Strategy Analytics
Cocoa — Moving Average & Risk Layers
The same sections as the Corn MA page, on Cocoa (CC=F). Volatility ranges are calibrated to this market rather than copied from Corn.
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 6,663 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 | -3.8% | -64.3% | -88.8% | -0.15 | -0.20 | -0.04 | 96 | -16.9% | -99.3% | -99.7% | -0.49 | -0.69 | -0.17 | 192 |
| 23 | -1.7% | -35.7% | -87.2% | -0.06 | -0.09 | -0.02 | 81 | -13.2% | -97.7% | -99.2% | -0.39 | -0.55 | -0.13 | 162 |
| 26 | -1.6% | -34.6% | -86.6% | -0.06 | -0.08 | -0.02 | 71 | -13.2% | -97.6% | -99.3% | -0.39 | -0.55 | -0.13 | 142 |
| 29 | -3.6% | -62.2% | -86.8% | -0.13 | -0.19 | -0.04 | 66 | -16.9% | -99.3% | -99.6% | -0.49 | -0.68 | -0.17 | 132 |
| 32 | -4.0% | -66.5% | -89.1% | -0.15 | -0.21 | -0.05 | 62 | -17.7% | -99.4% | -99.7% | -0.52 | -0.71 | -0.18 | 124 |
| 35 | -1.6% | -34.2% | -85.1% | -0.06 | -0.08 | -0.02 | 55 | -14.0% | -98.1% | -99.4% | -0.41 | -0.57 | -0.14 | 110 |
| 38 | -0.8% | -19.0% | -78.8% | -0.03 | -0.04 | -0.01 | 50 | -11.9% | -96.5% | -98.7% | -0.35 | -0.48 | -0.12 | 99 |
| 41 | -0.8% | -18.8% | -84.6% | -0.03 | -0.04 | -0.01 | 46 | -11.7% | -96.3% | -98.8% | -0.34 | -0.47 | -0.12 | 91 |
| 44 | -0.1% | -3.3% | -82.5% | -0.00 | -0.01 | -0.00 | 42 | -9.8% | -93.5% | -98.2% | -0.29 | -0.40 | -0.10 | 83 |
| 47 | 0.0% | 0.6% | -83.3% | 0.00 | 0.00 | 0.00 | 38 | -9.7% | -93.3% | -98.4% | -0.29 | -0.40 | -0.10 | 75 |
| 50 | -0.1% | -1.5% | -81.9% | -0.00 | -0.00 | -0.00 | 36 | -9.8% | -93.5% | -98.1% | -0.30 | -0.40 | -0.10 | 71 |
| 53 | -0.7% | -16.4% | -84.1% | -0.03 | -0.04 | -0.01 | 35 | -11.1% | -95.5% | -98.6% | -0.33 | -0.45 | -0.11 | 69 |
| 56 | -1.4% | -31.9% | -84.8% | -0.05 | -0.07 | -0.02 | 33 | -12.7% | -97.2% | -99.1% | -0.38 | -0.51 | -0.13 | 65 |
| 59 | -2.0% | -41.4% | -84.8% | -0.08 | -0.10 | -0.02 | 32 | -13.7% | -98.0% | -99.2% | -0.41 | -0.55 | -0.14 | 63 |
| 62 | -2.7% | -52.0% | -85.6% | -0.10 | -0.14 | -0.03 | 32 | -15.5% | -98.9% | -99.5% | -0.46 | -0.62 | -0.16 | 63 |
| 65 | -1.9% | -39.1% | -80.3% | -0.07 | -0.10 | -0.02 | 30 | -13.6% | -97.9% | -99.1% | -0.40 | -0.54 | -0.14 | 59 |
| 68 | 0.1% | 2.8% | -75.2% | 0.00 | 0.01 | 0.00 | 27 | -10.5% | -94.7% | -98.0% | -0.31 | -0.42 | -0.11 | 54 |
| 71 | 2.4% | 87.1% | -67.2% | 0.09 | 0.13 | 0.04 | 25 | -5.7% | -78.9% | -94.1% | -0.17 | -0.23 | -0.06 | 50 |
| 74 | 4.9% | 250.6% | -63.8% | 0.19 | 0.26 | 0.08 | 21 | -0.8% | -19.3% | -85.8% | -0.02 | -0.03 | -0.01 | 42 |
| 77 | 4.4% | 211.0% | -57.9% | 0.17 | 0.24 | 0.08 | 21 | -1.5% | -33.8% | -86.9% | -0.05 | -0.06 | -0.02 | 42 |
| 80 | 4.3% | 201.9% | -58.4% | 0.17 | 0.23 | 0.07 | 21 | -1.8% | -38.7% | -87.3% | -0.06 | -0.08 | -0.02 | 42 |
| 85 | 3.3% | 138.9% | -61.8% | 0.13 | 0.18 | 0.05 | 21 | -3.6% | -62.1% | -88.5% | -0.11 | -0.15 | -0.04 | 42 |
| 90 | 4.2% | 194.7% | -58.4% | 0.16 | 0.22 | 0.07 | 19 | -1.9% | -39.1% | -82.6% | -0.06 | -0.08 | -0.02 | 38 |
| 95 | 3.4% | 142.4% | -60.0% | 0.13 | 0.18 | 0.06 | 19 | -3.8% | -63.6% | -85.8% | -0.11 | -0.16 | -0.04 | 38 |
| 100 | 3.2% | 129.7% | -60.0% | 0.12 | 0.17 | 0.05 | 19 | -4.2% | -67.8% | -87.1% | -0.13 | -0.18 | -0.05 | 38 |
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 | -4.2% | -67.7% | -94.4% | -0.16 | -0.22 | -0.04 | 302 | -17.6% | -99.4% | -99.8% | -0.52 | -0.72 | -0.18 | 604 |
| 33 | -1.0% | -24.0% | -86.2% | -0.04 | -0.06 | -0.01 | 258 | -11.8% | -96.4% | -99.0% | -0.35 | -0.49 | -0.12 | 516 |
| 36 | 0.9% | 26.5% | -83.6% | 0.03 | 0.05 | 0.01 | 263 | -8.9% | -91.5% | -98.5% | -0.27 | -0.37 | -0.09 | 526 |
| 39 | 1.2% | 35.8% | -74.2% | 0.04 | 0.06 | 0.02 | 241 | -8.3% | -89.9% | -95.8% | -0.25 | -0.34 | -0.09 | 482 |
| 42 | 1.9% | 66.4% | -68.2% | 0.07 | 0.10 | 0.03 | 233 | -6.9% | -84.7% | -94.4% | -0.21 | -0.29 | -0.07 | 466 |
| 45 | 1.0% | 29.2% | -81.2% | 0.04 | 0.05 | 0.01 | 234 | -8.7% | -91.1% | -98.0% | -0.26 | -0.37 | -0.09 | 468 |
| 48 | 0.5% | 14.5% | -81.5% | 0.02 | 0.03 | 0.01 | 243 | -9.0% | -91.7% | -98.7% | -0.27 | -0.38 | -0.09 | 485 |
| 51 | -1.8% | -38.1% | -88.5% | -0.07 | -0.10 | -0.02 | 229 | -13.3% | -97.7% | -99.5% | -0.40 | -0.55 | -0.13 | 457 |
| 54 | -0.8% | -18.2% | -82.1% | -0.03 | -0.04 | -0.01 | 218 | -11.1% | -95.6% | -98.3% | -0.33 | -0.46 | -0.11 | 435 |
| 57 | 0.3% | 7.3% | -80.4% | 0.01 | 0.01 | 0.00 | 220 | -9.3% | -92.4% | -97.6% | -0.28 | -0.39 | -0.10 | 439 |
| 60 | 1.3% | 39.0% | -72.3% | 0.05 | 0.07 | 0.02 | 207 | -8.0% | -89.1% | -95.8% | -0.24 | -0.33 | -0.08 | 414 |
| 63 | -1.8% | -38.6% | -81.4% | -0.07 | -0.10 | -0.02 | 202 | -12.9% | -97.4% | -98.7% | -0.39 | -0.53 | -0.13 | 404 |
| 66 | -2.1% | -42.9% | -84.0% | -0.08 | -0.11 | -0.02 | 198 | -13.8% | -98.1% | -99.1% | -0.42 | -0.56 | -0.14 | 396 |
| 69 | -4.1% | -66.7% | -90.7% | -0.16 | -0.21 | -0.04 | 203 | -17.6% | -99.4% | -99.8% | -0.53 | -0.71 | -0.18 | 406 |
| 70 | -3.0% | -55.4% | -90.7% | -0.12 | -0.16 | -0.03 | 218 | -15.5% | -98.8% | -99.7% | -0.47 | -0.63 | -0.16 | 436 |
| 75 | 2.6% | 96.3% | -69.1% | 0.10 | 0.14 | 0.04 | 182 | -4.6% | -71.3% | -92.6% | -0.14 | -0.19 | -0.05 | 364 |
| 80 | 3.1% | 124.3% | -71.7% | 0.12 | 0.16 | 0.04 | 152 | -4.8% | -72.8% | -93.2% | -0.15 | -0.20 | -0.05 | 304 |
| 85 | 1.3% | 41.9% | -71.7% | 0.05 | 0.07 | 0.02 | 184 | -8.0% | -89.1% | -96.8% | -0.25 | -0.34 | -0.08 | 368 |
| 90 | 4.5% | 221.8% | -65.7% | 0.17 | 0.24 | 0.07 | 170 | -1.8% | -38.2% | -86.0% | -0.06 | -0.08 | -0.02 | 340 |
| 95 | 3.1% | 122.4% | -67.2% | 0.12 | 0.16 | 0.05 | 170 | -3.9% | -65.0% | -91.1% | -0.12 | -0.17 | -0.04 | 340 |
| 100 | 3.4% | 139.8% | -75.6% | 0.13 | 0.18 | 0.04 | 152 | -3.0% | -55.8% | -94.4% | -0.09 | -0.13 | -0.03 | 303 |
| 105 | 2.9% | 112.1% | -75.2% | 0.11 | 0.16 | 0.04 | 157 | -3.9% | -64.7% | -96.0% | -0.12 | -0.17 | -0.04 | 313 |
| 110 | -1.6% | -34.0% | -89.6% | -0.06 | -0.08 | -0.02 | 163 | -11.7% | -96.2% | -99.3% | -0.36 | -0.50 | -0.12 | 325 |
| 115 | -1.1% | -24.7% | -90.2% | -0.04 | -0.06 | -0.01 | 188 | -11.0% | -95.4% | -99.4% | -0.34 | -0.48 | -0.11 | 375 |
| 120 | 0.5% | 15.4% | -71.3% | 0.02 | 0.03 | 0.01 | 157 | -7.8% | -88.4% | -96.0% | -0.24 | -0.34 | -0.08 | 314 |
2b. EMA-170 Direction Filter On The Donchian Breakout
Client 2026-07-30. The same Donchian channel and N grid as section 2, with one extra precondition: a long may only open while the 170-period EMA is rising, a short only while it is falling. The band break is still required on top, so the filter only removes trades. Exits are untouched. The unfiltered Donchian table in section 2 is the baseline — read them side by side.
Donchian gated by the EMA-170 direction
Same lookback grid as section 2. Compare row for row against the unfiltered Donchian table above.
| 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 | -4.2% | -68.0% | -88.4% | -0.18 | -0.24 | -0.05 | 82 | -14.6% | -98.4% | -99.5% | -0.48 | -0.65 | -0.15 | 162 |
| 23 | -2.5% | -49.0% | -87.2% | -0.10 | -0.14 | -0.03 | 71 | -11.9% | -96.5% | -99.1% | -0.39 | -0.53 | -0.12 | 140 |
| 26 | -2.4% | -47.8% | -87.1% | -0.10 | -0.14 | -0.03 | 64 | -12.3% | -96.9% | -99.2% | -0.40 | -0.55 | -0.12 | 126 |
| 29 | -4.2% | -67.6% | -88.3% | -0.17 | -0.23 | -0.05 | 61 | -15.1% | -98.7% | -99.4% | -0.48 | -0.65 | -0.15 | 119 |
| 32 | -4.7% | -72.1% | -90.6% | -0.19 | -0.25 | -0.05 | 59 | -16.1% | -99.0% | -99.6% | -0.51 | -0.69 | -0.16 | 114 |
| 35 | -3.0% | -55.8% | -86.1% | -0.12 | -0.17 | -0.04 | 53 | -13.9% | -98.1% | -99.3% | -0.44 | -0.60 | -0.14 | 103 |
| 38 | -2.6% | -49.7% | -81.9% | -0.10 | -0.14 | -0.03 | 49 | -11.0% | -95.5% | -98.2% | -0.35 | -0.48 | -0.11 | 93 |
| 41 | -2.0% | -41.8% | -85.8% | -0.08 | -0.11 | -0.02 | 45 | -10.3% | -94.3% | -98.4% | -0.32 | -0.44 | -0.10 | 86 |
| 44 | -1.3% | -28.8% | -83.4% | -0.05 | -0.07 | -0.02 | 41 | -10.7% | -95.0% | -98.4% | -0.32 | -0.44 | -0.11 | 80 |
| 47 | -1.1% | -24.5% | -83.9% | -0.04 | -0.05 | -0.01 | 38 | -10.7% | -95.0% | -98.7% | -0.32 | -0.44 | -0.11 | 74 |
| 50 | -1.1% | -26.1% | -82.5% | -0.04 | -0.06 | -0.01 | 36 | -10.5% | -94.7% | -98.3% | -0.32 | -0.43 | -0.11 | 70 |
| 53 | -1.7% | -37.3% | -84.7% | -0.07 | -0.09 | -0.02 | 35 | -11.8% | -96.3% | -98.7% | -0.36 | -0.48 | -0.12 | 68 |
| 56 | -2.3% | -46.3% | -85.3% | -0.09 | -0.12 | -0.03 | 33 | -13.2% | -97.6% | -99.2% | -0.40 | -0.53 | -0.13 | 64 |
| 59 | -2.6% | -49.7% | -85.4% | -0.10 | -0.13 | -0.03 | 32 | -13.8% | -98.0% | -99.2% | -0.41 | -0.56 | -0.14 | 62 |
| 62 | -3.3% | -58.8% | -86.1% | -0.13 | -0.17 | -0.04 | 32 | -15.6% | -98.9% | -99.6% | -0.46 | -0.62 | -0.16 | 62 |
| 65 | -2.2% | -44.4% | -80.9% | -0.08 | -0.11 | -0.03 | 30 | -13.5% | -97.8% | -99.1% | -0.40 | -0.54 | -0.14 | 58 |
| 68 | -0.1% | -2.9% | -72.7% | -0.00 | -0.01 | -0.00 | 27 | -10.3% | -94.3% | -98.0% | -0.31 | -0.42 | -0.10 | 53 |
| 71 | 2.2% | 76.8% | -67.2% | 0.08 | 0.12 | 0.03 | 25 | -5.4% | -77.2% | -94.1% | -0.16 | -0.22 | -0.06 | 49 |
| 74 | 4.6% | 231.2% | -57.9% | 0.18 | 0.25 | 0.08 | 21 | -1.0% | -23.8% | -85.8% | -0.03 | -0.04 | -0.01 | 42 |
| 77 | 4.4% | 211.0% | -57.9% | 0.17 | 0.24 | 0.08 | 21 | -1.5% | -33.8% | -86.9% | -0.05 | -0.06 | -0.02 | 42 |
| 80 | 4.3% | 201.9% | -58.4% | 0.17 | 0.23 | 0.07 | 21 | -1.8% | -38.7% | -87.3% | -0.06 | -0.08 | -0.02 | 42 |
| 85 | 3.3% | 138.9% | -61.8% | 0.13 | 0.18 | 0.05 | 21 | -3.6% | -62.1% | -88.5% | -0.11 | -0.15 | -0.04 | 42 |
| 90 | 4.2% | 194.7% | -58.4% | 0.16 | 0.22 | 0.07 | 19 | -1.9% | -39.1% | -82.6% | -0.06 | -0.08 | -0.02 | 38 |
| 95 | 3.4% | 142.4% | -60.0% | 0.13 | 0.18 | 0.06 | 19 | -3.8% | -63.6% | -85.8% | -0.11 | -0.16 | -0.04 | 38 |
| 100 | 3.2% | 129.7% | -60.0% | 0.12 | 0.17 | 0.05 | 19 | -4.2% | -67.8% | -87.1% | -0.13 | -0.18 | -0.05 | 38 |
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.
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.
Source: Yahoo Finance daily OHLC, full available history. Generated 2026-07-30 08:41:49 UTC.