Does anything beat buy & hold on Nikkei 225?
Every setup we tested on Nikkei 225 — 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 trailed buy-and-hold out-of-sample. Buy-and-hold benchmark: +6.6% CAGR over 61.9 years (+9.3% CAGR in the out-of-sample window).
Educational research from historical backtests — not investment advice. Past performance does not predict future results.
Nikkei 225: Nothing Beat Buy-and-Hold, and That Is the Honest Answer
Broad, diversified instruments like Nikkei 225 are where indicator strategies go to disappoint. We ran 751 setups against N225, and none cleared the bar once scored honestly — on data the strategy never saw. The best of the batch, Momentum (50) on the weekly timeframe, posted an out-of-sample Sharpe of 0.65, short of the 0.84 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 +6.6% annualized return as the number nothing here managed to beat.
Read these figures with the selection problem in mind. Test 751 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 0.1% of setups outperformed buy-and-hold even in-sample, and the top candidate produced -0.3% annual alpha over 18.6 unseen years, across 63 trades with a 52.4% win rate and a -43.4% 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.
Momentum (50)
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 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 0.65 · alpha -0.3% · 25 trades over 18.6 yrs.
Keltner 20 Break
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 0.64 · alpha -4.9% · 30 trades over 18.6 yrs.
Least Squares MA
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 0.61 · alpha -1.6% · 74 trades over 18.6 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 2026-10-26. Currently LONG.
We tested 751 setups (indicator × parameters × timeframe) on Nikkei 225. Only setups with ≥30 trades qualify (714 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 751 tries mines even the holdout, the VALIDATED verdict additionally requires the top setup’s OOS Sharpe to clear a selection hurdle of 0.84 (√(2 ln N)/√T) AND positive alpha in both windows. Of the eligible setups, 0.1% had positive out-of-sample alpha (median OOS Sharpe 0.3) — 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 714 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 | Momentum (50) | Weekly | >+999% | 0.59 | -43.4% | 52.4% | 63 | +0.4% | 0.65 | -0.3% | 25 |
| 2 | Keltner 20 Break | Weekly | +858.3% | 0.54 | -28.9% | 50.0% | 124 | -2.9% | 0.64 | -4.9% | 30 |
| 3 | Least Squares MA | Weekly | >+999% | 0.46 | -62.7% | 52.0% | 254 | -1.6% | 0.61 | -1.6% | 74 |
| 4 | ADX / DMI | Daily | >+999% | 0.63 | -38.2% | 43.3% | 344 | -0.9% | 0.61 | -3.1% | 95 |
| 5 | LSMA 30 Trend | Weekly | >+999% | 0.58 | -35.9% | 53.8% | 221 | -1.2% | 0.6 | -2.8% | 67 |
| 6 | Stoch RSI (fast) | Weekly | >+999% | 0.45 | -63.6% | 49.4% | 348 | -1.7% | 0.59 | -2.0% | 109 |
| 7 | LSMA 100 Trend | Weekly | >+999% | 0.54 | -36.9% | 43.3% | 90 | -1.2% | 0.59 | -2.3% | 22 |
| 8 | ZLEMA 100 Trend | Weekly | >+999% | 0.57 | -33.7% | 47.7% | 107 | -0.8% | 0.59 | -2.4% | 31 |
| 9 | Klinger Oscillator | Weekly | +239.9% | 0.29 | -31.8% | 51.8% | 137 | -4.6% | 0.59 | -2.6% | 104 |
| 10 | QQE | Weekly | >+999% | 0.41 | -80.0% | 46.8% | 188 | -0.7% | 0.57 | +0.6% | 55 |
| 11 | KAMA 200 Trend | Weekly | >+999% | 0.58 | -33.2% | 45.3% | 64 | 0.0% | 0.57 | -1.6% | 17 |
| 12 | DEMA 30 Trend | Weekly | >+999% | 0.63 | -29.6% | 41.8% | 213 | -0.3% | 0.57 | -3.0% | 71 |
| 13 | Ultimate Osc (4,8,16) | Weekly | >+999% | 0.59 | -55.7% | 49.7% | 288 | +0.3% | 0.56 | -1.9% | 84 |
| 14 | Williams %R (7) | Weekly | >+999% | 0.5 | -43.8% | 47.6% | 294 | -1.1% | 0.56 | -2.4% | 88 |
| 15 | MBFX Timing | Weekly | >+999% | 0.5 | -43.8% | 47.6% | 294 | -1.1% | 0.56 | -2.4% | 88 |
| 16 | T3 10/40 Cross | Weekly | >+999% | 0.42 | -53.8% | 51.4% | 37 | -1.9% | 0.53 | -2.0% | 12 |
| 17 | CMO (21) | Weekly | >+999% | 0.58 | -31.9% | 50.4% | 115 | +0.2% | 0.53 | -2.2% | 43 |
| 18 | Ichimoku TK Cross | Weekly | >+999% | 0.48 | -48.2% | 42.6% | 68 | -1.1% | 0.53 | -2.3% | 29 |
| 19 | Know Sure Thing | Weekly | >+999% | 0.41 | -51.5% | 48.8% | 84 | -2.2% | 0.53 | -2.6% | 27 |
| 20 | DEMA 200 Trend | Weekly | >+999% | 0.45 | -36.1% | 44.8% | 58 | -2.2% | 0.53 | -2.9% | 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.