Dow Jones ETF (DIA): three strategies, 2019–2024.

Holding Dow Jones ETF (DIA) over these years returned 105%, a Sharpe ratio of 0.65. At their default settings none of the three rules beat that Sharpe. Tuned on the first 70% of the period and scored on the rest, none of the three held up.

Against holding it

Each rule at the workspace's default parameters, with 10 basis points of cost on every change of position, over 1,510 trading days.

	Total return	Sharpe	Worst fall
Buy and hold	105%	0.65	−37%
Momentum	−34%	−0.40	−53%
MACD	3%	0.03	−40%
Bollinger	3%	0.07	−11%

On years it never saw

For each rule, every combination in its grid was run on the period up to 2023-03-15, the best was picked, and only that one was scored on what came after. How walk-forward works.

	Picked	Sharpe, tuned	Sharpe, after	Verdict
Momentum	lookback 60 · MA 200	−0.26	−0.01	failed
MACD	12 / 26 / 9	0.21	−0.52	failed
Bollinger	30 days · 2.5σ	0.66	−0.63	failed

Skill or luck

Three more readings of the same runs. A permutation p-value under 0.05 means the timing beat random timing; a probability of overfitting near 0.5 or above means picking by backtest did no better than picking at random; the rolling column slides the split through the period. What each one asks.

	Permutation p	Probability of overfitting	Across rolling windows
Momentum	0.092	0.77	depends on the window
MACD	0.014	0.63	depends on the window
Bollinger	0.008	0.40	depends on the window

Hypothetical results on past data (2019-01-02 to 2024-12-31), from a script in the repository that re-runs every figure. Not a recommendation to buy, sell or trade Dow Jones ETF (DIA) or any other security.

Run it yourself

Each opens in the workspace on Dow Jones ETF (DIA) over the same dates, straight after sign-up if you are new. Change the ticker or the dates and the numbers change with them, which is the point.

Momentum on Dow Jones ETF (DIA)MACD on Dow Jones ETF (DIA)Bollinger on Dow Jones ETF (DIA)

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