Does anything beat buy & hold on Lighter (LIT)?
Every setup we tested on Lighter (LIT) — 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 1.3 did not clear the 2.59 selection hurdle (best-of-N luck cannot be ruled out). Buy-and-hold benchmark: -69.0% CAGR over 6.2 years (-75.9% CAGR in the out-of-sample window).
Educational research from historical backtests — not investment advice. Past performance does not predict future results.
Lighter (LIT): Beat Buy-and-Hold in Both Windows, Couldn't Beat the Selection Hurdle
Crypto sets a brutal baseline: Lighter compounds at -69.0% annualized just for holding, and it charges drawdowns near -93.5% for the privilege. Against that backdrop we ran 589 indicator configurations on LIT. The best of them — Camarilla Pivots on the weekly timeframe — beat buy-and-hold in both the training and holdout windows, with a profitable out-of-sample trade profile across 62 trades. That is genuinely uncommon here. But 'best of 589' is exactly the phrase that should make you slow down, which is what the second paragraph is for.
When you pick the winner from 589 attempts, the result is partly signal and partly luck of the draw. Our hurdle corrects for that: with this many tries and 1.9 years of holdout data, an out-of-sample Sharpe needs to clear 2.59 before we trust it. This one landed at 1.3 — profitable, but statistically indistinguishable from the luckiest of hundreds of tries. Add that crypto structure keeps changing — new venues, new participants, shifting volatility regimes — and a pattern from the past has no obligation to repeat. Treat this as a research lead, not an edge.
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.
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 1.3 · alpha +738.6% · 22 trades over 1.9 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 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 1.26 · alpha +499.5% · 33 trades over 2.7 yrs.
QQE
Mechanical rule (exactly as backtested): Quantitative Qualitative Estimation — smoothed RSI with an ATR-of-RSI trailing band. 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 1.24 · alpha -2.1% · 38 trades over 2.7 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 2025-06-09. Currently FLAT.
We tested 589 setups (indicator × parameters × timeframe) on Lighter (LIT). Only setups with ≥30 trades qualify (347 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 589 tries mines even the holdout, the VALIDATED verdict additionally requires the top setup’s OOS Sharpe to clear a selection hurdle of 2.59 (√(2 ln N)/√T) AND positive alpha in both windows. Of the eligible setups, 33.7% had positive out-of-sample alpha (median OOS Sharpe 0.64) — 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 347 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 | Camarilla Pivots | Weekly | >+999% | 0.84 | -93.5% | 50.0% | 62 | +145.3% | 1.3 | +738.6% | 22 |
| 2 | Connors RSI-2 | Daily | >+999% | 0.91 | -96.5% | 54.6% | 97 | +178.2% | 1.26 | +499.5% | 33 |
| 3 | QQE | Daily | -100.0% | 0.92 | -100.0% | 34.1% | 126 | -21.5% | 1.24 | -2.1% | 38 |
| 4 | MA Envelope | Daily | >+999% | 1.45 | -97.1% | 57.9% | 133 | >+999% | 1.23 | +342.8% | 25 |
| 5 | VWAP Bands | Daily | >+999% | 1.01 | -95.4% | 55.0% | 40 | +420.6% | 1.22 | +881.5% | 11 |
| 6 | Connors RSI | Daily | >+999% | 1.01 | -96.4% | 57.1% | 91 | +315.7% | 1.21 | +307.9% | 26 |
| 7 | On-Balance Volume | Daily | -100.0% | 0.77 | -100.0% | 40.6% | 187 | -19.7% | 1.2 | -13.0% | 54 |
| 8 | Projection Bands | Daily | >+999% | 1.28 | -96.2% | 64.7% | 85 | +524.8% | 1.19 | +304.0% | 27 |
| 9 | McGinley Dynamic | Daily | -100.0% | 0.73 | -100.0% | 31.9% | 119 | -31.4% | 1.17 | +18.3% | 22 |
| 10 | Pivot Points (Standard) | Weekly | >+999% | 0.95 | -88.5% | 58.3% | 48 | +240.2% | 1.13 | +624.7% | 18 |
| 11 | Bollinger Mean-Reversion | Daily | >+999% | 0.87 | -96.2% | 66.7% | 39 | +266.3% | 1.08 | +296.8% | 11 |
| 12 | Fibonacci Bands | Daily | >+999% | 0.87 | -96.2% | 66.7% | 39 | +266.3% | 1.08 | +296.8% | 11 |
| 13 | Camarilla Pivots | Daily | >+999% | 1.12 | -89.0% | 50.0% | 498 | >+999% | 1.07 | +396.9% | 141 |
| 14 | Fisher Transform | Daily | -100.0% | 0.6 | -100.0% | 37.2% | 218 | -2.9% | 1.07 | +193.2% | 56 |
| 15 | Lorentzian Classification | Daily | >+999% | 0.82 | -98.1% | 49.8% | 327 | +149.4% | 1.06 | +422.2% | 124 |
| 16 | Williams %R | Daily | +76.4% | 1.01 | -99.2% | 54.0% | 50 | +62.0% | 1.05 | +146.2% | 20 |
| 17 | Net Volume | Daily | -100.0% | 0.84 | -100.0% | 44.8% | 145 | -2.7% | 1.05 | -11.8% | 47 |
| 18 | Liquidity Flow Oscillator | Daily | -100.0% | 0.83 | -100.0% | 42.8% | 138 | -3.4% | 1.04 | -14.0% | 43 |
| 19 | Zero-Lag LSMA | Daily | -100.0% | 0.54 | -100.0% | 42.3% | 137 | -13.1% | 1.03 | +303.2% | 30 |
| 20 | DeMarker (7) | Daily | -100.0% | 0.6 | -100.0% | 34.7% | 176 | -22.2% | 1.03 | +68.7% | 44 |
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.