Strategy Analytics

Markets — Trend System Across Twelve Instruments

The same twelve sections as the Corn MA page, run on each market with its own calibrated volatility range and trading calendar.

How to read this table. “Best Sharpe” is the best of the 50 base cells (25 periods × 2 systems) for that market, and “median Sharpe” is the middle of those same 50. The median is the honest number: the best cell of a 50-cell sweep is partly a selection effect, which is exactly the trap the 2026-07-27 volatility work fell into. A market whose best is high but whose median is near zero has one lucky period, not an edge.

Histories are not equal, so drawdowns are not directly comparable across rows — Bitcoin starts in 2014 and never saw 2008, while the US Dollar Index runs back to 1971.

Read the Δ columns before the raw ratios. A trend ratio is only worth something if it beats simply holding the thing, so every metric is shown next to its buy-and-hold equivalent and the difference. Sortino and Calmar come first because trend following is what these pages measure: Sharpe divides by total volatility and so charges for the large winning months the strategy exists to produce, while Sortino counts only downside deviation and Calmar is return over the worst drawdown.

Gold is the clearest example of why the Δ matters: it has one of the highest absolute Sortino figures here, and one of the worst Δ Sortino, because gold simply rose. The US Dollar Index is the opposite — a currency index has no long-run drift, so buy-and-hold earns nothing and everything the strategy shows is its own.

Histories are not equal, so drawdowns are not comparable across rows — Bitcoin starts in 2014 and never saw 2008, while the US Dollar Index runs back to 1971. Both sides of every comparison use the same compounded annualized return, so the subtraction is like-for-like.

Market	Ticker	History	Bars	Days/Yr	Vol Grid	Sortino	B&H Sortino	Δ Sortino	Calmar	B&H Calmar	Δ Calmar	Sharpe	B&H Sharpe	Δ Sharpe
Crude Oil*	CL=F	1983–2026	10,917	252	15–55%	0.374	0.183	+0.191	0.103	0.051	+0.051	0.263	0.130	+0.133
Palladium	PA=F	1981–2026	11,290	252	15–55%	0.082	0.182	-0.101	0.019	0.048	-0.030	0.058	0.127	-0.070
Live Cattle	LE=F	1978–2026	12,077	252	8–24%	0.195	0.347	-0.152	0.030	0.078	-0.049	0.137	0.243	-0.106
Cocoa	CC=F	1979–2026	11,727	252	20–60%	-0.287	-0.236	-0.052	-0.050	-0.054	+0.004	-0.204	-0.165	-0.039
Coffee	KC=F	1978–2026	11,982	252	20–60%	0.051	-0.205	+0.256	0.010	-0.050	+0.059	0.035	-0.141	+0.176
Bitcoin	BTC-USD	2014–2026	4,356	365	30–110%	1.568	1.175	+0.393	0.813	0.635	+0.178	1.048	0.799	+0.249
US Dollar Index	DX-Y.NYB	1971–2026	14,126	252	4–12%	0.439	-0.063	+0.502	0.087	-0.006	+0.093	0.309	-0.045	+0.354
2-Year T-Note	ZT=F	1990–2026	9,115	252	0.5–2.5%	0.816	0.744	+0.071	0.127	0.077	+0.050	0.556	0.510	+0.047
Aluminium*	ALI=F	2020–2026	1,668	252	15–35%	0.512	0.590	-0.078	0.146	0.207	-0.060	0.364	0.408	-0.044
Lithium & Battery ETF*	LIT	2010–2026	4,044	252	15–55%	0.582	0.337	+0.245	0.169	0.102	+0.067	0.399	0.235	+0.164
Brazilian Real*	6L=F	2016–2026	2,699	252	10–30%	-0.700	0.057	-0.757	-0.147	0.026	-0.173	-0.553	0.032	-0.585
Silver	SI=F	1978–2026	12,167	252	15–55%	0.004	-0.001	+0.005	0.001	-0.000	+0.001	0.003	-0.001	+0.004
Gold	GC=F	1978–2026	12,187	252	7.5–27.5%	0.157	0.139	+0.018	0.027	0.020	+0.007	0.112	0.098	+0.013
10-Year T-Note	ZN=F	1982–2026	11,173	252	3–11%	0.555	0.734	-0.179	0.107	0.133	-0.026	0.383	0.505	-0.121
30-Year T-Bond	ZB=F	1978–2026	12,217	252	6–22%	0.217	0.320	-0.103	0.035	0.054	-0.018	0.153	0.225	-0.072
Wheat	ZW=F	1978–2026	12,272	252	15–55%	-0.426	-0.457	+0.031	-0.061	-0.086	+0.025	-0.299	-0.318	+0.018
Soybeans	ZS=F	1977–2026	12,302	252	12.5–32.5%	0.045	0.003	+0.043	0.007	0.000	+0.007	0.032	0.002	+0.030
Natural Gas	NG=F	1990–2026	9,157	252	30–110%	-0.048	-0.411	+0.363	-0.013	-0.151	+0.138	-0.033	-0.282	+0.249
Lean Hogs	HE=F	1978–2026	12,062	252	12.5–32.5%	0.591	0.155	+0.436	0.144	0.029	+0.115	0.407	0.109	+0.297
High Grade Copper	HG=F	1978–2026	12,167	252	15–55%	0.197	0.198	-0.001	0.041	0.044	-0.003	0.139	0.139	-0.000
Sugar No. 11	SB=F	1978–2026	12,023	252	20–60%	0.181	-0.145	+0.326	0.049	-0.037	+0.086	0.126	-0.102	+0.228
Orange Juice*	OJ=F	1978–2026	12,076	252	15–55%	0.192	-0.072	+0.265	0.039	-0.017	+0.056	0.134	-0.050	+0.183
Cotton	CT=F	1978–2026	12,053	252	15–55%	0.186	-0.121	+0.307	0.032	-0.021	+0.053	0.130	-0.085	+0.215
British Pound*	6B=F	1979–2026	11,969	252	6–22%	0.133	0.009	+0.124	0.019	0.001	+0.017	0.095	0.007	+0.088
Mexican Peso*	6M=F	1995–2026	7,900	252	6–22%	0.273	0.545	-0.273	0.056	0.117	-0.061	0.194	0.401	-0.207
Japanese Yen*	6J=F	1979–2026	11,940	252	6–22%	0.326	-0.274	+0.600	0.061	-0.025	+0.086	0.221	-0.187	+0.408

* Markets with a note you should read first. Some are data limitations, some are quote conventions — either way, read the row with the note:

Crude Oil: The data vendor rolls one business day before last trade, so on 2020-04-20 this series still held the expiring May contract, which settled at -37.63. That bar is excluded (a percentage curve cannot represent a negative price) and the history before it is shifted by its point move, so the next day carries only the June contract's fall. A system short crude that day would in reality have banked the May collapse; this card does not count it.
Aluminium: COMEX aluminium is thinly traded and Yahoo reports settlement-only bars. Before 2020 the series is largely stale — in 2018, 95.6% of closes are unchanged and the longest run of identical closes across the feed is 90 bars — so signals and ATR there are meaningless and this card starts at 2020. That leaves ~6.5 years, a quarter of what the other markets have, so its Sharpe and drawdown are much less reliable. Roughly 80–97% of bars also have high == low, so the intraday stop and target sections behave as close-only and understate stop-outs.
Lithium & Battery ETF: This is NOT the lithium price. CME lithium carbonate futures are not on our feed, so the card tracks the Global X Lithium & Battery Tech ETF (LIT) — an equity basket of lithium and battery companies. It moves with equity beta and battery-sector sentiment as well as lithium itself, and is the closest available proxy rather than the commodity.
Brazilian Real: CME Brazilian real futures, quoted in USD per real, so a long position is long the real against the dollar. The QuantConnect series (calendar-roll continuous) before 2016 is gap-ridden and is cut at load time, so this card's history starts 2016. It is ratio back-adjusted and carries no real price, so the trading cost is charged against the adjusted price, which sits below the real one in early years (about 0.56x in 2016, 0.84x in 2024, measured against CME's unadjusted 6L): early trades pay up to ~1.8x their real cost share, and their dollar figures (Avg Trade, Avg Loss) are in adjusted units.
Orange Juice: Orange juice also has its own seasonality card elsewhere on the site; this one is the twelve-section trend study on the same futures series, not a duplicate of it.
British Pound: CME British pound futures, quoted in USD per pound, so a long position is long sterling against the dollar — not the GBP/USD spot convention where the pair is quoted the other way round.
Mexican Peso: CME Mexican peso futures, quoted in USD per peso, so a long position is long the peso against the dollar.
Japanese Yen: CME Japanese yen futures, quoted here in USD per 100 yen, so a long position is long the yen against the dollar — not the USD/JPY spot convention, where long means the opposite.

Each market has its own tab with all twelve sections. Colombo All Share and the Crobex proxy are not here: neither is on a data feed we can reach, and there is no Crobex ETF — both are waiting on the client to specify a source.

Since 2026-09-24 the futures cards run on Norgate's Panama-adjusted series and most start 1978–1995, earlier than the previous feeds (1998–2019 depending on the market). Trend results include the 1980s–90s trends and buy-and-hold includes decades of roll cost, so neither is comparable to the figures this page showed before; the roll rule alone moves lean hogs' buy-and-hold by about 9 percentage points a year.