Does anything beat buy & hold on Itau?
Every setup we tested on Itau — 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: +12.9% CAGR over 24.3 years (+8.7% CAGR in the out-of-sample window).
Educational research from historical backtests — not investment advice. Past performance does not predict future results.
ITUB: we tested 743 setups and none beat simply holding Itau
For Itau (ITUB), we ran 743 indicator configurations against a plain buy-and-hold benchmark, and none of them earned the right to replace it. Individual stocks carry idiosyncratic risk — earnings surprises, guidance changes, sector rotation — that indicators built on price history cannot see coming. The best-looking setup, DEMA 20/50 Cross on the daily timeframe, ranked at the top in-sample but delivered an out-of-sample Sharpe of 1.03, short of our hurdle of 1.35. Buy-and-hold returned +12.9% annualized over the test period; the top strategies mostly captured pieces of that same move while adding trading friction.
How to read this honestly: when you test 743 setups and keep the best one, something will always look impressive by chance alone. That is why we require the survivor to clear 1.35 out of sample. DEMA 20/50 Cross managed 1.03, with out-of-sample alpha of +16.6% across 7.3 years and 97 trades, and only 20.2% of everything we tested beat the benchmark on unseen data — roughly what luck would produce. None of this predicts anything: the regime that generated these numbers can shift, and single stocks shift faster than most. Treat this page as a record of what failed under honest testing, not a forecast.
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.
DEMA 20/50 Cross
Mechanical rule (exactly as backtested): Double-EMA cross — less lag than a standard EMA cross. 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 1.03 · alpha +16.6% · 25 trades over 7.3 yrs.
Derivative Oscillator
Mechanical rule (exactly as backtested): Constance Brown's double-smoothed RSI histogram — long while positive and rising. 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 1.0 · alpha +11.6% · 22 trades over 7.3 yrs.
Zero-Lag LSMA
Mechanical rule (exactly as backtested): Lag-corrected Least Squares MA — long while price holds above the ZLSMA. 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 0.88 · alpha +14.6% · 20 trades over 7.3 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 743 setups (indicator × parameters × timeframe) on Itau. Only setups with ≥30 trades qualify (643 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 743 tries mines even the holdout, the VALIDATED verdict additionally requires the top setup’s OOS Sharpe to clear a selection hurdle of 1.35 (√(2 ln N)/√T) AND positive alpha in both windows. Of the eligible setups, 20.2% had positive out-of-sample alpha (median OOS Sharpe 0.25) — 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 643 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 | DEMA 20/50 Cross | Daily | +917.7% | 0.47 | -59.8% | 46.4% | 97 | -2.9% | 1.03 | +16.6% | 25 |
| 2 | Derivative Oscillator | Weekly | >+999% | 0.64 | -34.9% | 58.0% | 81 | -0.7% | 1.0 | +11.6% | 22 |
| 3 | Zero-Lag LSMA | Weekly | >+999% | 0.5 | -55.4% | 60.8% | 79 | -2.2% | 0.88 | +14.6% | 20 |
| 4 | Relative Vigor Index | Weekly | >+999% | 0.52 | -67.8% | 60.7% | 89 | -1.0% | 0.86 | +14.0% | 26 |
| 5 | Hull MA 100 Trend | Daily | >+999% | 0.54 | -32.4% | 43.5% | 184 | -2.3% | 0.85 | +8.4% | 50 |
| 6 | Rate of Change | Daily | +546.1% | 0.41 | -83.6% | 45.0% | 382 | -4.9% | 0.83 | +10.3% | 114 |
| 7 | Pascal's Weighted MA | Daily | +810.2% | 0.52 | -46.8% | 43.2% | 303 | -3.4% | 0.83 | +6.8% | 83 |
| 8 | Donchian 20 Break | Daily | +682.5% | 0.44 | -76.4% | 52.1% | 73 | -4.1% | 0.79 | +9.0% | 19 |
| 9 | CCI (50) | Daily | >+999% | 0.62 | -47.2% | 39.8% | 161 | +1.6% | 0.78 | +9.1% | 41 |
| 10 | RSI Trend (>50) | Daily | +450.5% | 0.39 | -71.2% | 40.3% | 325 | -5.6% | 0.75 | +8.3% | 88 |
| 11 | Holt Double-Exp MA | Weekly | +450.1% | 0.4 | -66.2% | 55.2% | 116 | -5.6% | 0.74 | +6.4% | 27 |
| 12 | LSMA 100 Trend | Daily | +569.1% | 0.44 | -61.2% | 42.1% | 233 | -4.8% | 0.74 | +6.0% | 58 |
| 13 | Ulcer Index | Daily | >+999% | 0.57 | -31.0% | 39.0% | 159 | -1.9% | 0.74 | +4.9% | 43 |
| 14 | Standard Error Bands | Daily | +41.6% | 0.19 | -50.2% | 39.7% | 68 | -11.5% | 0.74 | -0.9% | 22 |
| 15 | ALMA 100 Trend | Daily | >+999% | 0.58 | -44.6% | 45.5% | 154 | -0.4% | 0.73 | +6.7% | 38 |
| 16 | Acceleration Bands | Daily | +130.4% | 0.27 | -67.0% | 39.1% | 304 | -9.4% | 0.73 | +3.1% | 77 |
| 17 | Ehlers Relative Vigor | Weekly | >+999% | 0.49 | -71.5% | 57.6% | 99 | -1.8% | 0.72 | +9.4% | 28 |
| 18 | RSI (21) | Daily | +649.4% | 0.43 | -70.9% | 44.4% | 266 | -4.3% | 0.72 | +7.3% | 69 |
| 19 | Ease of Movement | Daily | +685.8% | 0.44 | -82.5% | 40.7% | 312 | -4.1% | 0.72 | +7.2% | 96 |
| 20 | Donchian Breakout | Daily | +209.9% | 0.31 | -79.2% | 48.0% | 102 | -8.2% | 0.71 | +5.0% | 28 |
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.