Does anything beat buy & hold on High Yield (HYG)?
Every setup we tested on High Yield (HYG) — 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: +4.8% CAGR over 19.4 years (+3.7% CAGR in the out-of-sample window).
Educational research from historical backtests — not investment advice. Past performance does not predict future results.
High Yield: Nothing Beat Buy-and-Hold, and That Is the Honest Answer
Broad, diversified instruments like High Yield are where indicator strategies go to disappoint. We ran 728 setups against HYG, and none cleared the bar once scored honestly — on data the strategy never saw. The best of the batch, TRIMA 200 Trend on the daily timeframe, posted an out-of-sample Sharpe of 0.89, short of the 1.51 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 +4.8% annualized return as the number nothing here managed to beat.
Read these figures with the selection problem in mind. Test 728 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 1.2% of setups outperformed buy-and-hold even in-sample, and the top candidate produced +0.1% annual alpha over 5.8 unseen years, across 36 trades with a 41.7% win rate and a -9.4% 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.
TRIMA 200 Trend
What it is: A trend-following rule: it holds while a smoothed trend reference is pointing up and goes flat when it turns. 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 0.89 · alpha +0.1% · 10 trades over 5.8 yrs.
ZLEMA 100 Trend
What it is: A trend-following rule: it holds while a smoothed trend reference is pointing up and goes flat when it turns. 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 0.89 · alpha -0.7% · 11 trades over 5.9 yrs.
Hull MA 100 Trend
What it is: A trend-following rule: it holds while a smoothed trend reference is pointing up and goes flat when it turns. 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 0.86 · alpha -0.6% · 11 trades over 5.9 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 FLAT.
We tested 728 setups (indicator × parameters × timeframe) on High Yield (HYG). Only setups with ≥30 trades qualify (579 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 728 tries mines even the holdout, the VALIDATED verdict additionally requires the top setup’s OOS Sharpe to clear a selection hurdle of 1.51 (√(2 ln N)/√T) AND positive alpha in both windows. Of the eligible setups, 1.2% had positive out-of-sample alpha (median OOS Sharpe 0.07) — 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 579 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 | TRIMA 200 Trend | Daily | +97.9% | 0.74 | -9.4% | 41.7% | 36 | -1.2% | 0.89 | +0.1% | 10 |
| 2 | ZLEMA 100 Trend | Weekly | +62.9% | 0.71 | -7.8% | 73.5% | 34 | -2.2% | 0.89 | -0.7% | 11 |
| 3 | Hull MA 100 Trend | Weekly | +95.1% | 0.89 | -5.5% | 67.6% | 34 | -1.3% | 0.86 | -0.6% | 11 |
| 4 | Vegas Tunnel | Daily | +84.1% | 0.66 | -10.9% | 37.5% | 64 | -1.6% | 0.85 | -0.3% | 15 |
| 5 | CCI (200) | Daily | +113.1% | 0.72 | -11.7% | 38.6% | 57 | -0.8% | 0.81 | -0.0% | 14 |
| 6 | Volume Flow Indicator | Daily | +100.8% | 0.64 | -10.3% | 37.3% | 51 | -1.1% | 0.81 | -0.7% | 19 |
| 7 | Relative Volatility Index | Weekly | +130.5% | 0.72 | -11.5% | 39.5% | 38 | -0.4% | 0.78 | -0.8% | 11 |
| 8 | Chaikin Money Flow | Weekly | +60.8% | 0.31 | -37.4% | 45.5% | 33 | -2.3% | 0.77 | -0.1% | 11 |
| 9 | Chaikin Oscillator | Weekly | +29.5% | 0.2 | -42.1% | 50.0% | 52 | -3.4% | 0.77 | -0.3% | 15 |
| 10 | A/D Oscillator | Weekly | +29.5% | 0.2 | -42.1% | 50.0% | 52 | -3.4% | 0.77 | -0.3% | 15 |
| 11 | RSI (50) | Daily | +126.9% | 0.73 | -14.0% | 45.8% | 83 | -0.5% | 0.73 | -0.3% | 26 |
| 12 | EMA 200 Trend | Daily | +116.7% | 0.72 | -10.4% | 37.3% | 59 | -0.7% | 0.73 | -0.5% | 15 |
| 13 | Twiggs Money Flow | Weekly | +51.9% | 0.29 | -40.7% | 49.0% | 51 | -2.6% | 0.72 | -0.4% | 15 |
| 14 | SMA 200 Trend | Daily | +71.5% | 0.57 | -11.0% | 28.8% | 66 | -2.0% | 0.72 | -0.7% | 12 |
| 15 | EMA 100 Trend | Daily | +121.3% | 0.71 | -14.0% | 44.6% | 83 | -0.6% | 0.71 | -0.5% | 26 |
| 16 | Disparity (100) | Daily | +123.3% | 0.72 | -14.0% | 44.6% | 83 | -0.6% | 0.71 | -0.5% | 26 |
| 17 | Accumulation/Distribution | Weekly | +33.8% | 0.21 | -40.1% | 48.1% | 52 | -3.2% | 0.71 | -0.5% | 14 |
| 18 | CMO (21) | Weekly | +109.9% | 0.68 | -10.2% | 50.0% | 32 | -0.9% | 0.7 | -0.7% | 11 |
| 19 | HLC Trend | Weekly | +102.8% | 0.67 | -11.0% | 50.0% | 40 | -1.1% | 0.7 | -0.7% | 12 |
| 20 | DeMarker (7) | Weekly | +45.2% | 0.35 | -14.8% | 54.7% | 64 | -2.8% | 0.7 | -0.8% | 20 |
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.