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 0.84 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 (+4.0% 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 746 indicator configurations on ZW. The best, Connors RSI on the daily timeframe, beat buy-and-hold in both windows — +3.0% annualized edge over the full period, +9.7% out of sample against a buy-and-hold CAGR of +4.0%. Over 7.8 out-of-sample years it took 352 trades, won 61.4% of them, and drew down -48.9% at worst.
Here is the honest read. When you test 746 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 0.84 falls short. Statistically, we cannot distinguish it from the luckiest of hundreds of tries. It also has company: 9.0% of setups edged buy-and-hold, which tends to happen when one regime dominated the sample. Of everything tested, 667 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.
Connors RSI
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 0.84 · alpha +9.7% · 115 trades over 7.8 yrs.
Williams %R
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 weekly-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 0.74 · alpha +14.4% · 16 trades over 7.9 yrs.
Detrended Price Osc.
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 weekly-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 0.71 · alpha +9.3% · 44 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 746 setups (indicator × parameters × timeframe) on Wheat (ZW). Only setups with ≥30 trades qualify (667 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 746 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, 9.0% had positive out-of-sample alpha (median OOS Sharpe 0.03) — 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 667 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 | +480.2% | 0.48 | -48.9% | 61.4% | 352 | +3.0% | 0.84 | +9.7% | 115 |
| 2 | Williams %R | Weekly | +625.9% | 0.44 | -48.9% | 64.4% | 45 | +3.9% | 0.74 | +14.4% | 16 |
| 3 | Detrended Price Osc. | Weekly | >+999% | 0.58 | -41.4% | 53.5% | 157 | +6.6% | 0.71 | +9.3% | 44 |
| 4 | Connors RSI-2 | Daily | +381.1% | 0.46 | -46.5% | 60.5% | 334 | +2.2% | 0.65 | +5.5% | 107 |
| 5 | Projection Bands | Weekly | +848.0% | 0.48 | -40.4% | 77.2% | 57 | +5.0% | 0.62 | +11.2% | 18 |
| 6 | Stochastic RSI | Weekly | +204.9% | 0.29 | -60.5% | 63.8% | 47 | +0.4% | 0.6 | +10.8% | 16 |
| 7 | Laguerre RSI | Weekly | +279.0% | 0.33 | -52.1% | 60.4% | 48 | +1.3% | 0.58 | +9.2% | 16 |
| 8 | Fisher Center-of-Gravity | Weekly | +499.9% | 0.42 | -33.3% | 50.0% | 136 | +3.2% | 0.57 | +9.1% | 37 |
| 9 | WaveTrend (8/6/4) | Daily | +131.6% | 0.25 | -56.3% | 66.0% | 100 | -0.7% | 0.57 | +6.9% | 34 |
| 10 | Morning Star | Weekly | +103.5% | 0.26 | -57.3% | 35.4% | 65 | -1.2% | 0.54 | +2.9% | 19 |
| 11 | Hammer | Daily | +201.1% | 0.35 | -52.3% | 48.0% | 177 | +0.3% | 0.53 | +4.5% | 62 |
| 12 | Pring's Special K | Daily | +54.2% | 0.18 | -65.4% | 40.0% | 210 | -2.3% | 0.51 | +4.5% | 59 |
| 13 | Balance of Power | Daily | -9.3% | 0.08 | -80.4% | 41.6% | 308 | -4.4% | 0.5 | +4.1% | 94 |
| 14 | Fibonacci Pivots | Weekly | +451.6% | 0.42 | -39.0% | 53.7% | 216 | +2.8% | 0.5 | +3.6% | 64 |
| 15 | Pivot Points (Standard) | Weekly | +354.4% | 0.39 | -43.7% | 53.5% | 198 | +2.0% | 0.5 | +3.3% | 56 |
| 16 | Inside-Bar Breakout | Daily | +1.6% | 0.06 | -52.7% | 42.1% | 114 | -3.9% | 0.47 | +1.5% | 29 |
| 17 | Know Sure Thing | Daily | +6.5% | 0.13 | -70.5% | 35.4% | 178 | -3.7% | 0.45 | +4.5% | 46 |
| 18 | Historical Volatility Regime | Daily | -50.5% | -0.14 | -73.6% | 37.4% | 230 | -6.6% | 0.45 | +1.2% | 72 |
| 19 | Zero-Lag MACD | Weekly | +302.2% | 0.33 | -46.6% | 52.1% | 119 | +1.5% | 0.44 | +6.1% | 34 |
| 20 | Accumulation/Distribution | Weekly | -7.9% | 0.08 | -66.4% | 47.8% | 90 | -4.2% | 0.44 | +5.6% | 27 |
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.