Strategy Analytics

Aluminium — Moving Average & Risk Layers

The same sections as the Corn MA page, on Aluminium (ALI=F). Volatility ranges are calibrated to this market rather than copied from Corn.

Instrument

Aluminium (ALI=F)

History

2020-01-02 → 2026-08-20

Trading Days / Year

252

Volatility Grid

15–35% (step 2.5)

Read this before the numbers. 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. History on this card starts at 2020-01-01.

All results are net of trading costs. Every round turn (entry + exit) of one contract pays $5.00 commission + 1.5 ticks of slippage (1.5 × $6.25) = $14.38, i.e. 0.575 price points at $25 per point. Half is charged on entry and half on exit (a position still open at the end has paid only its entry half); on the compounding curve the cost is a share of the contract's real value at entry, so it weighs more on short, frequent trades. Profit Factor is gross profit ÷ gross loss over all trades (not the ATR target multiple sections 4–5 call “profit factor”); Avg Trade and Avg Loss are net USD per contract. Contract rolls are not charged as extra round turns.

How this market is calibrated. The volatility factor grid is 15–35%, derived from p10-p90 of annualized 20-day volatility, rounded to a nice step on this market's own history — not Corn's 20–60%, which would be meaningless here. Annualized 20-day volatility percentiles: p5 13.0%, p10 14.1%, p25 16.7%, p50 20.8%, p75 26.0%, p90 33.4%, p95 38.1%. Metrics annualize with 252 trading days per year. A cell at −100% CAGR means a position lost more than its stake — typically a short in a contract that more than doubled before the exit — and the later numbers in that cell are not meaningful. No intraday range on 88% of bars: the feed reports high == low that often, so ATR falls back to the close-to-close gap and the intraday stop and target sections (4, 6, 7, 11) behave as close-only — a stop can only be hit if the close passes it. That understates stop-outs on this card.

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, trade count, profit factor and the average trade / average losing trade for every base variant of both systems over 1,668 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	A: Profit Factor	A: Avg Trade	A: Avg Loss	B: CAGR	B: Total Return	B: Max DD	B: Sharpe	B: Sortino	B: Calmar	B: Trades	B: Profit Factor	B: Avg Trade	B: Avg Loss
20	15.8%	164.0%	-34.6%	0.87	1.28	0.46	18	4.80	$3,463	−$2,048	19.5%	225.4%	-33.2%	0.86	1.25	0.59	37	3.03	$2,300	−$2,206
23	15.8%	163.7%	-34.3%	0.86	1.28	0.46	16	4.93	$3,961	−$2,306	19.3%	222.2%	-32.2%	0.85	1.25	0.60	33	3.30	$2,613	−$2,348
26	14.5%	144.7%	-38.6%	0.77	1.13	0.38	14	4.59	$4,128	−$2,684	16.8%	178.7%	-38.7%	0.74	1.08	0.43	29	3.01	$2,588	−$2,662
29	14.2%	140.4%	-40.9%	0.76	1.11	0.35	13	3.98	$4,312	−$3,131	16.1%	168.0%	-43.4%	0.71	1.03	0.37	27	2.72	$2,652	−$3,206
32	11.3%	103.4%	-42.4%	0.61	0.87	0.27	13	3.04	$3,387	−$3,087	10.5%	93.2%	-48.5%	0.46	0.65	0.22	27	2.03	$1,761	−$3,068
35	8.6%	72.5%	-47.2%	0.46	0.66	0.18	13	2.36	$2,647	−$3,154	4.8%	36.6%	-58.4%	0.21	0.29	0.08	27	1.49	$1,038	−$3,389
38	11.1%	101.2%	-47.2%	0.59	0.84	0.24	11	3.09	$4,012	−$4,221	10.0%	87.5%	-55.1%	0.44	0.62	0.18	23	2.08	$2,054	−$3,646
41	11.6%	106.4%	-43.2%	0.61	0.89	0.27	10	3.72	$4,565	−$4,193	10.4%	92.2%	-51.8%	0.47	0.67	0.20	21	2.26	$2,384	−$3,984
44	14.1%	139.2%	-37.6%	0.73	1.07	0.38	8	5.95	$6,776	−$3,654	15.8%	163.6%	-43.4%	0.71	1.03	0.36	17	3.72	$3,952	−$3,093
47	14.9%	150.2%	-31.6%	0.78	1.14	0.47	7	11.01	$8,070	−$2,821	17.2%	185.6%	-31.5%	0.77	1.12	0.55	15	5.12	$4,750	−$3,459
50	13.4%	129.6%	-34.9%	0.71	1.03	0.38	7	6.96	$7,351	−$4,314	14.4%	143.4%	-34.6%	0.65	0.94	0.42	15	3.78	$4,075	−$3,671
53	11.0%	99.6%	-39.7%	0.58	0.84	0.28	7	5.04	$6,017	−$5,208	9.7%	84.0%	-41.5%	0.43	0.62	0.23	15	2.60	$2,784	−$3,738
56	10.0%	88.0%	-40.0%	0.53	0.76	0.25	7	4.50	$5,533	−$3,685	6.8%	54.4%	-43.8%	0.30	0.43	0.16	15	2.07	$2,202	−$3,428
59	8.8%	74.8%	-40.8%	0.47	0.67	0.22	7	3.86	$4,831	−$2,958	4.2%	31.1%	-48.3%	0.19	0.26	0.09	15	1.64	$1,518	−$3,546
62	8.2%	68.0%	-41.1%	0.43	0.62	0.20	7	3.15	$4,412	−$3,591	2.2%	15.3%	-53.0%	0.10	0.14	0.04	15	1.38	$1,059	−$4,196
65	7.7%	63.8%	-39.4%	0.42	0.59	0.20	7	2.95	$4,178	−$3,753	0.9%	5.8%	-55.7%	0.04	0.05	0.02	15	1.26	$787	−$4,503
68	7.1%	57.5%	-41.7%	0.38	0.55	0.17	7	2.66	$3,859	−$3,251	1.7%	11.4%	-59.3%	0.07	0.10	0.03	14	1.27	$856	−$4,386
71	5.5%	42.9%	-47.1%	0.30	0.42	0.12	7	1.90	$2,928	−$4,553	-1.4%	-9.1%	-66.8%	-0.06	-0.09	-0.02	14	0.98	−$74	−$5,444
74	5.3%	40.5%	-48.0%	0.28	0.40	0.11	7	1.83	$2,779	−$4,662	-2.1%	-12.8%	-68.1%	-0.09	-0.13	-0.03	14	0.94	−$223	−$5,603
77	6.5%	51.6%	-43.9%	0.34	0.49	0.15	6	2.17	$3,836	−$4,938	0.1%	0.9%	-63.1%	0.01	0.01	0.00	12	1.08	$333	−$6,114
80	6.0%	46.6%	-45.4%	0.31	0.44	0.13	6	2.00	$3,542	−$5,300	-0.9%	-5.6%	-65.3%	-0.04	-0.05	-0.01	12	1.01	$64	−$6,468
85	3.9%	28.8%	-49.5%	0.21	0.29	0.08	6	1.46	$2,120	−$6,974	-4.7%	-27.2%	-71.5%	-0.20	-0.28	-0.07	12	0.74	−$1,344	−$7,766
90	3.8%	28.0%	-49.5%	0.20	0.28	0.08	6	1.44	$2,068	−$6,974	-4.8%	-27.7%	-71.5%	-0.21	-0.29	-0.07	12	0.73	−$1,381	−$7,766
95	3.2%	22.9%	-50.9%	0.16	0.23	0.06	6	1.34	$1,701	−$7,397	-5.8%	-32.7%	-73.2%	-0.25	-0.35	-0.08	12	0.69	−$1,705	−$8,158
100	6.0%	47.1%	-51.3%	0.31	0.44	0.12	5	2.23	$4,795	−$6,491	0.4%	2.8%	-66.0%	0.02	0.03	0.01	9	1.18	$789	−$6,711

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	A: Profit Factor	A: Avg Trade	A: Avg Loss	B: CAGR	B: Total Return	B: Max DD	B: Sharpe	B: Sortino	B: Calmar	B: Trades	B: Profit Factor	B: Avg Trade	B: Avg Loss
30	16.6%	176.1%	-33.7%	0.90	1.34	0.49	60	3.06	$1,071	−$893	20.8%	248.7%	-40.0%	0.93	1.36	0.52	121	2.40	$735	−$897
33	11.3%	102.6%	-36.0%	0.61	0.87	0.31	52	2.36	$859	−$1,026	9.9%	86.7%	-42.1%	0.44	0.62	0.24	105	1.67	$466	−$1,053
36	10.5%	93.8%	-39.9%	0.56	0.80	0.26	54	2.23	$756	−$1,104	8.7%	73.2%	-43.8%	0.38	0.53	0.20	109	1.54	$376	−$1,113
39	15.9%	165.9%	-35.8%	0.85	1.23	0.44	44	3.63	$1,367	−$1,040	19.3%	222.2%	-39.7%	0.86	1.22	0.49	89	2.60	$891	−$1,011
42	12.2%	114.6%	-33.7%	0.65	0.94	0.36	46	2.46	$1,002	−$1,091	12.1%	113.5%	-32.9%	0.54	0.76	0.37	93	1.76	$561	−$1,241
45	12.8%	121.5%	-33.6%	0.67	0.98	0.38	34	3.23	$1,448	−$1,106	13.0%	124.7%	-33.1%	0.58	0.83	0.39	69	2.12	$824	−$1,185
48	10.7%	96.3%	-32.9%	0.58	0.83	0.33	42	2.31	$970	−$1,193	8.8%	74.5%	-42.0%	0.39	0.55	0.21	85	1.55	$468	−$1,387
51	11.3%	102.5%	-36.9%	0.60	0.87	0.31	36	3.07	$1,217	−$1,010	9.7%	84.8%	-39.6%	0.44	0.62	0.25	73	1.85	$628	−$1,119
54	10.8%	97.2%	-33.7%	0.58	0.83	0.32	37	2.89	$1,126	−$1,004	8.5%	71.1%	-36.3%	0.38	0.54	0.23	75	1.76	$532	−$1,173
57	8.0%	65.9%	-41.3%	0.43	0.61	0.19	44	1.97	$684	−$1,068	2.6%	18.4%	-51.6%	0.12	0.16	0.05	89	1.22	$177	−$1,232
60	7.4%	60.7%	-42.3%	0.40	0.57	0.18	40	1.86	$704	−$1,134	1.2%	7.9%	-59.1%	0.05	0.07	0.02	81	1.15	$141	−$1,307
63	6.5%	51.3%	-44.9%	0.35	0.49	0.14	38	1.79	$633	−$1,264	-1.3%	-8.1%	-63.7%	-0.06	-0.08	-0.02	77	1.03	$30	−$1,534
66	6.3%	49.7%	-48.0%	0.34	0.48	0.13	34	1.59	$672	−$1,483	-1.9%	-11.9%	-68.5%	-0.08	-0.12	-0.03	69	0.99	−$9	−$1,709
69	6.6%	52.2%	-47.9%	0.35	0.49	0.14	35	1.71	$698	−$1,325	-1.1%	-7.3%	-66.9%	-0.05	-0.07	-0.02	71	1.03	$32	−$1,460
70	9.4%	80.9%	-38.4%	0.50	0.72	0.24	32	2.35	$1,153	−$1,365	4.2%	31.6%	-51.6%	0.19	0.27	0.08	65	1.42	$424	−$1,409
75	5.8%	45.1%	-47.8%	0.31	0.43	0.12	37	1.70	$594	−$1,125	-2.3%	-14.1%	-66.8%	-0.10	-0.14	-0.03	75	0.97	−$27	−$1,477
80	3.7%	27.5%	-51.2%	0.20	0.28	0.07	41	1.35	$325	−$1,237	-6.0%	-33.5%	-71.0%	-0.26	-0.36	-0.08	83	0.79	−$231	−$1,493
85	8.0%	66.6%	-45.5%	0.41	0.59	0.18	40	2.00	$762	−$1,123	2.2%	15.6%	-55.3%	0.10	0.14	0.04	81	1.23	$184	−$1,316
90	4.9%	37.4%	-55.7%	0.26	0.36	0.09	36	1.62	$548	−$1,141	-3.8%	-22.8%	-71.1%	-0.17	-0.23	-0.05	73	0.91	−$94	−$1,305
95	4.9%	37.0%	-54.0%	0.26	0.36	0.09	41	1.57	$503	−$1,506	-3.8%	-22.9%	-68.1%	-0.17	-0.23	-0.06	83	0.94	−$59	−$1,563
100	3.3%	24.0%	-58.4%	0.17	0.24	0.06	41	1.40	$341	−$1,129	-6.0%	-33.4%	-73.2%	-0.27	-0.36	-0.08	82	0.78	−$211	−$1,252
105	7.3%	59.2%	-48.9%	0.38	0.53	0.15	31	2.08	$958	−$1,312	2.0%	14.0%	-60.4%	0.09	0.12	0.03	62	1.27	$251	−$1,385
110	6.9%	55.3%	-49.4%	0.36	0.50	0.14	33	2.00	$822	−$1,229	2.1%	14.6%	-60.7%	0.09	0.13	0.03	67	1.22	$179	−$1,202
115	7.1%	57.8%	-43.2%	0.37	0.52	0.17	37	2.02	$765	−$1,110	2.3%	15.9%	-51.8%	0.10	0.14	0.04	75	1.23	$180	−$1,074
120	8.6%	72.5%	-41.3%	0.44	0.62	0.21	32	2.73	$1,050	−$884	4.7%	35.9%	-46.1%	0.21	0.29	0.10	64	1.54	$364	−$1,001

3. Equity Curve Explorer

Pick a period, direction and ATR profit target (or Base) to see its month-end cumulative return, starting at 0%.

SMA periodDirection

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. The swept multiple is labelled ATR Target below, so it is not confused with the Profit Factor column (gross profit ÷ gross loss).

Loading atr target grid…

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. Click an ATR target under the charts to take it off them and let the axis rescale to the rest.

Loading atr target grid…

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.

Loading stop loss factor grid…

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).

Loading trailing factor grid…

7b. ATR Trailing Stop — Equity Curve

Section 7 as an equity curve: pick an SMA period, direction and trailing factor to see the strategy's month-end cumulative return, net of costs, against the plain SMA system with no stop. Every factor of the section-7 sweep is here, so any row of its table can be looked at as a curve.

SMA periodDirectionTrailing factor

Loading equity curves…

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.

SMA periodDirectionATR SL factor

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.

SMA periodDirection

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.

Loading volatility factor grid…

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.

Loading the volatility × trailing-stop grid…

11b. Volatility Filter + ATR Trailing Stop — Equity Curve

Section 11 as an equity curve: pick an SMA period, direction, trailing factor and volatility cap to see the combined strategy's month-end cumulative return, net of costs, against the trailing stop alone (section 7, same factor) and the plain SMA system. Trailing factors 1, 2, 3, 4, 5, 6, 7, 8, 9, 10; the section-11 matrix above keeps every half-step.

SMA periodDirectionTrailing factorVolatility cap

Loading equity curves…

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.

Loading volatility factor grid…

13. Reset / No Reset

Section 7's trailing stop with the client's 2026-08-04 question on top: after a stop-out, does re-entering beat staying out? No Reset shuts that side until the SMA slope has flipped away and back, so a market that keeps falling leaves the saved profit saved. Reset waits for a new high — the side re-opens when the market closes back above the stopped-out trade's highest high, at a worse price than the exit, so that a reversal is not missed. Immediate is what section 7 itself does, since its entry signal is a state and not an event: the next bar re-enters while the slope still points the same way. Both directions are swept, so System A only resets long and System B resets whichever side was stopped out.

Loading reset-rule grid…

Source: Yahoo Finance daily OHLC, truncated at 2026-08-20 — nothing after that date was read by any calculation on this page. Generated 2026-10-06 13:31:27 UTC.