Does anything beat buy & hold on Natural Gas (NG)?
Every setup we tested on Natural Gas (NG) — 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 1.81 did not clear the 2.52 selection hurdle (best-of-N luck cannot be ruled out). Buy-and-hold benchmark: +4.1% CAGR over 7.7 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.
Natural Gas: the winner beat buy-and-hold in both windows — and still can't shake the luck problem
In Natural Gas, 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 1,507 indicator configurations on NG. The best, Holy Grail Confluence on the 1-hour timeframe, beat buy-and-hold in both windows — +1.8% annualized edge over the full period, +40.4% out of sample against a buy-and-hold CAGR of +4.1%. Over 2.3 out-of-sample years it took 113 trades, won 60.2% of them, and drew down -43.4% at worst.
Here is the honest read. When you test 1,507 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 2.52, and this setup's out-of-sample Sharpe of 1.81 falls short. Statistically, we cannot distinguish it from the luckiest of hundreds of tries. It also has company: 17.2% of setups edged buy-and-hold, which tends to happen when one regime dominated the sample. Of everything tested, 1,398 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.
Holy Grail Confluence
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 1-hour-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 1.81 · alpha +40.4% · 43 trades over 2.3 yrs.
WaveTrend (8/6/4)
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 4-hour-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 1.37 · alpha +34.9% · 23 trades over 2.5 yrs.
Stochastic Momentum Index
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 4-hour-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 1.3 · alpha +28.9% · 27 trades over 2.5 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 2026-10-25. Currently FLAT.
We tested 1,507 setups (indicator × parameters × timeframe) on Natural Gas (NG). Only setups with ≥30 trades qualify (1,398 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 1,507 tries mines even the holdout, the VALIDATED verdict additionally requires the top setup’s OOS Sharpe to clear a selection hurdle of 2.52 (√(2 ln N)/√T) AND positive alpha in both windows. Of the eligible setups, 17.2% had positive out-of-sample alpha (median OOS Sharpe -0.17) — 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 1,398 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 | Holy Grail Confluence | 1-Hour | +55.6% | 0.37 | -43.4% | 60.2% | 113 | +1.8% | 1.81 | +40.4% | 43 |
| 2 | WaveTrend (8/6/4) | 4-Hour | +202.5% | 0.65 | -29.8% | 62.7% | 59 | +10.4% | 1.37 | +34.9% | 23 |
| 3 | Stochastic Momentum Index | 4-Hour | +202.8% | 0.71 | -23.0% | 69.7% | 76 | +10.4% | 1.3 | +28.9% | 27 |
| 4 | SMC: Liquidity Sweep | 4-Hour | +138.9% | 0.53 | -33.3% | 73.1% | 52 | +7.2% | 1.2 | +33.8% | 21 |
| 5 | VWAP Bands | 4-Hour | +134.4% | 0.64 | -22.7% | 66.7% | 69 | +7.0% | 1.2 | +22.3% | 22 |
| 6 | Zero-Lag LSMA | 4-Hour | +110.6% | 0.46 | -38.8% | 41.5% | 217 | +5.6% | 1.1 | +33.3% | 64 |
| 7 | MA Envelope | 4-Hour | +62.3% | 0.38 | -33.9% | 68.6% | 86 | +2.2% | 1.07 | +22.0% | 23 |
| 8 | Keltner Mean-Reversion | 1-Hour | +49.1% | 0.38 | -22.3% | 56.8% | 176 | +1.2% | 1.03 | +16.2% | 49 |
| 9 | Murrey Math Lines | 1-Hour | +209.7% | 0.7 | -29.4% | 62.3% | 146 | +11.8% | 1.01 | +21.9% | 46 |
| 10 | Keltner Mean-Reversion | 4-Hour | +49.9% | 0.38 | -25.1% | 58.7% | 46 | +1.2% | 1.01 | +18.0% | 11 |
| 11 | RSI Mean-Reversion | 1-Hour | +72.7% | 0.5 | -29.1% | 69.1% | 97 | +3.3% | 1.0 | +16.2% | 27 |
| 12 | Stochastic | 4-Hour | +66.1% | 0.37 | -37.2% | 64.3% | 70 | +2.5% | 0.97 | +23.4% | 26 |
| 13 | Standard Error Bands | 4-Hour | +46.5% | 0.41 | -24.4% | 47.5% | 40 | +0.9% | 0.95 | +21.4% | 14 |
| 14 | Order-Flow Reversion | 4-Hour | +7.9% | 0.14 | -34.5% | 52.3% | 44 | -2.9% | 0.92 | +14.0% | 12 |
| 15 | Nadaraya-Watson Envelope | 1-Hour | +129.5% | 0.93 | -11.0% | 50.0% | 88 | +7.3% | 0.92 | +10.1% | 24 |
| 16 | Connors RSI-2 | 4-Hour | +158.9% | 0.67 | -24.0% | 62.2% | 185 | +8.3% | 0.88 | +16.2% | 54 |
| 17 | Keltner 10 (x1.5) | 4-Hour | +56.4% | 0.51 | -16.1% | 43.3% | 90 | +1.7% | 0.84 | +18.6% | 22 |
| 18 | Money Flow Index | 4-Hour | -7.1% | 0.1 | -52.8% | 55.3% | 38 | -4.7% | 0.8 | +24.9% | 15 |
| 19 | Williams %R | 4-Hour | +93.5% | 0.46 | -35.9% | 62.5% | 96 | +4.5% | 0.8 | +16.8% | 32 |
| 20 | Bollinger Mean-Reversion | 4-Hour | +51.3% | 0.36 | -32.5% | 58.2% | 55 | +1.3% | 0.8 | +14.5% | 16 |
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.