Does anything beat buy & hold on Nasdaq Futures (NQ)?
Every setup we tested on Nasdaq Futures (NQ) — 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 out-of-sample AND cleared the multiple-testing hurdle.
Beat buy-and-hold out-of-sample AND full-sample out-of-sample Sharpe 1.45 cleared the selection hurdle 1.31. Buy-and-hold benchmark: +8.4% CAGR over 25.8 years (+19.2% CAGR in the out-of-sample window).
Educational research from historical backtests — not investment advice. Past performance does not predict future results.
Nasdaq Futures: Net Volume cleared the bar — here is what that does and does not mean
Macro instruments like Nasdaq Futures are a distinct test bed. Roll costs bleed passive holders, returns cluster around regime shifts, and long flat stretches mean buy-and-hold (+8.4%% CAGR here) can spend years going nowhere. That structure gives rules-based timing something real to work with: sidestepping dead regimes is worth more than in a steadily compounding equity index. Out of 734 indicators tested on NQ, Net Volume on the daily timeframe beat buy-and-hold in the full window (+0.4%% annualized alpha) and again out of sample (+3.3%%), across 289 trades.
The reason we call this validated rather than interesting: the out-of-sample Sharpe of 1.45 cleared a hurdle of 1.31, a threshold that exists because selecting the best of 734 attempts manufactures winners by construction. Clearing it over 7.7 out-of-sample years — with a 50.9%% win rate and a -70.9%% max drawdown — makes pure selection luck less likely. It does not make the edge permanent. Macro regimes rotate, and a filter that avoided one flat decade may misread the next. Only 0.8%% of setups here beat buy-and-hold; treat this as a rare finding worth studying, not a forecast.
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.
Net Volume
Mechanical rule (exactly as backtested): Signed volume summed over a window — long while net buying. 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 1.45 · alpha +3.3% · 79 trades over 7.7 yrs.
Liquidity Flow Oscillator
Mechanical rule (exactly as backtested): Net signed-volume flow oscillator — long while liquidity is net entering (flow > 0), flat when it flips. Abstains on feeds with no real volume. 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 1.45 · alpha +3.3% · 79 trades over 7.7 yrs.
FRAMA 30 Trend
Mechanical rule (exactly as backtested): VARIANT — price above a rising FRAMA(30). 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 1.37 · alpha -0.7% · 36 trades over 7.8 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 FLAT.
We tested 734 setups (indicator × parameters × timeframe) on Nasdaq Futures (NQ). Only setups with ≥30 trades qualify (626 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 734 tries mines even the holdout, the VALIDATED verdict additionally requires the top setup’s OOS Sharpe to clear a selection hurdle of 1.31 (√(2 ln N)/√T) AND positive alpha in both windows. Of the eligible setups, 0.8% had positive out-of-sample alpha (median OOS Sharpe 0.69) — 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 626 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 | Net Volume | Daily | +763.4% | 0.62 | -70.9% | 50.9% | 289 | +0.4% | 1.45 | +3.3% | 79 |
| 2 | Liquidity Flow Oscillator | Daily | +763.4% | 0.62 | -70.9% | 50.9% | 289 | +0.4% | 1.45 | +3.3% | 79 |
| 3 | FRAMA 30 Trend | Weekly | +292.6% | 0.48 | -35.7% | 55.5% | 146 | -2.8% | 1.37 | -0.7% | 36 |
| 4 | Chaikin Oscillator | Weekly | +605.2% | 0.57 | -39.3% | 52.1% | 71 | -0.4% | 1.21 | +0.9% | 12 |
| 5 | A/D Oscillator | Weekly | +605.2% | 0.57 | -39.3% | 52.1% | 71 | -0.4% | 1.21 | +0.9% | 12 |
| 6 | Q-Stick | Weekly | +488.8% | 0.55 | -34.6% | 53.2% | 109 | -1.1% | 1.12 | -1.4% | 31 |
| 7 | Delta Volume Rising (CVD proxy) | Weekly | +338.3% | 0.46 | -48.0% | 54.3% | 127 | -2.3% | 1.12 | -2.1% | 32 |
| 8 | Fractal Adaptive MA | Weekly | +232.1% | 0.44 | -29.9% | 50.6% | 160 | -3.5% | 1.11 | -5.5% | 48 |
| 9 | FRAMA 10/30 Cross | Weekly | +980.1% | 0.72 | -32.1% | 61.9% | 97 | +1.4% | 1.1 | -3.2% | 28 |
| 10 | Williams %R (21) | Weekly | +683.9% | 0.62 | -32.2% | 62.1% | 58 | +0.1% | 1.09 | -1.2% | 14 |
| 11 | Ehlers Decycler | Weekly | +835.8% | 0.68 | -24.6% | 54.2% | 72 | +0.8% | 1.09 | -1.6% | 18 |
| 12 | Disparity (20) | Weekly | +820.2% | 0.67 | -24.6% | 54.8% | 73 | +0.8% | 1.09 | -1.6% | 18 |
| 13 | Delta Volume (CVD proxy) | Weekly | +517.2% | 0.54 | -47.7% | 57.7% | 78 | -0.9% | 1.08 | -1.5% | 14 |
| 14 | Volume-Weighted EMA | Weekly | >+999% | 0.73 | -22.9% | 57.4% | 68 | +1.7% | 1.08 | -1.8% | 18 |
| 15 | Williams %R (28) | Weekly | +770.8% | 0.63 | -33.6% | 54.2% | 48 | +0.5% | 1.07 | -1.3% | 12 |
| 16 | Impulse MACD | Weekly | +151.6% | 0.39 | -21.8% | 53.5% | 99 | -4.6% | 1.07 | -5.4% | 27 |
| 17 | McGinley Dynamic | Weekly | >+999% | 0.67 | -39.7% | 59.2% | 49 | +1.7% | 1.06 | -0.5% | 12 |
| 18 | VIDYA | Weekly | >+999% | 0.74 | -28.0% | 67.6% | 37 | +1.9% | 1.06 | -1.6% | 10 |
| 19 | Premier Stochastic | Daily | +105.9% | 0.26 | -56.8% | 41.5% | 207 | -5.5% | 1.06 | -2.2% | 51 |
| 20 | HLC Trend | Weekly | +863.7% | 0.7 | -22.2% | 55.9% | 59 | +1.0% | 1.06 | -2.4% | 17 |
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.