Strategy Analytics

Bitcoin — Moving Average & Risk Layers

The same sections as the Corn MA page, on Bitcoin (BTC-USD). Volatility ranges are calibrated to this market rather than copied from Corn.

Instrument

Bitcoin (BTC-USD)

History

2014-09-17 → 2026-08-20

Trading Days / Year

365 (trades every day)

Volatility Grid

30–110% (step 10)

No trading costs on this card. Bitcoin is not a futures contract, and the client's cost model — $5.00 commission + 1.5 ticks of slippage per round turn — prices futures only. Profit Factor is gross profit ÷ gross loss over all trades; Avg Trade and Avg Loss are per unit of the instrument.

How this market is calibrated. The volatility factor grid is 30–110%, 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 23.1%, p10 27.3%, p25 37.5%, p50 52.8%, p75 72.6%, p90 96.8%, p95 114.7%. Metrics annualize with 365 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.

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 4,356 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	56.8%	21259.7%	-61.5%	1.18	1.82	0.92	45	2.02	$1,795	−$3,949	39.3%	5123.9%	-61.9%	0.64	0.97	0.64	90	1.55	$987	−$3,607
23	55.8%	19793.6%	-58.8%	1.17	1.79	0.95	37	2.66	$2,450	−$3,211	34.0%	3192.3%	-78.1%	0.55	0.81	0.44	74	1.89	$1,468	−$3,472
26	45.4%	8612.4%	-65.1%	0.95	1.44	0.70	37	2.04	$1,987	−$3,909	20.0%	781.3%	-82.1%	0.33	0.48	0.24	73	1.51	$1,020	−$3,623
29	43.6%	7409.5%	-65.4%	0.90	1.35	0.67	34	1.81	$1,730	−$4,522	15.6%	465.8%	-86.8%	0.25	0.36	0.18	67	1.29	$672	−$4,374
32	44.3%	7849.0%	-65.4%	0.91	1.36	0.68	32	2.06	$2,005	−$4,329	16.7%	530.9%	-88.1%	0.27	0.38	0.19	63	1.42	$884	−$4,155
35	40.2%	5544.9%	-65.4%	0.82	1.23	0.61	32	1.83	$1,682	−$4,328	10.0%	211.8%	-90.0%	0.16	0.23	0.11	63	1.25	$556	−$4,125
38	36.9%	4151.6%	-67.2%	0.77	1.15	0.55	31	1.85	$1,716	−$4,149	0.5%	6.5%	-93.3%	0.01	0.01	0.01	61	1.25	$553	−$3,980
41	45.2%	8444.3%	-70.7%	0.92	1.39	0.64	27	2.10	$2,304	−$4,351	21.2%	889.7%	-80.6%	0.34	0.50	0.26	53	1.44	$977	−$4,219
44	39.5%	5190.1%	-77.0%	0.80	1.19	0.51	26	1.72	$1,861	−$4,799	11.0%	246.3%	-84.0%	0.17	0.25	0.13	51	1.18	$474	−$4,539
47	39.0%	4968.5%	-80.0%	0.78	1.17	0.49	25	1.82	$2,238	−$5,675	10.9%	244.0%	-84.5%	0.17	0.25	0.13	49	1.32	$802	−$4,570
50	50.2%	12761.0%	-80.0%	1.00	1.51	0.63	21	2.40	$3,616	−$5,418	33.0%	2911.8%	-84.5%	0.54	0.81	0.39	42	1.88	$1,885	−$3,731
53	55.5%	19294.5%	-80.0%	1.10	1.67	0.69	19	2.50	$3,872	−$5,435	43.4%	7277.4%	-84.5%	0.71	1.08	0.51	38	1.91	$1,959	−$3,909
56	63.5%	35290.2%	-70.9%	1.26	1.94	0.90	17	2.80	$4,699	−$6,337	60.8%	28744.0%	-65.4%	1.01	1.54	0.93	34	2.21	$2,561	−$4,498
59	55.8%	19672.9%	-70.9%	1.08	1.61	0.79	17	2.34	$4,185	−$7,588	-100.0%	-137.9%	-101.2%	-1.41	-1.85	-0.99	34	1.79	$2,046	−$5,492
62	55.2%	18784.4%	-72.8%	1.07	1.59	0.76	15	3.25	$5,326	−$5,083	-100.0%	-133.9%	-100.8%	-1.42	-1.84	-0.99	30	2.13	$2,902	−$4,799
65	60.8%	28746.9%	-68.1%	1.17	1.76	0.89	13	3.59	$6,836	−$5,724	-100.0%	-165.9%	-100.9%	-1.43	-1.87	-0.99	26	2.54	$4,040	−$4,872
68	54.6%	18022.0%	-71.1%	1.05	1.56	0.77	13	3.15	$6,016	−$5,204	-100.0%	-130.4%	-100.7%	-1.33	-1.77	-0.99	26	2.08	$3,220	−$5,164
71	50.9%	13418.7%	-71.1%	0.98	1.45	0.72	13	2.77	$5,377	−$5,647	-100.0%	-117.2%	-100.5%	-1.33	-1.76	-0.99	26	1.80	$2,580	−$5,598
74	50.2%	12684.1%	-70.2%	0.97	1.44	0.71	13	2.59	$5,152	−$6,033	-100.0%	-427.9%	-111.4%	-0.28	-0.31	-0.90	26	1.70	$2,354	−$5,793
77	49.0%	11556.4%	-70.2%	0.95	1.41	0.70	13	2.52	$4,927	−$6,033	-100.0%	-367.3%	-110.0%	-0.28	-0.31	-0.91	26	1.64	$2,129	−$5,793
80	45.5%	8643.4%	-70.2%	0.88	1.30	0.65	12	2.17	$4,281	−$6,282	-100.0%	-239.0%	-109.1%	-0.28	-0.31	-0.92	25	1.30	$1,200	−$6,287
85	46.0%	9061.9%	-73.2%	0.86	1.27	0.63	11	2.74	$5,465	−$5,767	-100.0%	-225.3%	-108.8%	-0.28	-0.31	-0.92	23	1.53	$2,064	−$6,384
90	51.9%	14519.5%	-73.2%	0.97	1.44	0.71	9	3.44	$8,094	−$5,967	-100.0%	-467.5%	-119.6%	-0.28	-0.31	-0.84	19	2.01	$3,839	−$6,534
95	54.6%	17932.9%	-73.5%	1.02	1.51	0.74	8	7.27	$11,069	−$3,532	-100.0%	-649.2%	-119.1%	-0.28	-0.31	-0.84	17	3.21	$6,139	−$5,250
100	51.3%	13882.8%	-73.9%	0.96	1.42	0.69	8	4.11	$9,714	−$6,243	-100.0%	-432.9%	-113.3%	-0.28	-0.31	-0.88	17	2.30	$4,863	−$7,092

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	70.7%	59020.1%	-63.5%	1.52	2.39	1.11	172	1.78	$581	−$1,309	64.7%	38297.2%	-63.7%	1.09	1.68	1.02	344	1.47	$370	−$1,334
33	74.9%	78677.1%	-69.2%	1.56	2.47	1.08	147	2.21	$857	−$1,227	75.7%	82913.0%	-64.6%	1.27	1.97	1.17	294	1.87	$610	−$1,126
36	71.5%	62273.5%	-59.4%	1.48	2.33	1.20	142	2.13	$799	−$1,179	66.7%	44431.8%	-63.9%	1.12	1.72	1.04	284	1.73	$543	−$1,214
39	68.4%	49969.3%	-58.0%	1.43	2.23	1.18	135	1.89	$746	−$1,485	63.5%	35301.7%	-56.0%	1.07	1.64	1.14	270	1.58	$476	−$1,374
42	65.8%	41473.4%	-67.9%	1.36	2.10	0.97	120	2.09	$904	−$1,484	58.3%	23858.3%	-69.2%	0.97	1.47	0.84	240	1.75	$602	−$1,347
45	52.8%	15626.6%	-76.3%	1.08	1.65	0.69	122	1.90	$778	−$1,443	32.9%	2879.4%	-77.9%	0.54	0.80	0.42	244	1.57	$480	−$1,298
48	63.7%	35643.8%	-68.0%	1.31	2.02	0.94	122	2.02	$792	−$1,262	54.3%	17625.2%	-66.1%	0.91	1.37	0.82	244	1.63	$494	−$1,278
51	61.6%	30688.7%	-74.6%	1.25	1.93	0.83	118	2.22	$857	−$1,087	49.6%	12117.0%	-79.6%	0.82	1.25	0.62	236	1.68	$549	−$1,260
54	57.3%	22107.7%	-68.0%	1.15	1.77	0.84	113	1.88	$745	−$1,288	42.0%	6477.2%	-76.6%	0.69	1.05	0.55	226	1.50	$423	−$1,271
57	63.4%	34849.0%	-66.9%	1.27	1.94	0.95	100	2.42	$1,158	−$1,338	55.7%	19592.6%	-67.5%	0.92	1.38	0.82	200	2.05	$795	−$1,242
60	65.8%	41461.6%	-63.0%	1.31	2.03	1.04	94	2.63	$1,156	−$1,092	63.8%	36046.8%	-63.1%	1.07	1.65	1.01	188	2.06	$770	−$1,194
63	56.2%	20329.4%	-75.2%	1.11	1.70	0.75	94	1.85	$814	−$1,519	45.4%	8624.7%	-81.0%	0.75	1.13	0.56	188	1.45	$427	−$1,486
66	46.8%	9637.8%	-72.9%	0.91	1.34	0.64	86	2.22	$1,110	−$1,368	16.7%	531.2%	-92.9%	0.26	0.37	0.18	172	1.78	$687	−$1,357
69	55.5%	19337.3%	-71.7%	1.07	1.60	0.77	93	2.30	$1,096	−$1,402	32.0%	2642.4%	-93.3%	0.50	0.71	0.34	186	1.93	$705	−$1,313
70	58.0%	23353.7%	-63.2%	1.13	1.69	0.92	89	2.28	$1,134	−$1,572	32.9%	2872.6%	-94.6%	0.50	0.72	0.35	178	1.90	$726	−$1,331
75	67.1%	45576.9%	-66.9%	1.31	1.96	1.00	69	3.77	$1,910	−$1,322	-100.0%	-237.6%	-103.8%	-1.35	-1.79	-0.96	138	3.29	$1,383	−$1,068
80	52.2%	14964.6%	-64.9%	1.01	1.51	0.80	82	2.40	$1,066	−$1,247	-100.0%	-116.9%	-100.7%	-1.43	-1.86	-0.99	164	1.83	$623	−$1,172
85	57.9%	23177.9%	-64.8%	1.11	1.67	0.89	76	3.04	$1,365	−$1,158	21.3%	896.9%	-100.1%	0.06	0.07	0.21	153	2.49	$881	−$944
90	57.7%	22861.4%	-64.9%	1.11	1.66	0.89	77	2.46	$1,153	−$1,318	-100.0%	-143.7%	-100.9%	-1.42	-1.86	-0.99	155	1.97	$676	−$1,149
95	56.4%	20654.6%	-70.3%	1.08	1.62	0.80	63	2.32	$1,277	−$1,687	41.2%	6049.1%	-90.8%	0.68	0.99	0.45	127	1.72	$694	−$1,563
100	47.9%	10539.4%	-74.7%	0.92	1.37	0.64	64	2.17	$968	−$1,361	24.7%	1291.3%	-92.9%	0.40	0.58	0.27	129	1.40	$397	−$1,482
105	47.6%	10303.1%	-75.4%	0.91	1.35	0.63	79	1.77	$628	−$1,268	24.0%	1197.0%	-94.0%	0.38	0.56	0.25	159	1.17	$167	−$1,556
110	54.2%	17464.4%	-65.1%	1.03	1.53	0.83	73	1.80	$713	−$1,556	35.9%	3774.9%	-85.5%	0.58	0.84	0.42	147	1.20	$213	−$1,702
115	60.8%	28888.8%	-64.3%	1.17	1.80	0.95	66	3.56	$1,173	−$839	47.5%	10264.8%	-80.2%	0.77	1.17	0.59	133	1.84	$617	−$1,211
120	65.1%	39400.0%	-69.0%	1.25	1.93	0.94	66	5.20	$1,282	−$544	53.9%	17041.5%	-70.5%	0.87	1.32	0.76	133	2.16	$724	−$1,024

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 × √365. 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 13:31:00 UTC.