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 0.91 did not clear the 1.30 selection hurdle (best-of-N luck cannot be ruled out). Buy-and-hold benchmark: +4.0% CAGR over 26.1 years (+3.5% 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 754 indicator configurations on SB. The best, Money Flow Index on the daily timeframe, beat buy-and-hold in both windows — +2.7% annualized edge over the full period, +10.0% out of sample against a buy-and-hold CAGR of +4.0%. Over 7.8 out-of-sample years it took 30 trades, won 73.3% of them, and drew down -45.0% at worst.
Here is the honest read. When you test 754 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 1.3, and this setup's out-of-sample Sharpe of 0.91 falls short. Statistically, we cannot distinguish it from the luckiest of hundreds of tries. It also has company: 6.3% of setups edged buy-and-hold, which tends to happen when one regime dominated the sample. Of everything tested, 639 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.
Top setups as mechanical rules
Exactly as the backtest defined them — no discretionary steps, no hidden filters.
Money Flow Index
Mechanical rule (exactly as backtested): Volume-weighted RSI — buy MFI(14) crossing up from below 20. 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 0.91 · alpha +10.0% · 11 trades over 7.8 yrs.
Murrey Math Lines
Mechanical rule (exactly as backtested): Murrey Math octave lines — buy the lower octave, exit at the midline. 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 0.75 · alpha +8.8% · 30 trades over 7.8 yrs.
WaveTrend (8/6/4)
Mechanical rule (exactly as backtested): Custom WaveTrend — buy oversold WT crosses, sell overbought (your validated 8/6/4). 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 0.65 · alpha +7.6% · 37 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 LONG.
We tested 754 setups (indicator × parameters × timeframe) on Sugar (SB). Only setups with ≥30 trades qualify (639 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 754 tries mines even the holdout, the VALIDATED verdict additionally requires the top setup’s OOS Sharpe to clear a selection hurdle of 1.3 (√(2 ln N)/√T) AND positive alpha in both windows. Of the eligible setups, 6.3% had positive out-of-sample alpha (median OOS Sharpe -0.02) — 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 639 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 | +442.7% | 0.41 | -45.0% | 73.3% | 30 | +2.7% | 0.91 | +10.0% | 11 |
| 2 | Murrey Math Lines | Daily | +5.8% | 0.11 | -71.9% | 65.3% | 72 | -3.8% | 0.75 | +8.8% | 30 |
| 3 | WaveTrend (8/6/4) | Daily | +14.4% | 0.13 | -75.5% | 59.6% | 104 | -3.5% | 0.65 | +7.6% | 37 |
| 4 | CCI | Daily | +22.1% | 0.14 | -72.9% | 63.9% | 122 | -3.2% | 0.65 | +6.6% | 42 |
| 5 | Intraday Momentum Index | Daily | +255.5% | 0.33 | -44.4% | 61.7% | 81 | +1.0% | 0.6 | +6.3% | 26 |
| 6 | Volume Oscillator | Daily | +47.4% | 0.17 | -66.2% | 42.4% | 304 | -2.5% | 0.6 | +3.3% | 83 |
| 7 | Stochastic | Daily | +89.5% | 0.22 | -74.1% | 64.8% | 128 | -1.5% | 0.57 | +5.5% | 42 |
| 8 | Waddah Attar Explosion | Daily | -5.8% | 0.05 | -56.7% | 44.4% | 360 | -4.2% | 0.56 | +3.1% | 107 |
| 9 | Fisher Transform | Daily | +118.9% | 0.25 | -66.2% | 42.1% | 648 | -0.9% | 0.55 | +6.0% | 188 |
| 10 | SMC: Liquidity Sweep | Daily | -11.1% | 0.09 | -77.5% | 57.5% | 80 | -4.4% | 0.55 | +6.0% | 29 |
| 11 | Standard Error Bands | Daily | +25.0% | 0.14 | -33.4% | 42.0% | 69 | -3.1% | 0.53 | +0.7% | 24 |
| 12 | LSMA 100 Trend | Weekly | +292.0% | 0.36 | -50.3% | 37.8% | 37 | +1.3% | 0.5 | +3.8% | 10 |
| 13 | Fractal Adaptive MA | Daily | +348.9% | 0.38 | -47.3% | 40.0% | 742 | +1.9% | 0.48 | +3.9% | 225 |
| 14 | Accumulation Swing Index | Weekly | +90.4% | 0.22 | -68.5% | 40.1% | 279 | -1.5% | 0.47 | +4.2% | 85 |
| 15 | Swing Index | Weekly | +90.4% | 0.22 | -68.5% | 40.1% | 279 | -1.5% | 0.47 | +4.2% | 85 |
| 16 | Stochastic Momentum Index | Daily | +44.3% | 0.17 | -71.2% | 63.0% | 127 | -2.6% | 0.47 | +3.1% | 42 |
| 17 | Bollinger Mean-Reversion | Daily | +60.7% | 0.19 | -77.1% | 63.6% | 107 | -2.2% | 0.42 | +1.7% | 37 |
| 18 | Fibonacci Bands | Daily | +60.7% | 0.19 | -77.1% | 63.6% | 107 | -2.2% | 0.42 | +1.7% | 37 |
| 19 | Center of Gravity | Daily | -11.8% | 0.09 | -77.3% | 42.1% | 853 | -4.5% | 0.41 | +3.0% | 249 |
| 20 | Stochastic (20,5) | Daily | -21.8% | 0.07 | -80.4% | 41.3% | 484 | -4.9% | 0.41 | +2.7% | 141 |
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.