Strategy Analytics

Orange Juice — Moving Average & Risk Layers

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

Instrument

Orange Juice (OJ=F)

History

1978-08-08 → 2026-09-22

Trading Days / Year

252

Volatility Grid

15–55% (step 5)

Read this before the numbers. 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.

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 × $7.50) = $16.25, i.e. 0.1083 price points at $150 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 15–55%, 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 12.0%, p10 15.1%, p25 19.5%, p50 26.9%, p75 35.5%, p90 44.8%, p95 55.6%. 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. History from 1978-08-08: this card now runs on Norgate's Panama-adjusted series, which for most markets starts in 1978–1983 — years or decades before the feeds this site used earlier (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 figures from those earlier feeds.

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 12,076 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	-2.4%	-68.9%	-95.7%	-0.11	-0.15	-0.03	147	1.13	$140	−$1,571	-7.2%	-97.2%	-99.5%	-0.24	-0.33	-0.07	294	1.05	$52	−$1,524
23	-2.0%	-62.9%	-95.8%	-0.09	-0.13	-0.02	133	1.18	$211	−$1,708	-6.2%	-95.3%	-99.6%	-0.20	-0.28	-0.06	266	1.11	$115	−$1,588
26	-2.6%	-71.3%	-95.8%	-0.11	-0.16	-0.03	122	1.13	$165	−$1,885	-7.1%	-97.0%	-99.5%	-0.23	-0.32	-0.07	244	1.05	$61	−$1,748
29	-3.3%	-80.4%	-95.3%	-0.15	-0.21	-0.04	111	1.06	$81	−$2,057	-8.6%	-98.6%	-99.7%	-0.28	-0.39	-0.09	222	0.97	−$34	−$1,900
32	0.2%	9.7%	-90.1%	0.01	0.01	0.00	93	1.45	$521	−$1,813	-1.7%	-56.1%	-97.9%	-0.06	-0.08	-0.02	186	1.35	$385	−$1,769
35	1.8%	140.4%	-85.9%	0.08	0.12	0.02	80	1.68	$822	−$2,007	1.5%	105.1%	-97.1%	0.05	0.07	0.02	160	1.60	$663	−$1,847
38	2.0%	153.8%	-84.8%	0.09	0.13	0.02	76	1.68	$844	−$2,099	1.6%	112.7%	-96.1%	0.05	0.08	0.02	152	1.59	$677	−$1,968
41	1.1%	72.1%	-86.2%	0.05	0.07	0.01	69	1.56	$768	−$2,305	-0.4%	-17.3%	-98.0%	-0.01	-0.02	-0.00	138	1.46	$584	−$2,198
44	1.0%	58.3%	-84.8%	0.04	0.06	0.01	68	1.52	$731	−$2,257	-0.5%	-23.2%	-97.2%	-0.02	-0.03	-0.01	136	1.42	$544	−$2,200
47	0.8%	45.3%	-83.7%	0.04	0.05	0.01	65	1.51	$730	−$2,386	-1.4%	-48.1%	-97.3%	-0.05	-0.07	-0.01	130	1.39	$538	−$2,290
50	1.1%	66.0%	-80.4%	0.05	0.07	0.01	62	1.55	$794	−$2,434	-0.5%	-21.5%	-96.4%	-0.02	-0.02	-0.01	124	1.44	$603	−$2,370
53	2.0%	163.2%	-78.8%	0.09	0.14	0.03	56	1.73	$1,062	−$2,544	1.8%	135.0%	-92.8%	0.06	0.09	0.02	112	1.64	$864	−$2,511
56	2.0%	157.7%	-79.3%	0.09	0.13	0.03	52	1.71	$1,096	−$2,502	1.2%	75.9%	-95.0%	0.04	0.06	0.01	104	1.60	$882	−$2,588
59	0.9%	50.2%	-83.2%	0.04	0.06	0.01	52	1.51	$857	−$2,572	-1.2%	-44.9%	-97.0%	-0.04	-0.06	-0.01	104	1.40	$644	−$2,733
62	-0.0%	-1.7%	-86.2%	-0.00	-0.00	-0.00	52	1.38	$681	−$2,545	-3.1%	-77.8%	-98.3%	-0.11	-0.15	-0.03	104	1.27	$467	−$2,720
65	2.5%	220.8%	-73.4%	0.11	0.16	0.03	44	1.65	$1,193	−$2,902	2.8%	272.8%	-85.2%	0.10	0.14	0.03	88	1.56	$940	−$2,882
68	2.3%	200.0%	-76.1%	0.10	0.15	0.03	41	1.67	$1,308	−$3,068	2.6%	242.8%	-85.2%	0.09	0.13	0.03	82	1.61	$1,037	−$2,918
71	1.8%	132.0%	-79.1%	0.08	0.12	0.02	40	1.61	$1,222	−$3,060	1.3%	89.4%	-88.2%	0.05	0.06	0.02	80	1.53	$944	−$2,995
74	1.5%	100.0%	-80.2%	0.07	0.09	0.02	39	1.57	$1,156	−$3,170	0.7%	38.5%	-88.2%	0.02	0.03	0.01	78	1.47	$871	−$3,145
77	2.6%	237.8%	-76.3%	0.12	0.17	0.03	36	1.89	$1,611	−$2,958	2.7%	252.5%	-80.8%	0.09	0.13	0.03	72	1.73	$1,303	−$3,119
80	2.0%	159.2%	-76.7%	0.09	0.13	0.03	36	1.78	$1,469	−$2,959	1.7%	120.8%	-83.7%	0.06	0.08	0.02	72	1.64	$1,161	−$3,121
85	3.1%	337.3%	-76.9%	0.14	0.21	0.04	33	2.08	$2,194	−$3,060	4.6%	764.6%	-80.8%	0.16	0.23	0.06	66	2.16	$1,857	−$2,770
90	3.1%	327.7%	-77.8%	0.14	0.21	0.04	32	2.06	$2,234	−$3,206	4.7%	804.5%	-81.1%	0.17	0.24	0.06	64	2.18	$1,887	−$2,837
95	2.6%	236.3%	-80.5%	0.12	0.17	0.03	32	1.96	$2,095	−$3,341	3.7%	459.0%	-83.3%	0.13	0.18	0.04	64	2.04	$1,748	−$2,912
100	1.9%	144.8%	-82.3%	0.09	0.13	0.02	32	1.81	$1,915	−$3,592	2.4%	204.4%	-85.2%	0.08	0.12	0.03	64	1.87	$1,568	−$3,034

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	-2.8%	-74.5%	-95.8%	-0.13	-0.18	-0.03	473	1.05	$21	−$619	-8.2%	-98.3%	-99.7%	-0.27	-0.38	-0.08	947	0.99	−$6	−$623
33	-0.7%	-29.5%	-89.2%	-0.03	-0.05	-0.01	465	1.15	$62	−$575	-4.2%	-87.3%	-98.1%	-0.14	-0.20	-0.04	931	1.08	$34	−$598
36	0.5%	26.4%	-92.5%	0.02	0.03	0.01	426	1.34	$145	−$601	-1.6%	-54.8%	-98.9%	-0.06	-0.08	-0.02	853	1.28	$114	−$588
39	1.8%	133.8%	-89.6%	0.08	0.12	0.02	396	1.51	$193	−$541	0.7%	36.6%	-97.6%	0.02	0.03	0.01	793	1.43	$160	−$557
42	2.0%	161.4%	-87.4%	0.09	0.14	0.02	380	1.45	$180	−$574	0.9%	56.1%	-95.8%	0.03	0.04	0.01	760	1.36	$145	−$584
45	0.3%	16.1%	-87.4%	0.01	0.02	0.00	387	1.28	$122	−$646	-1.9%	-59.6%	-96.8%	-0.06	-0.09	-0.02	774	1.21	$89	−$646
48	1.4%	91.1%	-83.2%	0.06	0.09	0.02	365	1.38	$152	−$577	0.3%	15.7%	-93.5%	0.01	0.01	0.00	730	1.29	$119	−$609
51	2.1%	165.5%	-74.9%	0.09	0.14	0.03	344	1.41	$156	−$580	1.7%	125.3%	-87.9%	0.06	0.08	0.02	688	1.30	$123	−$613
54	2.5%	228.8%	-84.1%	0.11	0.17	0.03	325	1.44	$178	−$604	2.3%	193.3%	-93.0%	0.08	0.11	0.02	650	1.33	$142	−$645
57	2.7%	256.7%	-80.3%	0.12	0.18	0.03	319	1.48	$194	−$584	2.5%	228.7%	-88.9%	0.09	0.12	0.03	638	1.36	$157	−$628
60	2.8%	267.0%	-76.2%	0.12	0.18	0.04	320	1.48	$193	−$578	3.0%	307.0%	-90.8%	0.10	0.15	0.03	639	1.38	$156	−$596
63	4.0%	567.8%	-83.9%	0.18	0.27	0.05	290	1.63	$269	−$678	5.6%	1243.0%	-93.1%	0.19	0.28	0.06	580	1.54	$227	−$656
66	3.1%	327.8%	-80.3%	0.14	0.21	0.04	270	1.72	$293	−$604	4.0%	558.9%	-88.1%	0.14	0.20	0.05	540	1.62	$248	−$599
69	3.9%	514.5%	-72.6%	0.18	0.26	0.05	268	1.90	$340	−$544	4.7%	802.8%	-83.3%	0.17	0.24	0.06	536	1.72	$295	−$594
70	3.1%	340.5%	-79.9%	0.15	0.21	0.04	283	1.80	$292	−$542	3.7%	458.2%	-86.4%	0.13	0.18	0.04	566	1.65	$249	−$556
75	4.0%	564.1%	-72.1%	0.19	0.28	0.06	268	1.71	$279	−$600	5.9%	1445.1%	-72.7%	0.21	0.30	0.08	536	1.60	$234	−$601
80	4.7%	786.6%	-65.0%	0.22	0.32	0.07	247	1.92	$361	−$600	7.7%	3378.5%	-66.6%	0.27	0.40	0.12	494	1.86	$314	−$553
85	4.5%	710.7%	-74.3%	0.21	0.31	0.06	235	1.82	$364	−$618	7.0%	2472.7%	-73.9%	0.25	0.36	0.09	470	1.78	$314	−$571
90	3.9%	513.6%	-71.4%	0.18	0.27	0.05	225	1.83	$354	−$646	6.0%	1511.0%	-71.6%	0.21	0.31	0.08	450	1.78	$301	−$574
95	4.4%	670.1%	-77.3%	0.21	0.30	0.06	213	1.95	$436	−$667	6.6%	2044.0%	-83.0%	0.24	0.34	0.08	426	1.94	$381	−$606
100	3.8%	492.3%	-73.4%	0.18	0.26	0.05	203	1.87	$400	−$691	5.8%	1365.3%	-73.5%	0.21	0.30	0.08	406	1.83	$343	−$652
105	3.8%	489.1%	-74.4%	0.18	0.26	0.05	192	1.98	$449	−$655	5.6%	1250.9%	-78.5%	0.20	0.29	0.07	384	1.92	$389	−$603
110	3.3%	368.7%	-67.3%	0.16	0.23	0.05	211	1.79	$340	−$641	4.4%	671.3%	-84.8%	0.16	0.23	0.05	422	1.67	$285	−$627
115	3.4%	390.4%	-66.9%	0.16	0.24	0.05	186	1.96	$415	−$609	4.9%	911.2%	-81.3%	0.18	0.26	0.06	372	1.83	$354	−$614
120	2.2%	185.7%	-79.2%	0.11	0.15	0.03	174	1.81	$394	−$679	2.3%	202.1%	-91.3%	0.08	0.12	0.03	348	1.67	$329	−$705

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: Norgate Data continuous futures, Panama (difference) back-adjusted, rolled one business day before last trade or first notice; percentages over the real contract price (daily OHLC), full available history. Generated 2026-10-06 13:29:59 UTC.