CTA Trend Following
30-Year T-Bond — Concentration, Ensemble & The Twelve Sections
Kaufman's robust-region method on 30-Year T-Bond (ZB=F), then the same twelve sections as the market card — all of it on data ending 2015-12-31.
K1. Where The Results Concentrate
Kaufman's method: rather than take the best of the 50 base cells, or their median, find the contiguous stretch of SMA periods that all work. The plateau is the region holding at or above 70% of the smoothed peak. Its width is the honest measure of how much room for error this market gives you.
Sortino By SMA Period — Where The Results Concentrate
Bars are each tested period on its own. The line averages each period with the tested period either side (3-point neighbourhood), which is what the selection reads. The shaded band is the plateau; the outlined bars are the funded entries.
Why this direction
| System | Plateau mean | Coverage | Periods in profit |
|---|---|---|---|
| System A — Long Only ✓ | 0.239 | 20% | 68% |
| System B — Long & Short | 0.075 | 4% | 28% |
The direction is chosen on the plateau, not on the best cell. A direction that covers at least 20% of the grid wins over one that scores higher across three adjacent periods, because that narrow high score is exactly the fluke this method exists to avoid.
Speed preference vs efficiency ratio
| Speed band | Mean sortino |
|---|---|
| short(SMA 30–54) | -0.027 |
| medium(SMA 55–80) | 0.198 |
| long(SMA 81–120) | 0.114 |
Efficiency ratio over this window: 10d 0.318, 20d 0.226, 60d 0.120. A high ER means price travels in straighter lines, which should favour faster SMAs; a low ER means the path is noisy and a slower SMA should do better. The index page tests that across all markets rather than asserting it here.
K2. The Funded Ensemble — 4 Entries, Equal Weight
Each selected period is funded with 25% of the market's capital and runs as its own base system. They are deliberately spread across the plateau: adjacent periods would be one system counted several times, which is the overfit this is meant to avoid.
| Entry | Band | Weight | CAGR | Max DD | Sharpe | Sortino | Calmar | Trades | Win rate |
|---|---|---|---|---|---|---|---|---|---|
| SMA 70 | medium | 25.0% | 1.5% | -17.4% | 0.18 | 0.26 | 0.09 | 89 | 31.5% |
| SMA 75 | medium | 25.0% | 1.8% | -17.6% | 0.21 | 0.31 | 0.10 | 97 | 40.2% |
| SMA 80 | medium | 25.0% | 0.9% | -20.2% | 0.10 | 0.15 | 0.04 | 99 | 35.4% |
| SMA 90 | long | 25.0% | 0.5% | -17.3% | 0.06 | 0.08 | 0.03 | 98 | 36.7% |
| Ensemble (equal weight) | 100.0% | 1.2% | -16.9% | 0.14 | 0.21 | 0.07 | 383 | — | |
The ensemble against the three readings it replaces
On sortino, the tab's selection metric.
| Reading | sortino | Ensemble minus this | What it is |
|---|---|---|---|
| Ensemble | 0.211 | — | 4 periods from the plateau, equal weight. |
| Buy & hold | 0.390 | -0.179 | Holding the future outright over the same window. |
| Median cell | -0.032 | +0.243 | The middle of all 50 cells — what picking a parameter at random gets you. This is the reading the earlier cross-market tables used. |
| Best single cell — SMA 75 | 0.312 | -0.100 | The luckiest point on the surface. In sample it must win; the question is by how little, because whatever it wins by is what you are betting survives. |
Ensemble Equity — Month-End Cumulative Return
Each funded entry gets 25% of the market's capital and runs independently. Everything stops on 2015-12-31.
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, Sharpe and trade count for every base variant of both systems over 3,840 daily bars. System A = Long Only, System B = Long & Short (stop-and-reverse).
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 | A: Sortino | A: Calmar | A: Trades | B: CAGR | B: Total Return | B: Max DD | B: Sharpe | B: Sortino | B: Calmar | B: Trades |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 20 | 0.9% | 14.6% | -19.3% | 0.11 | 0.16 | 0.05 | 47 | -1.3% | -17.6% | -26.0% | -0.12 | -0.17 | -0.05 | 93 |
| 23 | 0.0% | 0.5% | -20.0% | 0.00 | 0.01 | 0.00 | 45 | -2.9% | -36.3% | -39.2% | -0.27 | -0.39 | -0.07 | 89 |
| 26 | -0.7% | -10.6% | -19.6% | -0.10 | -0.13 | -0.04 | 43 | -4.5% | -50.4% | -52.6% | -0.42 | -0.56 | -0.09 | 85 |
| 29 | -1.1% | -15.4% | -23.1% | -0.14 | -0.19 | -0.05 | 40 | -5.2% | -55.6% | -57.6% | -0.48 | -0.65 | -0.09 | 79 |
| 32 | -1.7% | -22.5% | -26.9% | -0.22 | -0.29 | -0.06 | 36 | -6.3% | -62.8% | -65.8% | -0.58 | -0.77 | -0.10 | 72 |
| 35 | -1.0% | -14.3% | -25.3% | -0.13 | -0.18 | -0.04 | 31 | -5.0% | -54.4% | -58.4% | -0.46 | -0.62 | -0.09 | 62 |
| 38 | -0.9% | -12.7% | -23.9% | -0.11 | -0.15 | -0.04 | 29 | -4.8% | -52.6% | -56.8% | -0.44 | -0.59 | -0.08 | 58 |
| 41 | -1.0% | -14.2% | -24.8% | -0.12 | -0.17 | -0.04 | 27 | -5.0% | -54.2% | -57.0% | -0.46 | -0.61 | -0.09 | 53 |
| 44 | -1.2% | -17.4% | -29.1% | -0.15 | -0.20 | -0.04 | 26 | -5.5% | -57.7% | -60.3% | -0.51 | -0.67 | -0.09 | 51 |
| 47 | -0.5% | -7.6% | -25.2% | -0.06 | -0.09 | -0.02 | 24 | -3.9% | -45.8% | -50.6% | -0.36 | -0.52 | -0.08 | 47 |
| 50 | -0.6% | -8.8% | -24.9% | -0.07 | -0.10 | -0.02 | 23 | -4.0% | -46.3% | -50.2% | -0.37 | -0.52 | -0.08 | 45 |
| 53 | 0.1% | 1.6% | -23.4% | 0.01 | 0.02 | 0.00 | 21 | -2.6% | -32.8% | -41.4% | -0.24 | -0.34 | -0.06 | 41 |
| 56 | -0.3% | -4.3% | -25.8% | -0.03 | -0.05 | -0.01 | 21 | -3.3% | -40.2% | -47.1% | -0.31 | -0.43 | -0.07 | 41 |
| 59 | -0.2% | -2.7% | -23.6% | -0.02 | -0.03 | -0.01 | 20 | -3.1% | -38.0% | -45.0% | -0.29 | -0.41 | -0.07 | 39 |
| 62 | -0.0% | -0.6% | -21.3% | -0.00 | -0.01 | -0.00 | 19 | -2.8% | -34.7% | -41.6% | -0.26 | -0.36 | -0.07 | 37 |
| 65 | 0.3% | 5.1% | -22.6% | 0.04 | 0.05 | 0.01 | 17 | -2.0% | -26.6% | -39.4% | -0.19 | -0.27 | -0.05 | 33 |
| 68 | 0.0% | 0.1% | -24.7% | 0.00 | 0.00 | 0.00 | 16 | -2.6% | -33.3% | -42.8% | -0.24 | -0.35 | -0.06 | 31 |
| 71 | 0.7% | 11.8% | -25.2% | 0.08 | 0.12 | 0.03 | 14 | -1.5% | -20.3% | -43.6% | -0.14 | -0.20 | -0.03 | 28 |
| 74 | 0.9% | 14.3% | -22.6% | 0.10 | 0.15 | 0.04 | 13 | -1.2% | -16.8% | -42.0% | -0.11 | -0.16 | -0.03 | 26 |
| 77 | 0.7% | 11.1% | -23.5% | 0.08 | 0.12 | 0.03 | 13 | -1.6% | -21.5% | -43.2% | -0.15 | -0.21 | -0.04 | 26 |
| 80 | 0.7% | 10.5% | -23.7% | 0.08 | 0.11 | 0.03 | 13 | -1.6% | -22.3% | -43.7% | -0.15 | -0.22 | -0.04 | 26 |
| 85 | 1.2% | 19.5% | -24.7% | 0.13 | 0.20 | 0.05 | 12 | -0.5% | -8.0% | -38.5% | -0.05 | -0.07 | -0.01 | 24 |
| 90 | 1.0% | 17.0% | -25.5% | 0.12 | 0.17 | 0.04 | 12 | -0.8% | -11.8% | -39.9% | -0.08 | -0.11 | -0.02 | 24 |
| 95 | 1.3% | 22.3% | -26.1% | 0.15 | 0.22 | 0.05 | 11 | -0.3% | -4.6% | -40.8% | -0.03 | -0.04 | -0.01 | 22 |
| 100 | 1.0% | 16.1% | -28.1% | 0.11 | 0.16 | 0.04 | 11 | -1.0% | -14.1% | -44.1% | -0.09 | -0.13 | -0.02 | 22 |
Moving Average — SMA Slope
SMA period grid 30→70 step 3, then 70→120 step 5. Exit/reverse when the SMA slope flips.
| SMA | A: CAGR | A: Total Return | A: Max DD | A: Sharpe | A: Sortino | A: Calmar | A: Trades | B: CAGR | B: Total Return | B: Max DD | B: Sharpe | B: Sortino | B: Calmar | B: Trades |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 30 | -0.5% | -7.1% | -22.3% | -0.06 | -0.09 | -0.02 | 165 | -4.2% | -47.6% | -53.4% | -0.39 | -0.52 | -0.08 | 330 |
| 33 | -0.4% | -5.5% | -23.7% | -0.05 | -0.06 | -0.02 | 159 | -3.9% | -45.8% | -50.3% | -0.37 | -0.49 | -0.08 | 317 |
| 36 | -1.1% | -15.6% | -24.8% | -0.14 | -0.19 | -0.04 | 153 | -5.3% | -56.7% | -59.7% | -0.50 | -0.67 | -0.09 | 305 |
| 39 | -0.6% | -8.5% | -21.2% | -0.07 | -0.10 | -0.03 | 152 | -4.2% | -48.3% | -53.2% | -0.39 | -0.53 | -0.08 | 304 |
| 42 | -0.3% | -4.6% | -17.9% | -0.04 | -0.05 | -0.02 | 147 | -3.7% | -43.7% | -48.9% | -0.34 | -0.47 | -0.08 | 294 |
| 45 | -0.1% | -0.9% | -20.3% | -0.01 | -0.01 | -0.00 | 149 | -3.2% | -39.1% | -43.9% | -0.30 | -0.40 | -0.07 | 298 |
| 48 | -0.6% | -8.6% | -23.3% | -0.07 | -0.10 | -0.03 | 162 | -4.1% | -46.7% | -49.6% | -0.38 | -0.54 | -0.08 | 324 |
| 51 | 0.5% | 7.2% | -19.0% | 0.05 | 0.08 | 0.02 | 131 | -2.0% | -26.5% | -36.2% | -0.19 | -0.27 | -0.06 | 262 |
| 54 | 1.7% | 28.6% | -17.0% | 0.20 | 0.29 | 0.10 | 115 | 0.5% | 8.1% | -23.3% | 0.05 | 0.07 | 0.02 | 230 |
| 57 | 1.0% | 16.4% | -18.2% | 0.12 | 0.17 | 0.05 | 122 | -0.8% | -12.0% | -32.7% | -0.08 | -0.11 | -0.03 | 244 |
| 60 | 0.4% | 6.1% | -22.4% | 0.04 | 0.07 | 0.02 | 124 | -1.9% | -25.6% | -41.1% | -0.18 | -0.26 | -0.05 | 248 |
| 63 | 1.4% | 23.9% | -14.7% | 0.16 | 0.24 | 0.10 | 108 | 0.2% | 2.7% | -22.4% | 0.02 | 0.02 | 0.01 | 216 |
| 66 | 0.8% | 13.2% | -17.4% | 0.09 | 0.14 | 0.05 | 103 | -1.0% | -14.3% | -29.5% | -0.09 | -0.14 | -0.03 | 206 |
| 69 | 1.5% | 25.3% | -16.6% | 0.17 | 0.25 | 0.09 | 90 | 0.3% | 4.3% | -24.3% | 0.03 | 0.04 | 0.01 | 180 |
| 70 | 1.5% | 25.9% | -17.4% | 0.18 | 0.26 | 0.09 | 89 | 0.4% | 6.9% | -26.6% | 0.04 | 0.06 | 0.02 | 178 |
| 75 | 1.8% | 31.7% | -17.6% | 0.21 | 0.31 | 0.10 | 97 | 0.9% | 15.0% | -27.1% | 0.09 | 0.13 | 0.03 | 193 |
| 80 | 0.9% | 14.4% | -20.2% | 0.10 | 0.15 | 0.04 | 99 | -0.9% | -13.5% | -34.1% | -0.09 | -0.13 | -0.03 | 198 |
| 85 | 1.8% | 31.1% | -14.7% | 0.21 | 0.31 | 0.12 | 99 | 0.8% | 12.1% | -18.2% | 0.07 | 0.10 | 0.04 | 198 |
| 90 | 0.5% | 7.9% | -17.3% | 0.06 | 0.08 | 0.03 | 98 | -1.7% | -22.6% | -31.8% | -0.16 | -0.23 | -0.05 | 196 |
| 95 | 1.8% | 30.8% | -17.1% | 0.20 | 0.30 | 0.10 | 88 | 0.8% | 13.3% | -25.5% | 0.08 | 0.11 | 0.03 | 176 |
| 100 | 1.2% | 19.8% | -18.2% | 0.14 | 0.20 | 0.07 | 83 | -0.4% | -6.1% | -33.6% | -0.04 | -0.06 | -0.01 | 166 |
| 105 | 0.2% | 3.2% | -23.6% | 0.02 | 0.03 | 0.01 | 79 | -2.4% | -30.4% | -48.8% | -0.22 | -0.32 | -0.05 | 158 |
| 110 | 0.5% | 7.9% | -21.3% | 0.06 | 0.08 | 0.02 | 84 | -1.6% | -21.7% | -40.8% | -0.15 | -0.22 | -0.04 | 168 |
| 115 | -0.7% | -10.8% | -28.2% | -0.09 | -0.12 | -0.03 | 79 | -4.1% | -46.9% | -55.8% | -0.38 | -0.54 | -0.07 | 157 |
| 120 | 0.2% | 3.0% | -27.7% | 0.02 | 0.03 | 0.01 | 80 | -2.2% | -28.5% | -52.9% | -0.20 | -0.30 | -0.04 | 159 |
3. Equity Curve Explorer
Pick a period, direction and ATR profit target (or Base) to see its month-end cumulative return, starting at 0%.
Every ATR profit target is overlaid against the base system.
Loading equity curves…
4. Profit Factor Sweep
An ATR profit target swept 1.5 → 10.0 (step 0.5) for every variant. Target = entry ± PF × ATR₂₀, frozen at entry.
5. Volatility-Adjusted Profit Target (Dynamic)
The same sweep as section 4, but the target is recomputed each day from the current ATR instead of frozen at entry, so it breathes with volatility while staying anchored to the entry price.
6. Stop Loss Sweep
A protective ATR stop swept 1.5 → 10.0 (step 0.5). Stop = entry ∓ SL × ATR₂₀, no take-profit; the position still reverses on the opposite SMA-slope signal if the stop is not hit first.
7. ATR Trailing Stop Sweep
A trailing ATR stop, distinct from section 6: stop = best price reached since entry ∓ f × ATR₂₀, recomputed daily. It ratchets in the trade's favour and retreats when volatility rises. Swept 1.0 → 10.0 (step 0.5).
8. Stop Loss + Time Stop — Equity Curves
The full strategy: SMA entry, ATR stop loss, and a time stop that exits a trade still not in profit 5/10/15/20/30/40 days after entry. Split into one file per SMA period so this loads in a fraction of the Corn page's payload.
Loading equity curves…
9. Time Stop Only — Equity Curves
The time stop judged on its own, with no ATR stop, against the plain SMA baseline. Each line exits a trade still underwater 5/10/15/20/30/40 days after entry.
Loading equity curves…
10. Volatility Filter Sweep
Volatility is the annualized standard deviation of daily returns — the standard deviation of the last 20 daily returns × √252. The factor is a maximum: a new position opens only on a day at or below it, so the strategy stands aside in turbulence. An open trade is never closed by the filter.
11. Volatility Filter + ATR Trailing Stop
The first combined risk layer: the section-10 filter and the section-7 trailing stop in one strategy, swept together across every combination. The last column is section 7 on its own, so you can read left to right whether adding the filter helps.
12. Volatility Regime Switch
The same threshold as section 10, but acting as a regime switch: above it the open position is closed at that day's close, nothing opens while volatility stays high, and the position re-opens on the first calm day the SMA slope still points the right way — no fresh signal required.
Source: Yahoo Finance daily OHLC, truncated at 2015-12-31 — nothing after that date was read by any calculation on this page. Generated 2026-08-03 05:53:05 UTC.