Strategy Analytics
Corn Moving Average & Profit Factors
SMA-slope optimization on Corn, CAGR / drawdown / Sharpe for the Donchian and MA systems, and an ATR profit-factor sweep.
1. Moving Average Optimization
SMA periods 30, 33, 36, 39, 42, 45, 48, 51, 54, 57, 60, 63, 66, 69, 70, 75, 80, 85, 90, 95, 100, 105, 110, 115, 120. Entry when the SMA turns up, exit when it turns down (System A flat, System B reverses short). Returns are percentages of capital on a compounding equity curve.
Total Return By SMA Period
System A (Long Only) vs System B (Long & Short, stop-and-reverse on the SMA slope). Percentage return on a compounding equity curve.
2. Risk Metrics — Base Systems
CAGR, total return, max drawdown, and Sharpe for every base variant (no profit factor) of both systems, on a compounding equity curve over 6,487 daily bars. System A = Long Only, System B = Long & Short (stop-and-reverse). All figures are percentages of capital; CAGR just annualizes the same compounding equity curve, so CAGR and Total Return always move in the same direction.
Donchian Breakout — Pure Channel
Lookback N grid 20–80 step 3, then 85, 90, 95, 100. Exit on the opposite N-period band break.
| N | A: CAGR | A: Total Return | A: Max DD | A: Sharpe | B: CAGR | B: Total Return | B: Max DD | B: Sharpe |
|---|---|---|---|---|---|---|---|---|
| 20 | 3.1% | 118.5% | -63.5% | 0.15 | 0.3% | 6.8% | -76.9% | 0.01 |
| 23 | 3.1% | 120.2% | -63.6% | 0.15 | 0.3% | 8.3% | -80.6% | 0.01 |
| 26 | 3.4% | 135.7% | -69.6% | 0.17 | 0.9% | 26.2% | -85.8% | 0.03 |
| 29 | 2.6% | 91.7% | -66.9% | 0.12 | -0.4% | -9.0% | -82.0% | -0.01 |
| 32 | 0.5% | 14.6% | -70.8% | 0.03 | -4.1% | -65.8% | -87.0% | -0.15 |
| 35 | 1.4% | 42.0% | -70.1% | 0.07 | -2.3% | -44.8% | -86.6% | -0.09 |
| 38 | 1.4% | 42.6% | -66.1% | 0.07 | -2.2% | -43.0% | -81.6% | -0.08 |
| 41 | 2.6% | 92.6% | -50.1% | 0.13 | -0.4% | -8.8% | -69.7% | -0.01 |
| 44 | 4.2% | 190.5% | -49.9% | 0.21 | 2.9% | 110.2% | -55.5% | 0.11 |
| 47 | 3.4% | 137.3% | -48.1% | 0.17 | 1.3% | 39.0% | -58.1% | 0.05 |
| 50 | 3.5% | 145.1% | -49.4% | 0.18 | 1.5% | 47.3% | -59.5% | 0.06 |
| 53 | 3.4% | 137.8% | -48.2% | 0.17 | 1.4% | 43.0% | -54.6% | 0.05 |
| 56 | 3.3% | 132.9% | -49.4% | 0.17 | 1.1% | 33.0% | -63.7% | 0.04 |
| 59 | 2.7% | 97.5% | -53.2% | 0.14 | -0.3% | -7.8% | -68.6% | -0.01 |
| 62 | 2.7% | 96.3% | -58.4% | 0.13 | -0.1% | -1.7% | -72.8% | -0.00 |
| 65 | 3.0% | 111.8% | -58.0% | 0.15 | 0.7% | 21.0% | -71.4% | 0.03 |
| 68 | 2.9% | 109.0% | -53.5% | 0.15 | 0.7% | 21.0% | -70.4% | 0.03 |
| 71 | 3.3% | 133.4% | -54.2% | 0.17 | 1.8% | 60.0% | -67.5% | 0.07 |
| 74 | 2.4% | 86.2% | -58.5% | 0.12 | 0.0% | 0.2% | -73.8% | 0.00 |
| 77 | 2.2% | 73.6% | -58.5% | 0.11 | -0.6% | -13.8% | -74.1% | -0.02 |
| 80 | 1.8% | 60.1% | -60.4% | 0.09 | -1.3% | -28.2% | -77.1% | -0.05 |
| 85 | 1.1% | 31.2% | -62.7% | 0.05 | -2.9% | -53.5% | -79.0% | -0.11 |
| 90 | 1.1% | 31.6% | -66.2% | 0.05 | -2.9% | -52.7% | -82.6% | -0.11 |
| 95 | -0.1% | -3.5% | -68.5% | -0.01 | -4.8% | -71.7% | -84.2% | -0.18 |
| 100 | 0.1% | 2.2% | -69.5% | 0.00 | -4.8% | -72.0% | -85.1% | -0.18 |
Moving Average — SMA Slope
SMA period grid 30→70 step 3, then 70→120 step 5. Exit/reverse when the SMA slope flips. Trades = number of completed trades per system.
| SMA | A: CAGR | A: Total Return | A: Max DD | A: Sharpe | A: Trades | B: CAGR | B: Total Return | B: Max DD | B: Sharpe | B: Trades |
|---|---|---|---|---|---|---|---|---|---|---|
| 30 | 4.0% | 172.7% | -69.9% | 0.19 | 243 | 1.8% | 59.5% | -86.7% | 0.07 | 486 |
| 33 | 2.6% | 92.5% | -64.1% | 0.12 | 220 | -0.4% | -9.8% | -78.8% | -0.01 | 440 |
| 36 | 2.5% | 88.4% | -62.6% | 0.12 | 203 | -0.7% | -16.8% | -80.7% | -0.03 | 406 |
| 39 | 3.6% | 149.5% | -54.3% | 0.18 | 215 | 1.6% | 50.2% | -73.0% | 0.06 | 430 |
| 42 | 6.4% | 397.1% | -53.0% | 0.34 | 204 | 5.9% | 332.9% | -67.0% | 0.22 | 408 |
| 45 | 6.9% | 451.7% | -50.0% | 0.35 | 188 | 7.8% | 597.1% | -56.8% | 0.30 | 376 |
| 48 | 6.9% | 457.3% | -56.2% | 0.35 | 181 | 8.1% | 645.2% | -66.2% | 0.31 | 362 |
| 51 | 4.6% | 216.1% | -63.6% | 0.23 | 196 | 3.8% | 158.5% | -77.5% | 0.14 | 392 |
| 54 | 2.5% | 87.9% | -74.1% | 0.12 | 183 | -0.5% | -11.1% | -90.5% | -0.02 | 366 |
| 57 | 3.4% | 135.3% | -70.4% | 0.16 | 196 | 1.6% | 52.2% | -83.5% | 0.06 | 392 |
| 60 | 2.2% | 73.8% | -75.6% | 0.11 | 189 | -0.6% | -13.3% | -88.1% | -0.02 | 378 |
| 63 | 2.1% | 70.6% | -79.4% | 0.10 | 165 | -0.6% | -13.4% | -91.5% | -0.02 | 330 |
| 66 | 3.1% | 121.1% | -73.7% | 0.15 | 158 | 1.2% | 37.3% | -86.4% | 0.05 | 316 |
| 69 | 3.3% | 131.1% | -69.2% | 0.16 | 174 | 1.7% | 54.0% | -79.2% | 0.06 | 348 |
| 70 | 4.9% | 239.5% | -54.7% | 0.24 | 177 | 4.5% | 211.0% | -55.6% | 0.17 | 354 |
| 75 | 4.5% | 211.7% | -47.6% | 0.23 | 150 | 3.8% | 163.6% | -56.4% | 0.15 | 300 |
| 80 | 2.4% | 83.4% | -60.4% | 0.12 | 151 | -0.3% | -6.4% | -77.2% | -0.01 | 302 |
| 85 | 1.7% | 53.6% | -61.2% | 0.08 | 146 | -1.5% | -32.1% | -80.2% | -0.06 | 292 |
| 90 | 0.5% | 14.7% | -71.5% | 0.03 | 151 | -3.7% | -61.9% | -88.5% | -0.14 | 302 |
| 95 | 0.5% | 13.4% | -60.8% | 0.02 | 139 | -3.9% | -63.9% | -74.1% | -0.15 | 278 |
| 100 | 1.1% | 33.3% | -64.8% | 0.05 | 132 | -2.1% | -42.8% | -77.2% | -0.08 | 264 |
| 105 | 1.6% | 51.9% | -55.4% | 0.08 | 136 | -1.5% | -32.2% | -65.4% | -0.06 | 272 |
| 110 | 2.2% | 73.9% | -57.4% | 0.11 | 126 | -0.5% | -12.1% | -69.9% | -0.02 | 252 |
| 115 | -1.6% | -34.1% | -69.8% | -0.08 | 119 | -7.7% | -87.2% | -91.5% | -0.29 | 238 |
| 120 | -1.5% | -32.8% | -74.2% | -0.08 | 135 | -7.4% | -86.0% | -91.4% | -0.28 | 270 |
3. Equity Curve Explorer
Pick any strategy — system, variant, direction, and ATR profit target (or Base) — to see its equity curve: month-end cumulative return on the compounding equity curve, starting at 0%. Use “Compare A vs B” to overlay long-only against long & short.
Equity curves for every strategy (system × variant × direction × profit target) are loaded on demand (~3 MB).
4. Profit Factor Sweep
For every Donchian variant and every MA variant, an ATR profit target is swept from 1.5 to 10.0 (step 0.5) — 900 Donchian strategies and 900 MA strategies. Pick a system, variant, and direction to see how CAGR, Sharpe, and total return respond to the target distance.
Profit factor is the ATR profit-target multiple (target = entry ± PF × ATR₂₀). Each point re-runs the backtest with that target; the position still exits on the opposite signal if the target is not hit first.
CAGR vs Profit Factor
Sharpe vs Profit Factor
Total Return vs Profit Factor
| Profit Factor | CAGR | Max Drawdown | Sharpe | Total Return | Trades |
|---|---|---|---|---|---|
| 1.5 | -7.5% | -89.9% | -0.29 | -86.7% | 495 |
| 2.0 | -7.0% | -90.7% | -0.26 | -84.4% | 421 |
| 2.5 | -3.9% | -80.4% | -0.15 | -64.3% | 365 |
| 3.0 | -5.0% | -82.9% | -0.18 | -73.1% | 328 |
| 3.5 | -3.9% | -80.4% | -0.15 | -64.5% | 301 |
| 4.0 | -5.3% | -87.1% | -0.19 | -75.4% | 280 |
| 4.5 | -4.8% | -86.8% | -0.18 | -72.1% | 268 |
| 5.0 | -3.3% | -81.2% | -0.12 | -57.8% | 254 |
| 5.5 | -2.6% | -82.9% | -0.10 | -49.5% | 244 |
| 6.0 | -1.6% | -81.9% | -0.06 | -34.3% | 236 |
| 6.5 | -1.7% | -82.7% | -0.06 | -35.9% | 225 |
| 7.0 | -1.7% | -78.7% | -0.06 | -36.4% | 219 |
| 7.5 | -2.2% | -81.0% | -0.08 | -43.6% | 213 |
| 8.0 | -0.5% | -72.8% | -0.02 | -11.2% | 207 |
| 8.5 | -1.5% | -77.0% | -0.06 | -32.2% | 202 |
| 9.0 | -0.8% | -79.3% | -0.03 | -18.6% | 197 |
| 9.5 | -0.3% | -77.1% | -0.01 | -7.8% | 194 |
| 10.0 | -0.1% | -75.1% | -0.00 | -1.7% | 192 |
5. Volatility-Adjusted Profit Target (Dynamic)
SMA system only. The same ATR profit-target sweep as section 4, but the target is recomputed each day from the current ATR (target = entry ± PF × ATR₂₀ today) instead of being frozen at entry. Because it stays measured from the original entry price it only expands or contracts modestly as volatility changes — a more dynamic take-profit that adapts to the market. Pick a variant and direction to compare its CAGR, Sharpe, and total return against the static target above.
SMA system only. Like the profit-factor sweep above, but the ATR target is recomputed each day from the current ATR (target = entry ± PF × ATR₂₀ today) instead of being frozen at entry. It stays anchored to the original entry price, so it expands or contracts modestly as volatility breathes.
CAGR vs Profit Factor
Sharpe vs Profit Factor
Total Return vs Profit Factor
| Profit Factor | CAGR | Max Drawdown | Sharpe | Total Return | Trades |
|---|---|---|---|---|---|
| 1.5 | -5.6% | -91.2% | -0.20 | -77.5% | 1004 |
| 2.0 | -4.1% | -88.0% | -0.15 | -65.6% | 857 |
| 2.5 | -3.0% | -87.3% | -0.11 | -54.7% | 779 |
| 3.0 | -1.0% | -86.5% | -0.03 | -22.1% | 724 |
| 3.5 | -0.6% | -86.2% | -0.02 | -15.0% | 677 |
| 4.0 | -1.4% | -86.9% | -0.05 | -29.6% | 648 |
| 4.5 | -0.9% | -87.8% | -0.03 | -21.3% | 625 |
| 5.0 | -1.0% | -87.0% | -0.04 | -22.7% | 602 |
| 5.5 | 0.1% | -85.7% | 0.00 | 3.5% | 591 |
| 6.0 | 0.5% | -86.0% | 0.02 | 14.7% | 572 |
| 6.5 | 0.8% | -85.8% | 0.03 | 23.0% | 564 |
| 7.0 | 0.7% | -86.2% | 0.03 | 19.3% | 553 |
| 7.5 | 1.7% | -85.0% | 0.06 | 53.5% | 546 |
| 8.0 | 1.2% | -85.8% | 0.04 | 34.7% | 543 |
| 8.5 | 0.7% | -85.8% | 0.03 | 19.5% | 537 |
| 9.0 | 0.3% | -85.8% | 0.01 | 8.5% | 531 |
| 9.5 | 0.4% | -86.5% | 0.01 | 10.6% | 526 |
| 10.0 | 0.5% | -86.6% | 0.02 | 14.7% | 522 |
6. Stop Loss Sweep
SMA system only. For every MA variant a protective ATR stop is swept from 1.5 to 10.0 (step 0.5) — 900 MA strategies. Stop = entry ∓ SL × ATR₂₀ (no take-profit); the position still reverses on the opposite SMA-slope signal if the stop is not hit first. Tighter stops cap per-trade losses to try to reduce max drawdown. Pick a variant and direction to see how max drawdown, CAGR, and Sharpe respond to the stop distance.
Stop-loss factor is the ATR stop multiple (stop = entry ∓ SL × ATR₂₀). Each point re-runs the SMA backtest with that protective stop and no take-profit; the position still reverses on the opposite SMA-slope signal if the stop is not hit first. Tighter stops cap per-trade losses to lower max drawdown.
Max Drawdown vs Stop-Loss Factor
CAGR vs Stop-Loss Factor
Sharpe vs Stop-Loss Factor
| Stop-Loss Factor | CAGR | Max Drawdown | Sharpe | Total Return | Trades |
|---|---|---|---|---|---|
| 1.5 | 6.5% | -80.1% | 0.25 | 405.1% | 572 |
| 2.0 | 4.7% | -80.1% | 0.18 | 229.2% | 541 |
| 2.5 | 3.9% | -83.0% | 0.15 | 171.0% | 517 |
| 3.0 | 3.2% | -83.7% | 0.12 | 126.5% | 506 |
| 3.5 | 2.8% | -84.3% | 0.11 | 104.3% | 501 |
| 4.0 | 2.7% | -84.9% | 0.10 | 100.6% | 495 |
| 4.5 | 2.6% | -85.5% | 0.10 | 94.4% | 492 |
| 5.0 | 2.6% | -85.6% | 0.10 | 92.6% | 488 |
| 5.5 | 2.7% | -85.8% | 0.10 | 96.6% | 488 |
| 6.0 | 2.6% | -85.5% | 0.10 | 94.8% | 488 |
| 6.5 | 2.4% | -85.7% | 0.09 | 86.4% | 488 |
| 7.0 | 2.4% | -85.9% | 0.09 | 82.2% | 486 |
| 7.5 | 2.2% | -86.1% | 0.08 | 73.1% | 486 |
| 8.0 | 2.1% | -86.2% | 0.08 | 68.6% | 486 |
| 8.5 | 2.0% | -86.4% | 0.08 | 66.8% | 486 |
| 9.0 | 1.9% | -86.6% | 0.07 | 60.6% | 486 |
| 9.5 | 1.8% | -86.7% | 0.07 | 59.5% | 486 |
| 10.0 | 1.8% | -86.7% | 0.07 | 59.5% | 486 |
7. ATR Trailing Stop Sweep
SMA system only. A trailing ATR stop, distinct from the fixed stop in section 6: stop = best price reached since entry ∓ f × ATR₂₀, recomputed every day. It ratchets in the trade's favour as the move extends and retreats when volatility rises, giving the trade room. After a stop-out the strategy waits for the next SMA-slope signal to re-enter. The factor is swept 1.0 → 10.0 (step 0.5) — 950 MA strategies. Pick a variant and direction to see how max drawdown, CAGR, and Sharpe respond to the trail distance.
Trailing-stop factor is the ATR multiple subtracted from the best price reached since entry (stop = peak ∓ f × ATR₂₀, recomputed daily). The stop ratchets in the trade's favour as the move extends and retreats when volatility rises. After a stop-out the strategy waits for the next SMA-slope signal to re-enter.
Max Drawdown vs Trailing-Stop Factor
CAGR vs Trailing-Stop Factor
Sharpe vs Trailing-Stop Factor
| Trailing-Stop Factor | CAGR | Max Drawdown | Sharpe | Total Return | Trades |
|---|---|---|---|---|---|
| 1.0 | 19.2% | -53.9% | 0.92 | 9030.6% | 1577 |
| 1.5 | 11.2% | -77.7% | 0.49 | 1436.7% | 1149 |
| 2.0 | 6.9% | -83.6% | 0.29 | 462.8% | 935 |
| 2.5 | 7.7% | -81.5% | 0.31 | 573.5% | 794 |
| 3.0 | 6.6% | -82.6% | 0.26 | 414.5% | 706 |
| 3.5 | 7.0% | -82.0% | 0.27 | 472.6% | 636 |
| 4.0 | 4.1% | -84.3% | 0.16 | 182.7% | 591 |
| 4.5 | 2.9% | -86.0% | 0.11 | 109.8% | 563 |
| 5.0 | 3.7% | -86.1% | 0.14 | 157.1% | 534 |
| 5.5 | 2.5% | -85.4% | 0.10 | 90.4% | 529 |
| 6.0 | 2.8% | -85.4% | 0.11 | 102.5% | 520 |
| 6.5 | 3.2% | -85.8% | 0.12 | 124.3% | 513 |
| 7.0 | 3.1% | -86.1% | 0.12 | 118.7% | 506 |
| 7.5 | 3.1% | -85.9% | 0.12 | 121.9% | 499 |
| 8.0 | 2.7% | -86.7% | 0.10 | 97.5% | 496 |
| 8.5 | 2.7% | -86.7% | 0.10 | 97.1% | 495 |
| 9.0 | 2.3% | -86.7% | 0.09 | 81.7% | 493 |
| 9.5 | 1.8% | -86.7% | 0.07 | 59.5% | 493 |
| 10.0 | 1.6% | -86.7% | 0.06 | 51.3% | 492 |
8. Stop Loss + Time Stop — Equity Curves
SMA system only. The full strategy is now: enter on the SMA slope, exit on the opposite signal, ATR stop loss (entry ∓ SL × ATR₂₀), and a time stop — exit a trade still not in profit 5/10/15/20/30/40 days after entry. Pick an SMA period, direction, and ATR SL factor to overlay the equity curve of the ATR stop alone against the 5/10/15/20/30/40-day time-stop upgrades, with CAGR / max drawdown / Sharpe for each.
Equity curves for the SMA stop-loss / time-stop family (every period × direction × ATR SL factor × time stop) are loaded on demand.
9. Time Stop Only — Equity Curves
SMA system only, with no ATR stop — the only risk control is the time stop, so you can judge it on its own as an alternative to the ATR exit. Each line exits a trade still underwater 5/10/15/20/30/40 days after entry; the baseline holds every trade until the SMA slope flips. Pick an SMA period and direction to overlay the equity curve of the plain SMA system against each time-stop-only variant, with CAGR / max drawdown / Sharpe for each.
Equity curves for the SMA time-stop-only family (every period × direction × time stop) are loaded on demand.
Source: Yahoo Finance daily OHLC, full available history. Generated 2026-06-22 22:13:29 UTC.