Does anything beat buy & hold on Crude Oil WTI (CL)?
Every setup we tested on Crude Oil WTI (CL) — ranked out-of-sample, corrected for multiple testing, and forward-tracked in public from the day this page published. The honest answer is the headline.
Beat buy-and-hold in both windows — but can't be told apart from selection luck.
Beat buy-and-hold in both the full window and out-of-sample but its OOS Sharpe 1.27 did not clear the 2.42 selection hurdle (best-of-N luck cannot be ruled out). Buy-and-hold benchmark: +1.9% CAGR over 8.4 years (+18.0% CAGR in the out-of-sample window).
Educational research from historical backtests — not investment advice. Past performance does not predict future results.
Crude Oil WTI: the winner beat buy-and-hold in both windows — and still can't shake the luck problem
In Crude Oil WTI, buy-and-hold is a harder benchmark than it looks: roll costs drag on returns, macro regimes flip the rules mid-game, and prices can go nowhere for years. Against that backdrop, we ran 1,482 indicator configurations on CL. The best, CCI (14) on the 4-hour timeframe, beat buy-and-hold in both windows — +4.8% annualized edge over the full period, +19.1% out of sample against a buy-and-hold CAGR of +1.9%. Over 2.5 out-of-sample years it took 188 trades, won 35.6% of them, and drew down -34.6% at worst.
Here is the honest read. When you test 1,482 setups and keep the best one, the winner looks good by construction — even on pure noise. Our correction for that selection effect sets a Sharpe hurdle of 2.42, and this setup's out-of-sample Sharpe of 1.27 falls short. Statistically, we cannot distinguish it from the luckiest of hundreds of tries. It also has company: 20.2% of setups edged buy-and-hold, which tends to happen when one regime dominated the sample. Of everything tested, 1,379 produced enough trades to grade at all. Macro regimes rotate, and a rule tuned to one rarely survives the next. Past performance does not predict future results.
Every figure above is computed from our own backtests — nothing is estimated or invented. Hypothetical results; not investment advice.
The setups that ranked, and what they are
Fully mechanical — no discretionary steps, no hidden filters. We name the indicator and publish its record; we keep the settings.
CCI (14)
What it is: An oscillator rule: it reads a bounded momentum gauge and takes exposure when it turns from an extreme. Long/flat only — no leverage, no shorting. The parameters we tested are not published.
How it was tested: signals evaluated at 4-hour-bar close, the position changes on the NEXT bar, 0.08% cost per side. Same engine, same cost model, same out-of-sample split as every other number on this site.
Out-of-sample (last ~30% of the window, never used to pick this setup): Sharpe 1.27 · alpha +19.1% · 48 trades over 2.5 yrs.
Ehlers Relative Vigor
What it is: A momentum rule: it holds while rate-of-change stays positive and steps aside when it rolls over. Long/flat only — no leverage, no shorting. The parameters we tested are not published.
How it was tested: signals evaluated at 4-hour-bar close, the position changes on the NEXT bar, 0.08% cost per side. Same engine, same cost model, same out-of-sample split as every other number on this site.
Out-of-sample (last ~30% of the window, never used to pick this setup): Sharpe 1.27 · alpha +14.3% · 93 trades over 2.5 yrs.
Parabolic SAR
What it is: A trend-following rule: it holds while a smoothed trend reference is pointing up and goes flat when it turns. Long/flat only — no leverage, no shorting. The parameters we tested are not published.
How it was tested: signals evaluated at 4-hour-bar close, the position changes on the NEXT bar, 0.08% cost per side. Same engine, same cost model, same out-of-sample split as every other number on this site.
Out-of-sample (last ~30% of the window, never used to pick this setup): Sharpe 1.17 · alpha +12.8% · 45 trades over 2.5 yrs.
Since publication — including if it loses
Buy-and-hold is ahead so far — we publish that too. That is the point. Marked to market nightly from real prices, rules frozen at publication, as of 2026-10-26. Currently FLAT.
We tested 1,482 setups (indicator × parameters × timeframe) on Crude Oil WTI (CL). Only setups with ≥30 trades qualify (1,379 did). Setups are ranked by out-of-sample Sharpe — the last ~30% of history, which standard-parameter rules never saw during selection. Because picking the best of 1,482 tries mines even the holdout, the VALIDATED verdict additionally requires the top setup’s OOS Sharpe to clear a selection hurdle of 2.42 (√(2 ln N)/√T) AND positive alpha in both windows. Of the eligible setups, 20.2% had positive out-of-sample alpha (median OOS Sharpe 0.28) — the table below is truncated, but this summary covers all of them. How we test: methodology. The scoring contract is published in full; the parameters of each individual setup are not.
Top 20 of 1,379 eligible setups
Ranked by out-of-sample Sharpe. Full + out-of-sample columns, costs included. Hypothetical.
| # | Setup | TF | Total ret | Sharpe | Max DD | Win | Trades | α vs B&H | OOS Sharpe | OOS α | OOS trades |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 | CCI (14) | 4-Hour | +72.1% | 0.45 | -34.6% | 35.6% | 188 | +4.8% | 1.27 | +19.1% | 48 |
| 2 | Ehlers Relative Vigor | 4-Hour | +35.9% | 0.3 | -44.8% | 39.9% | 301 | +1.9% | 1.27 | +14.3% | 93 |
| 3 | Parabolic SAR | 4-Hour | +55.6% | 0.39 | -31.9% | 39.5% | 157 | +3.6% | 1.17 | +12.8% | 45 |
| 4 | Ultimate Oscillator | 1-Hour | +17.7% | 0.23 | -34.3% | 58.8% | 51 | +0.2% | 1.17 | -2.7% | 10 |
| 5 | Zero-Lag LSMA | 4-Hour | +37.3% | 0.3 | -39.7% | 43.3% | 231 | +2.0% | 1.12 | +13.5% | 57 |
| 6 | Piercing Line | 4-Hour | +28.6% | 0.44 | -13.1% | 44.4% | 45 | +1.2% | 1.11 | -3.5% | 19 |
| 7 | Holt Double-Exp MA | 4-Hour | +18.9% | 0.21 | -43.5% | 37.7% | 305 | +0.2% | 1.08 | +8.5% | 86 |
| 8 | Hull MA Trend | 4-Hour | +32.6% | 0.28 | -40.1% | 42.9% | 182 | +1.6% | 1.06 | +11.0% | 49 |
| 9 | Morning Star | 4-Hour | +45.9% | 0.45 | -22.8% | 51.1% | 133 | +2.7% | 1.04 | +1.0% | 36 |
| 10 | Zero-Lag LSMA | Weekly | +915.5% | 0.46 | -64.7% | 52.3% | 86 | +5.1% | 1.03 | +22.9% | 22 |
| 11 | Disparity Index | 4-Hour | +38.8% | 0.31 | -34.6% | 36.9% | 222 | +2.1% | 1.03 | +10.4% | 61 |
| 12 | Pretty Good Oscillator | 4-Hour | +41.4% | 0.32 | -34.6% | 37.6% | 221 | +2.4% | 1.03 | +10.4% | 61 |
| 13 | Woodies CCI | 4-Hour | +24.6% | 0.24 | -42.1% | 39.9% | 271 | +0.8% | 1.0 | +6.8% | 86 |
| 14 | LSMA 10/30 Cross | 4-Hour | +49.8% | 0.36 | -37.0% | 43.4% | 143 | +3.1% | 0.99 | +9.0% | 42 |
| 15 | SMC: Order Block | 4-Hour | +21.6% | 0.22 | -38.7% | 26.9% | 104 | +0.5% | 0.95 | +8.6% | 22 |
| 16 | Bandpass Oscillator | 4-Hour | +12.7% | 0.17 | -42.0% | 42.9% | 168 | -0.4% | 0.95 | +7.4% | 48 |
| 17 | Triangular Hull MA | 4-Hour | +14.0% | 0.18 | -48.3% | 43.1% | 209 | -0.3% | 0.95 | +5.8% | 63 |
| 18 | Pring's Special K | 4-Hour | +31.9% | 0.29 | -28.3% | 40.2% | 117 | +1.5% | 0.95 | +5.7% | 52 |
| 19 | Hull MA 10/40 Cross | 4-Hour | +29.8% | 0.26 | -40.5% | 42.2% | 161 | +1.3% | 0.94 | +7.2% | 46 |
| 20 | EMA 9/26 Cross | 1-Hour | +42.2% | 0.34 | -31.0% | 34.9% | 238 | +2.8% | 0.92 | +6.8% | 69 |
Hypothetical backtests with 0.08%/side costs. Not investment advice — see the full disclaimer.
These are historical backtests of mechanical rules. They are educational research, not investment advice, not a recommendation, and not tailored to you. Educational information only — not investment advice. Hypothetical backtested results; past performance does not guarantee future results. Trading involves risk of loss.