Does anything beat buy & hold on Wheat (ZW)?
Every setup we tested on Wheat (ZW) — 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 0.98 did not clear the 1.31 selection hurdle (best-of-N luck cannot be ruled out). Buy-and-hold benchmark: +3.4% CAGR over 25.8 years (+2.3% CAGR in the out-of-sample window).
Educational research from historical backtests — not investment advice. Past performance does not predict future results.
Wheat: the winner beat buy-and-hold in both windows — and still can't shake the luck problem
In Wheat, 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 752 indicator configurations on ZW. The best, Connors RSI on the daily timeframe, beat buy-and-hold in both windows — +3.6% annualized edge over the full period, +14.2% out of sample against a buy-and-hold CAGR of +3.4%. Over 7.7 out-of-sample years it took 348 trades, won 61.5% of them, and drew down -48.9% at worst.
Here is the honest read. When you test 752 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 1.31, and this setup's out-of-sample Sharpe of 0.98 falls short. Statistically, we cannot distinguish it from the luckiest of hundreds of tries. It also has company: 11.4% of setups edged buy-and-hold, which tends to happen when one regime dominated the sample. Of everything tested, 669 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.
Connors RSI
Mechanical rule (exactly as backtested): Connors' composite RSI (price + streak) — buy below 20, exit above 70. 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 0.98 · alpha +14.2% · 116 trades over 7.7 yrs.
Connors RSI-2
Mechanical rule (exactly as backtested): Larry Connors' mean-reversion — buy RSI(2) below 10, exit above 70. 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 0.72 · alpha +8.3% · 108 trades over 7.7 yrs.
Williams %R
Mechanical rule (exactly as backtested): Buy when %R(14) crosses up from below -80, exit above -20. Signals are evaluated at weekly-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 0.67 · alpha +14.7% · 15 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 FLAT.
We tested 752 setups (indicator × parameters × timeframe) on Wheat (ZW). Only setups with ≥30 trades qualify (669 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 752 tries mines even the holdout, the VALIDATED verdict additionally requires the top setup’s OOS Sharpe to clear a selection hurdle of 1.31 (√(2 ln N)/√T) AND positive alpha in both windows. Of the eligible setups, 11.4% had positive out-of-sample alpha (median OOS Sharpe -0.04) — 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 669 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 | Connors RSI | Daily | +470.3% | 0.48 | -48.9% | 61.5% | 348 | +3.6% | 0.98 | +14.2% | 116 |
| 2 | Connors RSI-2 | Daily | +361.0% | 0.45 | -46.5% | 60.6% | 330 | +2.7% | 0.72 | +8.3% | 108 |
| 3 | Williams %R | Weekly | +545.1% | 0.43 | -48.9% | 63.6% | 44 | +4.1% | 0.67 | +14.7% | 15 |
| 4 | Detrended Price Osc. | Weekly | >+999% | 0.56 | -41.4% | 53.5% | 155 | +6.8% | 0.62 | +9.5% | 44 |
| 5 | Projection Bands | Weekly | +771.4% | 0.47 | -40.4% | 76.8% | 56 | +5.4% | 0.6 | +13.0% | 17 |
| 6 | Fisher Center-of-Gravity | Weekly | +537.3% | 0.44 | -33.3% | 50.7% | 134 | +4.1% | 0.59 | +12.1% | 36 |
| 7 | Laguerre RSI | Weekly | +275.0% | 0.33 | -52.1% | 61.7% | 47 | +1.9% | 0.56 | +11.3% | 15 |
| 8 | Stochastic RSI | Weekly | +151.6% | 0.26 | -60.5% | 63.0% | 46 | +0.3% | 0.5 | +10.1% | 15 |
| 9 | Hammer | Daily | +190.2% | 0.34 | -52.3% | 47.7% | 174 | +0.8% | 0.5 | +5.5% | 60 |
| 10 | WaveTrend (8/6/4) | Daily | +87.9% | 0.22 | -56.3% | 65.3% | 98 | -0.9% | 0.48 | +6.3% | 33 |
| 11 | Fibonacci Pivots | Weekly | +415.5% | 0.41 | -39.0% | 53.5% | 213 | +3.2% | 0.47 | +5.7% | 64 |
| 12 | Pivot Points (Standard) | Weekly | +305.3% | 0.37 | -43.7% | 53.1% | 196 | +2.2% | 0.44 | +4.7% | 57 |
| 13 | MA Envelope | Weekly | +384.8% | 0.4 | -41.4% | 69.1% | 68 | +2.9% | 0.43 | +5.1% | 21 |
| 14 | Zero-Lag MACD | Weekly | +277.6% | 0.32 | -46.6% | 52.5% | 118 | +1.9% | 0.42 | +7.7% | 34 |
| 15 | Zero-Lag MACD | Weekly | +277.6% | 0.32 | -46.6% | 52.5% | 118 | +1.9% | 0.42 | +7.7% | 34 |
| 16 | Pring's Special K | Daily | +38.9% | 0.16 | -65.4% | 39.3% | 206 | -2.1% | 0.42 | +4.2% | 58 |
| 17 | Balance of Power | Daily | -20.9% | 0.05 | -80.4% | 41.3% | 305 | -4.3% | 0.41 | +3.8% | 93 |
| 18 | Accumulation/Distribution | Weekly | -12.0% | 0.07 | -66.4% | 48.3% | 89 | -3.8% | 0.4 | +6.9% | 29 |
| 19 | Twiggs Money Flow | Weekly | +20.0% | 0.13 | -66.4% | 51.1% | 88 | -2.6% | 0.4 | +6.8% | 29 |
| 20 | Markov Regime (Confirmed) | Daily | +40.5% | 0.16 | -34.8% | 52.8% | 246 | -2.1% | 0.4 | +2.8% | 99 |
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.