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 0.85 did not clear the 1.31 selection hurdle (best-of-N luck cannot be ruled out). Buy-and-hold benchmark: +1.3% CAGR over 25.7 years (+1.3% 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 753 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, +23.4% out of sample against a buy-and-hold CAGR of +1.3%. Over 7.7 out-of-sample years it took 657 trades, won 46.1% of them, and drew down -79.8% at worst.
Here is the honest read. When you test 753 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 1.31, and this setup's out-of-sample Sharpe of 0.85 falls short. Statistically, we cannot distinguish it from the luckiest of hundreds of tries. It also has company: 21.6% of setups edged buy-and-hold, which tends to happen when one regime dominated the sample. Of everything tested, 685 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.
Chande Forecast Osc.
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 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 0.85 · alpha +23.4% · 187 trades over 7.7 yrs.
Connors RSI-2
What it is: A mean-reversion rule: it fades stretched moves and exits as price reverts toward its average. 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 0.79 · alpha +16.2% · 20 trades over 7.8 yrs.
Camarilla Pivots
What it is: A mean-reversion rule: it fades stretched moves and exits as price reverts toward its average. 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 +18.5% · 89 trades over 7.8 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 2026-10-26. Currently LONG.
We tested 753 setups (indicator × parameters × timeframe) on Lean Hogs (HE). Only setups with ≥30 trades qualify (685 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 753 tries mines even the holdout, the VALIDATED verdict additionally requires the top setup’s OOS Sharpe to clear a selection hurdle of 1.31 (√(2 ln N)/√T) AND positive alpha in both windows. Of the eligible setups, 21.6% had positive out-of-sample alpha (median OOS Sharpe -0.01) — 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 685 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% | 0.51 | -79.8% | 46.1% | 657 | +9.4% | 0.85 | +23.4% | 187 |
| 2 | Connors RSI-2 | Weekly | +862.5% | 0.48 | -48.2% | 57.5% | 73 | +7.8% | 0.79 | +16.2% | 20 |
| 3 | Camarilla Pivots | Weekly | +74.1% | 0.21 | -80.8% | 53.0% | 266 | +0.9% | 0.78 | +18.5% | 89 |
| 4 | Klinger Oscillator | Daily | +699.0% | 0.45 | -40.8% | 45.6% | 458 | +7.1% | 0.74 | +18.4% | 152 |
| 5 | Williams %R | Daily | +195.0% | 0.3 | -71.9% | 67.8% | 171 | +3.0% | 0.72 | +15.2% | 58 |
| 6 | B-Xtrender | Daily | >+999% | 0.56 | -46.0% | 44.9% | 519 | +8.5% | 0.71 | +12.7% | 161 |
| 7 | VWAP Bands | Daily | +138.0% | 0.26 | -74.8% | 71.4% | 91 | +2.1% | 0.71 | +12.6% | 32 |
| 8 | HMA 9/21 Cross | Daily | +489.5% | 0.39 | -57.7% | 45.3% | 411 | +5.8% | 0.67 | +16.6% | 117 |
| 9 | Zero-Lag MACD | Daily | +133.6% | 0.26 | -84.6% | 49.4% | 534 | +2.1% | 0.67 | +15.6% | 152 |
| 10 | Morning Star | Daily | +196.6% | 0.32 | -48.5% | 50.2% | 253 | +3.0% | 0.65 | +11.5% | 77 |
| 11 | FRAMA 10/30 Cross | Weekly | +66.5% | 0.2 | -71.6% | 46.2% | 80 | +0.7% | 0.64 | +13.3% | 27 |
| 12 | Markov Regime (Confirmed) | Weekly | +28.5% | 0.15 | -80.4% | 51.6% | 62 | -0.3% | 0.64 | +13.0% | 23 |
| 13 | Keltner 20 Break | Daily | +108.1% | 0.27 | -44.8% | 42.2% | 230 | +1.6% | 0.62 | +7.5% | 62 |
| 14 | MA Envelope | Weekly | >+999% | 0.51 | -57.4% | 71.4% | 70 | +9.7% | 0.61 | +13.7% | 21 |
| 15 | Stochastic | Daily | +179.3% | 0.28 | -76.9% | 69.1% | 136 | +2.8% | 0.6 | +12.9% | 46 |
| 16 | Connors RSI | Weekly | +487.0% | 0.4 | -63.7% | 70.1% | 67 | +5.8% | 0.6 | +11.8% | 18 |
| 17 | Lorentzian Classification | Weekly | +560.8% | 0.42 | -47.4% | 51.0% | 194 | +6.3% | 0.58 | +11.6% | 74 |
| 18 | Ehlers Cyber Cycle | Daily | +405.8% | 0.37 | -74.3% | 45.9% | 625 | +5.2% | 0.57 | +12.9% | 183 |
| 19 | Stoch RSI (fast) | Daily | +673.4% | 0.43 | -71.9% | 41.6% | 615 | +7.0% | 0.57 | +12.4% | 181 |
| 20 | Least Squares MA | Daily | +736.7% | 0.45 | -47.7% | 42.8% | 418 | +7.3% | 0.57 | +11.8% | 130 |
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.