Strategy Analytics
Corn Donchian Breakout
Pure Donchian channel breakout optimization on Corn futures — which lookback N fits the market's history best.
Instrument
Corn Futures (ZC=F)
History
2000-07-17 → 2026-06-03
Lookback Grid
N = 20–80 step 3, then 85, 90, 95, 100
Profit Unit
price points (cents per bushel, 1 contract)
Total Profit By Lookback N
System A (Long Only) vs System B (Long & Short, stop-and-reverse). Price points per 1 contract.
System B — Long vs Short Profit Split
The same stop-and-reverse system, with the long leg and short leg reported separately (long + short = total).
Results By Lookback
Entry: close above the N-period high. System A exits to flat on a close below the N-period low; System B reverses into a short there (and back to long on the next upper-band break). No ATR stops, volatility filters, or profit targets. 6,475 daily bars. Generated 2026-06-03 07:09:07 UTC.
| N | A: Profit | A: Trades | A: Win Rate | B: Profit | B: Long P&L | B: Short P&L | B: Trades | B: Win Rate |
|---|---|---|---|---|---|---|---|---|
| 20 | +275.3 | 80 | 36% | +294.8 | +275.3 | +19.5 | 160 | 38% |
| 23 | +234.0 | 68 | 34% | +212.3 | +234.0 | -21.8 | 136 | 37% |
| 26 | +214.0 | 61 | 34% | +174.3 | +214.0 | -39.8 | 122 | 38% |
| 29 | +149.3 | 56 | 30% | +44.8 | +149.3 | -104.5 | 112 | 36% |
| 32 | -50.0 | 54 | 26% | -350.0 | -50.0 | -300.0 | 107 | 30% |
| 35 | +35.5 | 50 | 28% | -179.0 | +35.5 | -214.5 | 99 | 32% |
| 38 | +33.3 | 46 | 30% | -183.5 | +33.3 | -216.8 | 91 | 35% |
| 41 | +199.5 | 41 | 37% | +149.0 | +199.5 | -50.5 | 81 | 38% |
| 44 | +472.0 | 37 | 41% | +694.0 | +472.0 | +222.0 | 73 | 40% |
| 47 | +393.0 | 37 | 41% | +536.0 | +393.0 | +143.0 | 73 | 37% |
| 50 | +403.0 | 35 | 43% | +556.5 | +403.0 | +153.5 | 69 | 36% |
| 53 | +451.0 | 34 | 44% | +654.0 | +451.0 | +203.0 | 67 | 37% |
| 56 | +461.3 | 32 | 50% | +683.0 | +461.3 | +221.8 | 63 | 40% |
| 59 | +399.5 | 32 | 47% | +556.5 | +399.5 | +157.0 | 63 | 37% |
| 62 | +374.3 | 31 | 42% | +512.5 | +374.3 | +138.3 | 61 | 31% |
| 65 | +390.3 | 29 | 41% | +550.0 | +390.3 | +159.8 | 57 | 32% |
| 68 | +372.3 | 28 | 36% | +514.0 | +372.3 | +141.8 | 55 | 27% |
| 71 | +421.3 | 27 | 37% | +612.0 | +421.3 | +190.8 | 53 | 28% |
| 74 | +335.5 | 27 | 37% | +442.3 | +335.5 | +106.8 | 53 | 28% |
| 77 | +314.0 | 27 | 37% | +396.8 | +314.0 | +82.8 | 53 | 28% |
| 80 | +261.0 | 26 | 38% | +291.3 | +261.0 | +30.3 | 51 | 29% |
| 85 | +191.3 | 25 | 36% | +155.0 | +191.3 | -36.3 | 49 | 29% |
| 90 | +205.5 | 24 | 33% | +186.5 | +205.5 | -19.0 | 47 | 28% |
| 95 | +52.3 | 24 | 33% | -114.5 | +52.3 | -166.8 | 47 | 28% |
| 100 | +59.5 | 23 | 35% | -126.5 | +59.5 | -186.0 | 46 | 28% |