Does anything beat buy & hold on Lean Hogs (HE)?
Every setup we tested on Lean Hogs (HE) — 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 1.07 did not clear the 1.32 selection hurdle (best-of-N luck cannot be ruled out). Buy-and-hold benchmark: +2.7% CAGR over 25.4 years (+7.5% CAGR in the out-of-sample window).
Educational research from historical backtests — not investment advice. Past performance does not predict future results.
Lean Hogs: the winner beat buy-and-hold in both windows — and still can't shake the luck problem
In Lean Hogs, 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 759 indicator configurations on HE. The best, Chande Forecast Osc. on the daily timeframe, beat buy-and-hold in both windows — +9.4% annualized edge over the full period, +26.5% out of sample against a buy-and-hold CAGR of +2.7%. Over 7.6 out-of-sample years it took 650 trades, won 46.2% of them, and drew down -79.8% at worst.
Here is the honest read. When you test 759 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 1.32, and this setup's out-of-sample Sharpe of 1.07 falls short. Statistically, we cannot distinguish it from the luckiest of hundreds of tries. It also has company: 11.7% of setups edged buy-and-hold, which tends to happen when one regime dominated the sample. Of everything tested, 691 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.
Top setups as mechanical rules
Exactly as the backtest defined them — no discretionary steps, no hidden filters.
Chande Forecast Osc.
Mechanical rule (exactly as backtested): Price vs its time-series (linear-regression) forecast — long while the forecast oscillator is 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 1.07 · alpha +26.5% · 183 trades over 7.6 yrs.
Camarilla Pivots
Mechanical rule (exactly as backtested): Camarilla S3/R3 levels — buy the stretch below S3, exit back at prior close. 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 0.93 · alpha +20.3% · 88 trades over 7.7 yrs.
Connors RSI-2
Mechanical rule (exactly as backtested): Larry Connors' mean-reversion — buy RSI(2) below 10, exit above 70. 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 0.89 · alpha +15.4% · 19 trades over 7.7 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 759 setups (indicator × parameters × timeframe) on Lean Hogs (HE). Only setups with ≥30 trades qualify (691 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 759 tries mines even the holdout, the VALIDATED verdict additionally requires the top setup’s OOS Sharpe to clear a selection hurdle of 1.32 (√(2 ln N)/√T) AND positive alpha in both windows. Of the eligible setups, 11.7% had positive out-of-sample alpha (median OOS Sharpe -0.01) — 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 691 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 | Chande Forecast Osc. | Daily | >+999% | 0.55 | -79.8% | 46.2% | 650 | +9.4% | 1.07 | +26.5% | 183 |
| 2 | Camarilla Pivots | Weekly | +107.5% | 0.24 | -80.8% | 53.4% | 262 | +0.2% | 0.93 | +20.3% | 88 |
| 3 | Connors RSI-2 | Weekly | >+999% | 0.51 | -48.2% | 58.3% | 72 | +7.2% | 0.89 | +15.4% | 19 |
| 4 | Zero-Lag MACD | Daily | +206.7% | 0.3 | -84.6% | 49.6% | 528 | +1.8% | 0.86 | +16.9% | 150 |
| 5 | Zero-Lag MACD | Daily | +206.7% | 0.3 | -84.6% | 49.6% | 528 | +1.8% | 0.86 | +16.9% | 150 |
| 6 | Stochastic | Daily | +277.1% | 0.33 | -76.9% | 70.1% | 134 | +2.6% | 0.86 | +15.9% | 46 |
| 7 | Fibonacci Pivots | Weekly | +25.3% | 0.16 | -84.7% | 57.1% | 203 | -1.8% | 0.84 | +17.6% | 66 |
| 8 | Pivot Points (Standard) | Weekly | +36.2% | 0.17 | -82.5% | 56.8% | 190 | -1.5% | 0.84 | +17.4% | 60 |
| 9 | Williams %R | Daily | +245.1% | 0.32 | -71.9% | 69.0% | 168 | +2.3% | 0.82 | +12.0% | 57 |
| 10 | HMA 9/21 Cross | Daily | +649.9% | 0.43 | -57.7% | 45.6% | 406 | +5.5% | 0.79 | +15.1% | 115 |
| 11 | VWAP Bands | Daily | +162.5% | 0.28 | -74.8% | 71.9% | 89 | +1.1% | 0.78 | +8.0% | 30 |
| 12 | MA Envelope | Daily | +86.5% | 0.22 | -77.5% | 71.9% | 146 | -0.3% | 0.76 | +10.2% | 51 |
| 13 | Connors RSI | Weekly | +584.9% | 0.42 | -63.7% | 71.2% | 66 | +5.1% | 0.75 | +13.5% | 18 |
| 14 | Klinger Oscillator | Daily | +683.5% | 0.45 | -40.8% | 45.6% | 454 | +5.7% | 0.75 | +12.5% | 152 |
| 15 | MA Envelope | Weekly | >+999% | 0.54 | -57.4% | 72.5% | 69 | +9.1% | 0.74 | +15.4% | 21 |
| 16 | Markov Regime (Confirmed) | Weekly | +49.9% | 0.18 | -80.4% | 52.5% | 61 | -1.1% | 0.74 | +13.1% | 23 |
| 17 | Lorentzian Classification | Weekly | +866.3% | 0.49 | -47.4% | 51.6% | 190 | +6.6% | 0.72 | +12.6% | 71 |
| 18 | B-Xtrender | Daily | >+999% | 0.59 | -46.0% | 45.0% | 515 | +7.6% | 0.72 | +6.7% | 163 |
| 19 | Murrey Math Lines | Daily | +848.9% | 0.47 | -70.0% | 76.0% | 75 | +6.5% | 0.71 | +10.2% | 24 |
| 20 | CCI | Daily | +116.2% | 0.25 | -59.8% | 72.7% | 110 | +0.3% | 0.71 | +9.4% | 36 |
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.