Does anything beat buy & hold on Sugar (SB)?
Every setup we tested on Sugar (SB) — 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 1.02 did not clear the 1.29 selection hurdle (best-of-N luck cannot be ruled out). Buy-and-hold benchmark: +5.0% CAGR over 26.5 years (+3.9% CAGR in the out-of-sample window).
Educational research from historical backtests — not investment advice. Past performance does not predict future results.
Sugar: the winner beat buy-and-hold in both windows — and still can't shake the luck problem
In Sugar, 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 748 indicator configurations on SB. The best, Money Flow Index on the daily timeframe, beat buy-and-hold in both windows — +2.3% annualized edge over the full period, +11.6% out of sample against a buy-and-hold CAGR of +5.0%. Over 7.9 out-of-sample years it took 31 trades, won 74.2% of them, and drew down -45.0% at worst.
Here is the honest read. When you test 748 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 1.29, and this setup's out-of-sample Sharpe of 1.02 falls short. Statistically, we cannot distinguish it from the luckiest of hundreds of tries. It also has company: 5.2% of setups edged buy-and-hold, which tends to happen when one regime dominated the sample. Of everything tested, 638 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.
Money Flow 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 daily-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 1.02 · alpha +11.6% · 11 trades over 7.9 yrs.
Volume Oscillator
What it is: A momentum rule: it holds while rate-of-change stays positive and steps aside when it rolls over. Long/flat only — no leverage, no shorting. The parameters we tested are not published.
How it was tested: signals evaluated at daily-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 0.68 · alpha +4.0% · 81 trades over 7.9 yrs.
Murrey Math Lines
What it is: A mean-reversion rule: it fades stretched moves and exits as price reverts toward its average. Long/flat only — no leverage, no shorting. The parameters we tested are not published.
How it was tested: signals evaluated at daily-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 0.67 · alpha +6.4% · 28 trades over 7.9 yrs.
Since publication — including if it loses
Buy-and-hold is ahead so far — we publish that too. That is the point. Marked to market nightly from real prices, rules frozen at publication, as of 2026-10-26. Currently LONG.
We tested 748 setups (indicator × parameters × timeframe) on Sugar (SB). Only setups with ≥30 trades qualify (638 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 748 tries mines even the holdout, the VALIDATED verdict additionally requires the top setup’s OOS Sharpe to clear a selection hurdle of 1.29 (√(2 ln N)/√T) AND positive alpha in both windows. Of the eligible setups, 5.2% had positive out-of-sample alpha (median OOS Sharpe 0.04) — 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 638 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 | Money Flow Index | Daily | +554.5% | 0.44 | -45.0% | 74.2% | 31 | +2.3% | 1.02 | +11.6% | 11 |
| 2 | Volume Oscillator | Daily | +70.4% | 0.21 | -66.2% | 42.6% | 305 | -3.0% | 0.68 | +4.0% | 81 |
| 3 | Murrey Math Lines | Daily | +12.2% | 0.12 | -71.9% | 65.3% | 72 | -4.6% | 0.67 | +6.4% | 28 |
| 4 | WaveTrend (8/6/4) | Daily | +43.4% | 0.17 | -75.5% | 61.3% | 106 | -3.7% | 0.64 | +6.8% | 37 |
| 5 | Intraday Momentum Index | Daily | +282.9% | 0.34 | -44.4% | 63.0% | 81 | +0.2% | 0.64 | +6.7% | 25 |
| 6 | CCI | Daily | +33.0% | 0.15 | -72.9% | 65.3% | 124 | -3.9% | 0.64 | +5.7% | 42 |
| 7 | Stochastic | Daily | +109.8% | 0.24 | -74.1% | 66.2% | 130 | -2.2% | 0.58 | +4.9% | 42 |
| 8 | LSMA 100 Trend | Weekly | +343.4% | 0.38 | -50.3% | 39.5% | 38 | +0.7% | 0.57 | +3.7% | 10 |
| 9 | Waddah Attar Explosion | Daily | +7.5% | 0.09 | -56.7% | 44.8% | 364 | -4.8% | 0.56 | +2.6% | 108 |
| 10 | Accumulation Swing Index | Weekly | +125.9% | 0.25 | -68.5% | 40.1% | 282 | -1.9% | 0.55 | +4.5% | 86 |
| 11 | Swing Index | Weekly | +125.9% | 0.25 | -68.5% | 40.1% | 282 | -1.9% | 0.55 | +4.5% | 86 |
| 12 | Standard Error Bands | Daily | +46.0% | 0.21 | -33.4% | 43.7% | 71 | -3.6% | 0.54 | +0.5% | 25 |
| 13 | Connors RSI-2 | Weekly | +0.2% | 0.08 | -74.6% | 61.9% | 63 | -5.0% | 0.49 | +1.7% | 22 |
| 14 | Fisher Transform | Daily | +160.4% | 0.27 | -66.2% | 42.2% | 656 | -1.3% | 0.44 | +3.2% | 194 |
| 15 | Stochastic (20,5) | Daily | -4.9% | 0.1 | -80.4% | 41.4% | 490 | -5.2% | 0.44 | +2.9% | 144 |
| 16 | SMC: Liquidity Sweep | Daily | -4.7% | 0.1 | -77.5% | 57.5% | 80 | -5.2% | 0.43 | +2.7% | 27 |
| 17 | Chande Forecast Osc. | Weekly | +6.2% | 0.12 | -52.7% | 39.5% | 157 | -4.8% | 0.43 | +2.4% | 45 |
| 18 | T3 100 Trend | Daily | +320.3% | 0.38 | -55.6% | 47.2% | 53 | +0.5% | 0.43 | +2.2% | 20 |
| 19 | Stochastic Momentum Index | Daily | +53.5% | 0.18 | -71.2% | 64.1% | 128 | -3.4% | 0.42 | +1.6% | 41 |
| 20 | Zero-Lag LSMA | Daily | +52.8% | 0.18 | -74.9% | 43.7% | 455 | -3.4% | 0.41 | +2.3% | 129 |
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.