Does anything beat buy & hold on GBP/JPY?
Every setup we tested on GBP/JPY — 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 out-of-sample AND cleared the multiple-testing hurdle.
Beat buy-and-hold out-of-sample AND full-sample out-of-sample Sharpe 2.5 cleared the selection hurdle 1.36. Buy-and-hold benchmark: +0.6% CAGR over 23.2 years (+7.6% CAGR in the out-of-sample window).
Educational research from historical backtests — not investment advice. Past performance does not predict future results.
GBP/JPY: Fisher Transform cleared every bar we set — a rare verdict, not a promise
Currency pairs like GBP/JPY are mean-reverting macro instruments with near-zero long-run drift, which cuts both ways: buy-and-hold offers little to beat, but that also makes any outperformance harder to trust, since noise strategies cluster right around zero. Out of 679 indicator configurations we tested on GBPJPY, Fisher Transform on the daily timeframe passed all three of our checks. It outperformed over the full window, outperformed out-of-sample, and its out-of-sample Sharpe of 2.5 cleared the multiple-testing hurdle of 1.36. That last check matters most, because in a driftless market the best of hundreds of tries is usually luck wearing a lab coat.
Read the figures plainly. Over 7.0 out-of-sample years, the setup produced +10.3% annualized alpha (+10.5% over the full window) against a buy-and-hold CAGR of +0.6%, across 565 trades with a 37.3% win rate and a -37.9% maximum drawdown. For context, only 3.0% of setups on this pair beat the benchmark at all. Clearing the hurdle means the result is unlikely to be a selection artifact — it does not mean it will persist. Currency regimes turn with central-bank cycles and carry conditions, and an edge measured in one regime can fade in 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.
Top setups as mechanical rules
Exactly as the backtest defined them — no discretionary steps, no hidden filters.
Fisher Transform
Mechanical rule (exactly as backtested): Long while the Fisher Transform turns up above its trigger. 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 2.5 · alpha +10.3% · 175 trades over 7.0 yrs.
Parabolic SAR (fast)
Mechanical rule (exactly as backtested): Variant — faster Parabolic SAR (step 0.04); long while price holds above SAR. 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 2.3 · alpha +8.9% · 128 trades over 7.0 yrs.
DMI Direction
Mechanical rule (exactly as backtested): Long whenever +DI is above -DI — pure directional movement, no strength filter. 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 1.83 · alpha +4.9% · 88 trades over 7.0 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 2026-07-02. Currently LONG.
We tested 679 setups (indicator × parameters × timeframe) on GBP/JPY. Only setups with ≥30 trades qualify (565 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 679 tries mines even the holdout, the VALIDATED verdict additionally requires the top setup’s OOS Sharpe to clear a selection hurdle of 1.36 (√(2 ln N)/√T) AND positive alpha in both windows. Of the eligible setups, 3.0% had positive out-of-sample alpha (median OOS Sharpe 0.19) — 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 565 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 | Fisher Transform | Daily | >+999% | 1.34 | -37.9% | 37.3% | 565 | +10.5% | 2.5 | +10.3% | 175 |
| 2 | Parabolic SAR (fast) | Daily | +769.5% | 1.19 | -39.8% | 41.1% | 421 | +9.2% | 2.3 | +8.9% | 128 |
| 3 | DMI Direction | Daily | +545.0% | 1.16 | -17.5% | 32.5% | 265 | +7.8% | 1.83 | +4.9% | 88 |
| 4 | Parabolic SAR | Daily | +352.6% | 0.85 | -35.4% | 42.6% | 265 | +6.1% | 1.71 | +4.3% | 81 |
| 5 | DeMarker (7) | Daily | +357.1% | 0.87 | -42.5% | 38.5% | 397 | +6.2% | 1.69 | +4.0% | 119 |
| 6 | Woodies CCI | Daily | +203.6% | 0.72 | -32.4% | 39.1% | 481 | +4.3% | 1.65 | +2.6% | 160 |
| 7 | Heikin-Ashi Trend | Daily | +112.6% | 0.44 | -50.6% | 38.4% | 1,174 | +2.7% | 1.61 | +3.7% | 369 |
| 8 | Vortex (7) | Daily | +284.5% | 0.76 | -39.7% | 40.0% | 400 | +5.4% | 1.54 | +3.1% | 129 |
| 9 | Random Walk Index | Daily | +158.7% | 0.57 | -35.6% | 40.4% | 265 | +3.6% | 1.47 | +2.4% | 82 |
| 10 | Random Walk Index | Daily | +158.7% | 0.57 | -35.6% | 40.4% | 265 | +3.6% | 1.47 | +2.4% | 82 |
| 11 | Vortex | Daily | +127.2% | 0.5 | -37.1% | 40.3% | 273 | +3.0% | 1.41 | +2.1% | 86 |
| 12 | CCI (14) | Daily | +177.2% | 0.6 | -31.8% | 38.1% | 339 | +3.9% | 1.37 | +1.7% | 106 |
| 13 | DeMarker (14) | Daily | +193.4% | 0.65 | -33.0% | 36.2% | 276 | +4.2% | 1.3 | +1.0% | 86 |
| 14 | SMC: Fair Value Gap | Daily | +142.8% | 0.51 | -39.6% | 40.2% | 291 | +3.3% | 1.23 | +0.5% | 91 |
| 15 | DeMarker | Daily | +111.3% | 0.44 | -33.7% | 75.8% | 95 | +2.7% | 1.22 | -0.5% | 32 |
| 16 | Aroon | Daily | +97.0% | 0.42 | -30.6% | 44.3% | 194 | +2.4% | 1.21 | +0.5% | 65 |
| 17 | Aroon Oscillator | Daily | +97.0% | 0.42 | -30.6% | 44.3% | 194 | +2.4% | 1.21 | +0.5% | 65 |
| 18 | CCI Trend | Daily | +130.5% | 0.51 | -31.2% | 36.1% | 274 | +3.1% | 1.17 | +0.3% | 85 |
| 19 | Smoothed Heikin-Ashi | Daily | +105.2% | 0.45 | -31.3% | 38.6% | 438 | +2.6% | 1.15 | 0.0% | 136 |
| 20 | ADXR | Daily | +137.5% | 0.67 | -22.9% | 33.0% | 176 | +3.2% | 1.15 | -1.7% | 54 |
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.