Does anything beat buy & hold on Royal Bank Canada?
Every setup we tested on Royal Bank Canada — 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: +16.6% CAGR over 30.6 years (+15.9% CAGR in the out-of-sample window).
Educational research from historical backtests — not investment advice. Past performance does not predict future results.
RY: we tested 741 setups and none beat simply holding Royal Bank Canada
For Royal Bank Canada (RY), we ran 741 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, Range Filter on the daily timeframe, ranked at the top in-sample but delivered an out-of-sample Sharpe of 1.47, short of our hurdle of 1.2. Buy-and-hold returned +16.6% 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 741 setups and keep the best one, something will always look impressive by chance alone. That is why we require the survivor to clear 1.2 out of sample. Range Filter managed 1.47, with out-of-sample alpha of -6.0% across 9.2 years and 607 trades, and only 0.8% 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.
Range Filter
Mechanical rule (exactly as backtested): Smoothed range-based trend filter — long while the range filter is rising. 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 1.47 · alpha -6.0% · 164 trades over 9.2 yrs.
TEMA 20/50 Cross
Mechanical rule (exactly as backtested): Triple-EMA cross — even less lag, follows fast trends. 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 1.3 · alpha +0.8% · 47 trades over 9.2 yrs.
Ehlers Reflex
Mechanical rule (exactly as backtested): Ehlers' 2020 Reflex oscillator — a low-lag cycle/trend gauge; long while positive. 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 1.29 · alpha +0.4% · 72 trades over 9.2 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 741 setups (indicator × parameters × timeframe) on Royal Bank Canada. Only setups with ≥30 trades qualify (664 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 741 tries mines even the holdout, the VALIDATED verdict additionally requires the top setup’s OOS Sharpe to clear a selection hurdle of 1.2 (√(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 0.82) — 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 664 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 | Range Filter | Daily | +188.5% | 0.44 | -36.4% | 48.8% | 607 | -13.1% | 1.47 | -6.0% | 164 |
| 2 | TEMA 20/50 Cross | Daily | >+999% | 0.72 | -61.4% | 50.6% | 162 | -5.9% | 1.3 | +0.8% | 47 |
| 3 | Ehlers Reflex | Daily | +928.1% | 0.56 | -52.0% | 52.7% | 260 | -8.7% | 1.29 | +0.4% | 72 |
| 4 | Cascade Z-Score | Daily | >+999% | 0.76 | -39.8% | 42.4% | 243 | -6.5% | 1.29 | -1.8% | 71 |
| 5 | Hull MA 15/60 Cross | Daily | >+999% | 0.65 | -51.5% | 48.6% | 253 | -7.4% | 1.28 | +0.1% | 70 |
| 6 | Acceleration Bands | Daily | +625.1% | 0.64 | -19.5% | 44.1% | 388 | -9.9% | 1.28 | -4.7% | 98 |
| 7 | TRIX | Daily | +633.5% | 0.49 | -65.4% | 53.7% | 201 | -9.9% | 1.27 | +0.4% | 56 |
| 8 | Volume Oscillator | Weekly | +631.6% | 0.66 | -24.1% | 60.2% | 83 | -9.9% | 1.23 | -4.5% | 34 |
| 9 | Know Sure Thing | Daily | +802.4% | 0.55 | -57.1% | 51.7% | 207 | -9.2% | 1.21 | -0.9% | 56 |
| 10 | RSI (25) | Daily | >+999% | 1.0 | -34.5% | 38.2% | 246 | -1.2% | 1.21 | -1.1% | 69 |
| 11 | Relative Momentum Index | Daily | >+999% | 0.86 | -42.7% | 53.9% | 141 | -3.6% | 1.2 | -1.3% | 38 |
| 12 | TEMA 100 Trend | Daily | >+999% | 0.78 | -39.2% | 44.5% | 310 | -6.9% | 1.2 | -3.9% | 90 |
| 13 | LSMA 10/30 Cross | Daily | +537.6% | 0.46 | -53.9% | 48.3% | 325 | -10.4% | 1.19 | -1.2% | 89 |
| 14 | Cutler's RSI | Daily | >+999% | 0.67 | -60.8% | 44.4% | 408 | -6.9% | 1.19 | -1.3% | 121 |
| 15 | ROC (14) | Daily | >+999% | 0.67 | -60.8% | 44.4% | 408 | -6.9% | 1.19 | -1.3% | 121 |
| 16 | CMO (14) | Daily | >+999% | 0.67 | -60.8% | 44.4% | 408 | -6.9% | 1.19 | -1.3% | 121 |
| 17 | Disparity (50) | Daily | >+999% | 0.99 | -34.5% | 37.9% | 240 | -1.3% | 1.19 | -1.3% | 67 |
| 18 | Impulse MACD | Daily | +692.9% | 0.65 | -27.2% | 46.3% | 514 | -9.6% | 1.19 | -5.7% | 138 |
| 19 | Price Momentum Oscillator | Daily | >+999% | 0.66 | -61.8% | 54.4% | 215 | -7.3% | 1.18 | -1.2% | 58 |
| 20 | EMA 9/26 Cross | Daily | >+999% | 0.85 | -44.7% | 53.2% | 124 | -3.9% | 1.17 | -1.7% | 35 |
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.