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.
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 | 2000–2026 | 6,509 | 252 | 20–60% | 0.097 | 0.127 | -0.030 | 0.028 | 0.040 | -0.013 | 0.069 | 0.089 | -0.020 |
| Palladium | PA=F | 1998–2026 | 6,541 | 252 | 20–60% | 0.251 | 0.223 | +0.028 | 0.068 | 0.069 | -0.001 | 0.170 | 0.150 | +0.019 |
| Live Cattle | LE=F | 2001–2026 | 6,368 | 252 | 10–30% | 0.205 | 0.333 | -0.128 | 0.054 | 0.086 | -0.033 | 0.152 | 0.245 | -0.093 |
| Cocoa | CC=F | 2000–2026 | 6,663 | 252 | 20–60% | -0.163 | 0.289 | -0.452 | -0.037 | 0.092 | -0.128 | -0.117 | 0.203 | -0.321 |
| Coffee | KC=F | 2000–2026 | 6,662 | 252 | 20–60% | -0.063 | 0.169 | -0.232 | -0.016 | 0.055 | -0.071 | -0.044 | 0.114 | -0.157 |
| Bitcoin | BTC-USD | 2014–2026 | 4,335 | 365 | 30–110% | 1.552 | 1.143 | +0.409 | 0.810 | 0.619 | +0.191 | 1.039 | 0.778 | +0.261 |
| US Dollar Index | DX-Y.NYB | 1971–2026 | 14,111 | 252 | 4–12% | 0.445 | -0.059 | +0.504 | 0.089 | -0.006 | +0.095 | 0.313 | -0.042 | +0.355 |
| 2-Year T-Note | ZT=F | 2000–2026 | 6,558 | 252 | 0.5–4.5% | 0.318 | 0.137 | +0.181 | 0.040 | 0.019 | +0.021 | 0.227 | 0.099 | +0.129 |
| Aluminium* | ALI=F | 2020–2026 | 1,652 | 252 | 15–35% | 0.525 | 0.609 | -0.083 | 0.160 | 0.213 | -0.053 | 0.373 | 0.421 | -0.048 |
| Lithium & Battery ETF* | LIT | 2010–2026 | 4,028 | 252 | 15–55% | 0.599 | 0.315 | +0.284 | 0.180 | 0.095 | +0.085 | 0.411 | 0.220 | +0.191 |
| Brazilian Real* | 6L=F | 2003–2026 | 5,720 | 252 | 8–24% | 0.040 | -0.218 | +0.258 | 0.006 | -0.033 | +0.039 | 0.029 | -0.158 | +0.187 |
| Silver | SI=F | 2000–2026 | 6,504 | 252 | 15–55% | 0.124 | 0.418 | -0.294 | 0.034 | 0.133 | -0.099 | 0.089 | 0.305 | -0.215 |
| Gold | GC=F | 2000–2026 | 6,502 | 252 | 10–26% | 0.512 | 0.879 | -0.367 | 0.138 | 0.250 | -0.112 | 0.370 | 0.622 | -0.251 |
| 10-Year T-Note | ZN=F | 2000–2026 | 6,492 | 252 | 3–11% | -0.034 | 0.073 | -0.107 | -0.005 | 0.013 | -0.018 | -0.024 | 0.053 | -0.077 |
| 30-Year T-Bond | ZB=F | 2000–2026 | 6,498 | 252 | 6–22% | -0.019 | 0.056 | -0.075 | -0.004 | 0.010 | -0.014 | -0.013 | 0.039 | -0.052 |
| Wheat | ZW=F | 2000–2026 | 6,527 | 252 | 20–60% | -0.397 | 0.177 | -0.573 | -0.072 | 0.053 | -0.125 | -0.272 | 0.117 | -0.389 |
| Soybeans | ZS=F | 2000–2026 | 6,507 | 252 | 15–55% | 0.146 | 0.191 | -0.045 | 0.035 | 0.063 | -0.027 | 0.102 | 0.139 | -0.037 |
| Natural Gas | NG=F | 2000–2026 | 6,509 | 252 | 30–110% | -0.351 | -0.054 | -0.297 | -0.113 | -0.024 | -0.089 | -0.245 | -0.035 | -0.209 |
| Lean Hogs | HE=F | 2000–2026 | 6,438 | 252 | 20–100% | -0.223 | 0.081 | -0.304 | -0.060 | 0.029 | -0.089 | -0.168 | 0.057 | -0.224 |
| High Grade Copper | HG=F | 2000–2026 | 6,508 | 252 | 15–55% | 0.407 | 0.420 | -0.012 | 0.112 | 0.116 | -0.004 | 0.288 | 0.294 | -0.006 |
| Sugar No. 11 | SB=F | 2000–2026 | 6,626 | 252 | 20–60% | 0.142 | 0.183 | -0.041 | 0.037 | 0.056 | -0.019 | 0.099 | 0.126 | -0.026 |
| Orange Juice* | OJ=F | 2001–2026 | 6,241 | 252 | 20–60% | -0.043 | 0.100 | -0.143 | -0.011 | 0.034 | -0.045 | -0.031 | 0.069 | -0.100 |
| Cotton | CT=F | 2000–2026 | 6,664 | 252 | 15–55% | 0.122 | 0.082 | +0.040 | 0.031 | 0.022 | +0.009 | 0.085 | 0.057 | +0.028 |
| British Pound* | 6B=F | 2000–2026 | 6,447 | 252 | 5–13% | -0.026 | -0.046 | +0.020 | -0.004 | -0.006 | +0.002 | -0.019 | -0.033 | +0.015 |
| Mexican Peso* | 6M=F | 2001–2026 | 6,293 | 252 | 6–22% | -0.141 | -0.243 | +0.102 | -0.023 | -0.033 | +0.010 | -0.104 | -0.183 | +0.079 |
| Japanese Yen* | 6J=F | 2000–2026 | 6,455 | 252 | 6–22% | 0.014 | -0.094 | +0.108 | 0.003 | -0.020 | +0.022 | 0.007 | -0.010 | +0.017 |
* Markets with a note you should read first. Some are data limitations, some are quote conventions — either way, read the row with the note:
- 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. About a third of bars have high == low, so the intraday stop and target sections lean close-only.
- 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. Yahoo reports settlement-only bars for much of the early history — 70% of bars had no intraday range in 2001-2008, falling to 39% since 2017 — so the intraday stop and target sections lean close-only on this card. The closes themselves move normally (2.5% unchanged days, ATR never zero).
- Japanese Yen: CME Japanese yen futures, quoted in USD per 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.