — | — | — |
| Sell in May | — | — | — | — | — | — | — | — |
The numbers are calculated in your browser from fresh source candles.
Default parameters, daily candles, a fee and slippage of 0.05% each per trade, no return on cash out of the market, prices without dividends. The test starts once all of the rule’s indicators are calculated.
How to read these numbers
This is history, not a forecast
In the Absolute lab experiments, rules that looked good on the past lost on new data. The table is a reason to test, not a promise.
Less risk, less return
Trend filters more often cut the worst drawdown in half than beat the market on return. What matters more is for you to decide.
Trying many variants misleads
The more variants you test, the higher the chance of finding a nice result by accident. That is why the parameters in the table are the original ones, from the primary sources, with no tuning.