Does anything beat buy & hold on FactSet (FDS)?
Every setup we tested on FactSet (FDS) — 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 only beat buy-and-hold in one window — a regime artifact, not a strategy. Buy-and-hold benchmark: +15.5% CAGR over 29.9 years (+6.2% CAGR in the out-of-sample window).
Educational research from historical backtests — not investment advice. Past performance does not predict future results.
FDS: we tested 748 setups and none beat simply holding FactSet
For FactSet (FDS), we ran 748 indicator configurations against a plain buy-and-hold benchmark, and none of them earned the right to replace it. Individual stocks carry idiosyncratic risk — earnings surprises, guidance changes, sector rotation — that indicators built on price history cannot see coming. The best-looking setup, Ehlers Relative Vigor on the daily timeframe, ranked at the top in-sample but delivered an out-of-sample Sharpe of 0.8, short of our hurdle of 1.21. Buy-and-hold returned +15.5% annualized over the test period; the top strategies mostly captured pieces of that same move while adding trading friction.
How to read this honestly: when you test 748 setups and keep the best one, something will always look impressive by chance alone. That is why we require the survivor to clear 1.21 out of sample. Ehlers Relative Vigor managed 0.8, with out-of-sample alpha of +8.4% across 9.0 years and 666 trades, and only 5.5% of everything we tested beat the benchmark on unseen data — roughly what luck would produce. None of this predicts anything: the regime that generated these numbers can shift, and single stocks shift faster than most. Treat this page as a record of what failed under honest testing, not a forecast.
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.
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 daily-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 0.8 · alpha +8.4% · 181 trades over 9.0 yrs.
Keltner 10 (x1.5)
What it is: A breakout rule: it waits for price to clear a prior range and rides the expansion until it fails. Long/flat only — no leverage, no shorting. The parameters we tested are not published.
How it was tested: signals evaluated at weekly-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 0.78 · alpha -2.4% · 10 trades over 9.0 yrs.
Bandpass Oscillator
What it is: A channel / envelope rule: it measures how far price has travelled from a moving reference and acts at the extremes. Long/flat only — no leverage, no shorting. The parameters we tested are not published.
How it was tested: signals evaluated at daily-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 0.71 · alpha +6.2% · 101 trades over 9.0 yrs.
Since publication — including if it loses
The setup is ahead so far — over a window this short that is mostly noise. Marked to market nightly from real prices, rules frozen at publication, as of 2026-09-09. Currently FLAT.
We tested 748 setups (indicator × parameters × timeframe) on FactSet (FDS). Only setups with ≥30 trades qualify (686 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 748 tries mines even the holdout, the VALIDATED verdict additionally requires the top setup’s OOS Sharpe to clear a selection hurdle of 1.21 (√(2 ln N)/√T) AND positive alpha in both windows. Of the eligible setups, 5.5% had positive out-of-sample alpha (median OOS Sharpe 0.13) — 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 686 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 | Ehlers Relative Vigor | Daily | +382.4% | 0.34 | -87.1% | 47.9% | 666 | -10.1% | 0.8 | +8.4% | 181 |
| 2 | Keltner 10 (x1.5) | Weekly | +17.5% | 0.1 | -49.7% | 50.0% | 58 | -14.9% | 0.78 | -2.4% | 10 |
| 3 | Bandpass Oscillator | Daily | >+999% | 0.46 | -72.1% | 47.6% | 355 | -7.1% | 0.71 | +6.2% | 101 |
| 4 | Hull MA 10/40 Cross | Daily | +278.6% | 0.31 | -80.5% | 47.4% | 333 | -11.0% | 0.66 | +4.7% | 97 |
| 5 | Squeeze Momentum | Weekly | +207.4% | 0.3 | -48.6% | 51.7% | 87 | -11.6% | 0.65 | +1.8% | 21 |
| 6 | LSMA 10/30 Cross | Daily | +658.2% | 0.41 | -77.7% | 48.8% | 320 | -8.5% | 0.61 | +3.7% | 94 |
| 7 | Bullish Engulfing | Daily | +42.3% | 0.15 | -57.9% | 51.3% | 234 | -14.3% | 0.59 | +0.5% | 64 |
| 8 | HMA 9/21 Cross | Daily | +396.6% | 0.35 | -70.0% | 45.9% | 519 | -10.0% | 0.58 | +3.3% | 152 |
| 9 | Negative Volume Index | Daily | >+999% | 0.51 | -39.6% | 42.1% | 57 | -6.0% | 0.56 | +5.4% | 22 |
| 10 | Least Squares MA | Daily | >+999% | 0.58 | -53.5% | 44.4% | 604 | -4.5% | 0.55 | +2.5% | 174 |
| 11 | Demand Index | Weekly | >+999% | 0.51 | -54.6% | 66.2% | 68 | -5.6% | 0.53 | +4.3% | 26 |
| 12 | Q-Stick | Daily | >+999% | 0.56 | -44.3% | 41.6% | 635 | -4.7% | 0.53 | +2.5% | 179 |
| 13 | Premier Stochastic | Daily | +478.1% | 0.36 | -74.0% | 42.3% | 274 | -9.5% | 0.53 | +2.5% | 74 |
| 14 | TEMA 10/30 Cross | Daily | +481.7% | 0.37 | -81.9% | 48.8% | 299 | -9.5% | 0.53 | +2.0% | 88 |
| 15 | Zero-Lag LSMA | Weekly | >+999% | 0.51 | -48.1% | 53.4% | 103 | -5.9% | 0.52 | +2.2% | 31 |
| 16 | Bollinger 30 (x2.0) Break | Weekly | +62.1% | 0.22 | -44.5% | 50.8% | 59 | -13.8% | 0.52 | -2.4% | 12 |
| 17 | Zero-Lag EMA Cross | Daily | +777.6% | 0.43 | -77.8% | 46.7% | 362 | -8.0% | 0.51 | +1.8% | 108 |
| 18 | ZLEMA 10/30 Cross | Daily | +777.6% | 0.43 | -77.8% | 46.7% | 362 | -8.0% | 0.51 | +1.8% | 108 |
| 19 | Chande Momentum Osc. | Daily | >+999% | 0.51 | -55.0% | 45.2% | 526 | -5.8% | 0.47 | +1.1% | 154 |
| 20 | EMA 9/26 Cross | Daily | +726.0% | 0.41 | -65.7% | 36.0% | 136 | -8.2% | 0.46 | +0.9% | 43 |
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.