Does anything beat buy & hold on Zcash (ZEC)?
Every setup we tested on Zcash (ZEC) — 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 1.92 cleared the selection hurdle 1.83. Buy-and-hold benchmark: +14.0% CAGR over 12.9 years (+191.9% CAGR in the out-of-sample window).
Educational research from historical backtests — not investment advice. Past performance does not predict future results.
Zcash: Cascade Z-Score Cleared Every Filter We Apply — What That Does and Doesn't Mean
Beating buy-and-hold in crypto is a high bar. Zcash compounds at +14.0%% simply by being held, and it trades around the clock through drawdowns that would end careers elsewhere. We ran 678 indicator configurations against ZEC, and one — Cascade Z-Score on the daily timeframe — cleared that bar in the full window and, more importantly, out of sample, adding +55.8%% of annualized alpha over the untouched holding baseline. In a market this young and this volatile, that combination is uncommon: most setups here lose to doing nothing.
Read the numbers with the selection problem in mind. When you test 678 setups, the best one looks good by construction, so we require the out-of-sample Sharpe (1.92) to clear a multiple-testing hurdle of 1.83 — this one did, across 3.9 years and 80 trades, with a max drawdown of -68.5%%. That makes the result harder to dismiss as noise, not impossible. Crypto regimes shift fast; liquidity, participants, and volatility today differ from the test window. Validated means the evidence survived our filters. It does not mean it will survive the future.
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.
Cascade Z-Score
What it is: A breakout rule: it waits for price to clear a prior range and rides the expansion until it fails. 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 1.92 · alpha +55.8% · 24 trades over 3.9 yrs.
Stochastic (20,5)
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 1.89 · alpha +41.7% · 67 trades over 3.9 yrs.
Chande Kroll Stop
What it is: A channel / envelope rule: it measures how far price has travelled from a moving reference and acts at the extremes. 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 1.86 · alpha +91.4% · 43 trades over 3.9 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 2026-10-27. Currently FLAT.
We tested 678 setups (indicator × parameters × timeframe) on Zcash (ZEC). Only setups with ≥30 trades qualify (423 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 678 tries mines even the holdout, the VALIDATED verdict additionally requires the top setup’s OOS Sharpe to clear a selection hurdle of 1.83 (√(2 ln N)/√T) AND positive alpha in both windows. Of the eligible setups, 12.1% had positive out-of-sample alpha (median OOS Sharpe 1.38) — 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 423 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 | Cascade Z-Score | Daily | >+999% | 1.03 | -68.5% | 40.0% | 80 | +44.5% | 1.92 | +55.8% | 24 |
| 2 | Stochastic (20,5) | Daily | >+999% | 0.88 | -81.8% | 44.0% | 225 | +31.4% | 1.89 | +41.7% | 67 |
| 3 | Chande Kroll Stop | Daily | >+999% | 0.92 | -82.4% | 37.5% | 184 | +39.3% | 1.86 | +91.4% | 43 |
| 4 | Hull MA 20/80 Cross | Daily | >+999% | 0.78 | -87.5% | 45.1% | 71 | +21.6% | 1.85 | +54.2% | 20 |
| 5 | Hull MA 100 Trend | Daily | >+999% | 0.85 | -68.8% | 47.6% | 84 | +27.3% | 1.85 | +39.8% | 20 |
| 6 | Ehlers Roofing Filter | Daily | >+999% | 0.81 | -86.0% | 47.2% | 53 | +25.6% | 1.81 | +44.1% | 13 |
| 7 | TEMA 20/50 Cross | Daily | >+999% | 0.9 | -77.9% | 45.2% | 62 | +33.3% | 1.81 | +43.0% | 19 |
| 8 | WMA 10/30 Cross | Daily | >+999% | 0.87 | -82.6% | 43.7% | 71 | +30.8% | 1.81 | +38.0% | 20 |
| 9 | T3 8/21 Cross | Daily | >+999% | 0.77 | -82.4% | 44.3% | 61 | +21.2% | 1.8 | +39.8% | 16 |
| 10 | Even Better Sinewave | Daily | >+999% | 0.97 | -85.8% | 48.3% | 58 | +41.6% | 1.8 | +38.2% | 18 |
| 11 | LSMA 100 Trend | Daily | >+999% | 0.92 | -82.8% | 40.6% | 106 | +33.5% | 1.8 | +25.6% | 27 |
| 12 | Vortex | Daily | >+999% | 0.82 | -84.5% | 46.0% | 139 | +26.6% | 1.79 | +36.4% | 38 |
| 13 | Random Walk Index | Daily | >+999% | 0.82 | -84.5% | 46.0% | 139 | +26.6% | 1.79 | +36.4% | 38 |
| 14 | Random Walk Index | Daily | >+999% | 0.82 | -84.5% | 46.0% | 139 | +26.6% | 1.79 | +36.4% | 38 |
| 15 | Ehlers Stochastic | Daily | >+999% | 0.74 | -85.2% | 47.3% | 74 | +18.7% | 1.79 | +33.9% | 19 |
| 16 | WMA 30 Trend | Daily | >+999% | 1.05 | -64.1% | 40.0% | 130 | +48.7% | 1.79 | +29.3% | 39 |
| 17 | Stochastic Slow (21,5) | Daily | >+999% | 0.84 | -78.8% | 42.3% | 222 | +27.6% | 1.79 | +16.8% | 64 |
| 18 | Linear Regression Slope | Daily | >+999% | 0.77 | -85.2% | 53.1% | 81 | +21.4% | 1.78 | +36.7% | 22 |
| 19 | Correlation Trend | Daily | >+999% | 0.77 | -85.2% | 53.1% | 81 | +21.4% | 1.78 | +36.7% | 22 |
| 20 | TEMA 100 Trend | Daily | >+999% | 0.85 | -84.5% | 32.2% | 121 | +26.5% | 1.78 | +20.3% | 29 |
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.