Does anything beat buy & hold on USD/JPY?
Every setup we tested on USD/JPY — 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's out-of-sample profit factor (0.75) is below 1 — it lost money per trade on unseen data. Buy-and-hold benchmark: +1.0% CAGR over 30.8 years (+3.7% CAGR in the out-of-sample window).
Educational research from historical backtests — not investment advice. Past performance does not predict future results.
USD/JPY: 1,390 Indicators Tested, None Earned Their Keep
Currency pairs like USD/JPY should be fertile ground for indicators. There's almost no long-run drift to compete against — USDJPY's buy-and-hold CAGR of +1.0%% is a low bar — and mean reversion is the textbook behavior of macro-anchored exchange rates. Yet across 1,390 tested setups, none cleared that bar honestly. The patterns that looked tradeable in-sample fell apart on data they hadn't seen. When an asset barely trends and timing signals still can't add value, the plainest explanation is that the apparent edges were noise dressed up as structure.
The best performer here, Fisher Transform on the daily timeframe, posted an out-of-sample Sharpe of 1.99 against a required hurdle of 1.25 — a hurdle that exists because picking the winner from 1,390 attempts is data-mining by construction. Its out-of-sample alpha of +8.2%% across 736 trades over 9.2 years tells you what the in-sample fit concealed. Only 2.7%% of setups beat holding at all, before any statistical correction. Read this as a snapshot, not a verdict on the future: regimes shift, and past results describe what happened, not what will.
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.
Fisher Transform
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 1.99 · alpha +8.2% · 226 trades over 9.2 yrs.
DMI Direction
What it is: A trend-following rule: it holds while a smoothed trend reference is pointing up and goes flat when it turns. 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 1.78 · alpha +6.7% · 114 trades over 9.2 yrs.
Parabolic SAR (fast)
What it is: A trend-following rule: it holds while a smoothed trend reference is pointing up and goes flat when it turns. 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 1.73 · alpha +6.9% · 159 trades over 9.2 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 2026-10-27. Currently LONG.
We tested 1,390 setups (indicator × parameters × timeframe) on USD/JPY. Only setups with ≥30 trades qualify (1,295 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 1,390 tries mines even the holdout, the VALIDATED verdict additionally requires the top setup’s OOS Sharpe to clear a selection hurdle of 1.25 (√(2 ln N)/√T) AND positive alpha in both windows. Of the eligible setups, 2.7% had positive out-of-sample alpha (median OOS Sharpe -0.48) — 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 1,295 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 | Fisher Transform | Daily | +306.8% | 0.63 | -53.6% | 36.0% | 736 | +3.6% | 1.99 | +8.2% | 226 |
| 2 | DMI Direction | Daily | +213.9% | 0.53 | -54.3% | 30.6% | 369 | +2.7% | 1.78 | +6.7% | 114 |
| 3 | Parabolic SAR (fast) | Daily | +167.2% | 0.44 | -57.2% | 35.0% | 545 | +2.2% | 1.73 | +6.9% | 159 |
| 4 | Vortex | Daily | +170.7% | 0.49 | -39.8% | 37.1% | 367 | +2.2% | 1.38 | +4.7% | 109 |
| 5 | Random Walk Index | Daily | +105.0% | 0.34 | -55.0% | 37.9% | 369 | +1.3% | 1.33 | +4.5% | 109 |
| 6 | Random Walk Index | Daily | +105.0% | 0.34 | -55.0% | 37.9% | 369 | +1.3% | 1.33 | +4.5% | 109 |
| 7 | Woodies CCI | Daily | +38.8% | 0.18 | -65.3% | 34.2% | 640 | 0.0% | 1.27 | +3.1% | 205 |
| 8 | Impulse MACD | Daily | -0.9% | 0.03 | -60.8% | 34.5% | 432 | -1.1% | 1.24 | +1.8% | 142 |
| 9 | DeMarker (14) | Daily | +93.4% | 0.32 | -55.1% | 37.6% | 410 | +1.1% | 1.23 | +3.5% | 132 |
| 10 | ADXR | Daily | +63.3% | 0.28 | -48.3% | 33.8% | 234 | +0.6% | 1.23 | +1.9% | 64 |
| 11 | Parabolic SAR | Daily | +110.6% | 0.34 | -51.7% | 39.3% | 351 | +1.4% | 1.22 | +3.7% | 110 |
| 12 | DeMarker (7) | Daily | +134.3% | 0.39 | -53.6% | 35.3% | 556 | +1.8% | 1.21 | +3.5% | 178 |
| 13 | DeMarker (21) | Daily | +107.7% | 0.35 | -46.4% | 33.3% | 306 | +1.4% | 1.21 | +3.1% | 99 |
| 14 | CCI (14) | Daily | +79.4% | 0.28 | -52.5% | 32.4% | 466 | +0.9% | 1.15 | +3.1% | 142 |
| 15 | Aroon | Daily | +55.3% | 0.22 | -51.8% | 39.7% | 257 | +0.4% | 1.09 | +2.8% | 74 |
| 16 | Aroon Oscillator | Daily | +55.3% | 0.22 | -51.8% | 39.7% | 257 | +0.4% | 1.09 | +2.8% | 74 |
| 17 | ADX / DMI | Daily | +25.0% | 0.15 | -51.7% | 31.8% | 201 | -0.3% | 1.04 | +1.0% | 54 |
| 18 | Vortex (7) | Daily | +149.5% | 0.44 | -36.8% | 33.2% | 545 | +2.0% | 1.02 | +2.5% | 182 |
| 19 | CCI Trend | Daily | +51.0% | 0.21 | -53.2% | 31.9% | 386 | +0.3% | 0.98 | +2.2% | 118 |
| 20 | Fisher Center-of-Gravity | Daily | -27.6% | -0.12 | -69.6% | 42.2% | 800 | -2.1% | 0.88 | +0.6% | 243 |
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.