Does anything beat buy & hold on EAFE (EFA)?
Every setup we tested on EAFE (EFA) — 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.
No setup beat simply holding once tested honestly. We say so plainly.
Its best setup trailed buy-and-hold out-of-sample. Buy-and-hold benchmark: +6.5% CAGR over 24.9 years (+10.5% CAGR in the out-of-sample window).
Educational research from historical backtests — not investment advice. Past performance does not predict future results.
EAFE: Nothing Beat Buy-and-Hold, and That Is the Honest Answer
Broad, diversified instruments like EAFE are where indicator strategies go to disappoint. We ran 751 setups against EFA, and none cleared the bar once scored honestly — on data the strategy never saw. The best of the batch, Elder-Ray on the weekly timeframe, posted an out-of-sample Sharpe of 1.02, short of the 1.33 hurdle we require before calling anything real. For an index fund this is the expected result: whatever inefficiency exists in single names tends to average away in the basket, leaving buy-and-hold's +6.5% annualized return as the number nothing here managed to beat.
Read these figures with the selection problem in mind. Test 751 indicators, keep the best, and the winner looks impressive by construction — which is exactly why the hurdle exists instead of applause for a lucky draw. Here, only 0.0% of setups outperformed buy-and-hold even in-sample, and the top candidate produced -5.4% annual alpha over 7.5 unseen years, across 82 trades with a 54.9% win rate and a -29.4% drawdown. That pattern reads as noise, not signal. Markets also change, so even a genuine past edge can fade. This page documents what failed — useful to know before assuming something works.
Every figure above is computed from our own backtests — nothing is estimated or invented. Hypothetical results; not investment advice.
The least-bad setups — shown with their failure numbers
Nothing here earned a verdict — these are the best of a losing field, published so you can see exactly how "best" still failed.
Elder-Ray
Mechanical rule (exactly as backtested): Buy uptrend pullbacks - EMA-13 rising while Bear Power is negative and turning up; exit when trend or bulls fade. Signals are evaluated at weekly-bar close, the position changes on the NEXT bar, 0.08% cost per side, long/flat only — no leverage, no shorting.
Out-of-sample (last ~30% of the window, never used to pick this setup): Sharpe 1.02 · alpha -5.4% · 25 trades over 7.5 yrs.
Ehlers Reflex
Mechanical rule (exactly as backtested): Ehlers' 2020 Reflex oscillator — a low-lag cycle/trend gauge; long while positive. Signals are evaluated at daily-bar close, the position changes on the NEXT bar, 0.08% cost per side, long/flat only — no leverage, no shorting.
Out-of-sample (last ~30% of the window, never used to pick this setup): Sharpe 0.92 · alpha -1.4% · 64 trades over 7.4 yrs.
Volume Zone Oscillator
Mechanical rule (exactly as backtested): Khalil's signed-volume oscillator — long while volume flow is positive and not overbought. Signals are evaluated at weekly-bar close, the position changes on the NEXT bar, 0.08% cost per side, long/flat only — no leverage, no shorting.
Out-of-sample (last ~30% of the window, never used to pick this setup): Sharpe 0.82 · alpha -0.8% · 30 trades over 7.5 yrs.
Since publication — including if it loses
The forward record is just getting started — the gap between the two is the honest score. Marked to market nightly from real prices, rules frozen at publication, as of 2026-06-29. Currently LONG.
We tested 751 setups (indicator × parameters × timeframe) on EAFE (EFA). Only setups with ≥30 trades qualify (641 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 751 tries mines even the holdout, the VALIDATED verdict additionally requires the top setup’s OOS Sharpe to clear a selection hurdle of 1.33 (√(2 ln N)/√T) AND positive alpha in both windows. Of the eligible setups, 0.0% had positive out-of-sample alpha (median OOS Sharpe 0.38) — the table below is truncated, but this summary covers all of them. Full recipe: methodology · the engine’s contract lives in the repo as STRATEGY_METHODOLOGY.md.
Top 20 of 641 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 | Elder-Ray | Weekly | +7.6% | 0.08 | -29.4% | 54.9% | 82 | -6.2% | 1.02 | -5.4% | 25 |
| 2 | Ehlers Reflex | Daily | +61.8% | 0.21 | -47.7% | 49.1% | 216 | -4.4% | 0.92 | -1.4% | 64 |
| 3 | Volume Zone Oscillator | Weekly | +169.1% | 0.39 | -34.3% | 51.2% | 129 | -2.4% | 0.82 | -0.8% | 30 |
| 4 | McGinley 30 Trend | Daily | +258.7% | 0.46 | -29.9% | 41.1% | 202 | -1.1% | 0.81 | -1.4% | 55 |
| 5 | EMA 8/21 Cross | Daily | +276.0% | 0.49 | -28.9% | 46.2% | 119 | -0.9% | 0.81 | -1.8% | 32 |
| 6 | EMA 9/26 Cross | Daily | +265.0% | 0.48 | -32.5% | 45.3% | 106 | -1.0% | 0.8 | -2.0% | 30 |
| 7 | LSMA 10/30 Cross | Daily | -10.5% | 0.03 | -60.2% | 45.7% | 278 | -6.8% | 0.8 | -2.5% | 72 |
| 8 | EMA 100 Trend | Daily | +210.8% | 0.44 | -37.0% | 38.5% | 148 | -1.7% | 0.79 | -2.1% | 36 |
| 9 | Disparity (100) | Daily | +210.8% | 0.44 | -37.0% | 38.5% | 148 | -1.7% | 0.79 | -2.1% | 36 |
| 10 | Premier Stochastic | Daily | +70.4% | 0.23 | -45.1% | 43.7% | 222 | -4.2% | 0.78 | -2.0% | 63 |
| 11 | Parabolic SAR (fast) | Daily | +10.2% | 0.1 | -57.6% | 46.3% | 441 | -6.0% | 0.78 | -2.2% | 134 |
| 12 | RSI (50) | Daily | +179.5% | 0.41 | -37.1% | 38.7% | 155 | -2.1% | 0.78 | -2.3% | 36 |
| 13 | Accelerator Oscillator | Daily | -6.7% | 0.04 | -59.0% | 47.8% | 391 | -6.7% | 0.77 | -2.1% | 113 |
| 14 | Zero-Lag EMA Cross | Daily | -12.3% | 0.03 | -59.6% | 44.7% | 311 | -6.9% | 0.77 | -2.8% | 81 |
| 15 | ZLEMA 10/30 Cross | Daily | -12.3% | 0.03 | -59.6% | 44.7% | 311 | -6.9% | 0.77 | -2.8% | 81 |
| 16 | Relative Momentum Index | Daily | +159.3% | 0.37 | -37.3% | 44.5% | 119 | -2.4% | 0.76 | -2.6% | 34 |
| 17 | Vortex | Daily | +126.0% | 0.33 | -48.4% | 46.0% | 311 | -3.0% | 0.76 | -2.8% | 86 |
| 18 | SMC: Change of Character | Daily | +191.9% | 0.4 | -37.3% | 55.4% | 65 | -1.9% | 0.75 | -2.1% | 16 |
| 19 | SMA 5/20 Cross | Daily | +56.9% | 0.21 | -45.7% | 40.5% | 200 | -4.5% | 0.75 | -2.4% | 58 |
| 20 | Hull MA 10/40 Cross | Daily | -12.2% | 0.03 | -58.3% | 45.5% | 292 | -6.9% | 0.75 | -2.9% | 76 |
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.