algorithmic-trading-anthology-july-2026-s5-lanina-grain-long

Conclusion: Failed

Failed: the 95% range spans zero and 108.4% of profit arrived in five months. Indicative performance of 2.9% a year at 10.7% volatility, return for risk taken 0.27 (95% range (0.10) to 0.70). Exposure was held in 49 of 242 months.

Figure 1 · Growth of $1

2006–2026 · net of 15bp round-trip costs

What one dollar became, after costs: $1.81 by 2026. Shown against S&P 500, rebased to the same starting dollar.

Return for risk

0.27

range (0.10) to 0.70

Ann. return

2.9%

volatility 10.7%

Max drawdown

37.2%

over 242 months

Beats the search

3.5%

chance, after correction

Method

Hypothesis

The inverted prior from the deep study, in its simplest tradeable form: La Nina droughts the Americas, which matter more to the global grain balance than Australia.

Rule

UNIVERSE = [ZW=F ZC=F ZS=F ZM=F ZR=F KE=F]

TRIGGER = +1.0 standard deviations

function positions(bar):

z = zscore(feature(soi_3m), expanding, at least 120 months)

if z <= TRIGGER:

return {} # only while La Nina is established

return equal_risk(UNIVERSE, bar)

# ── execution ────────────────────────────────────────────────────────

COST_PER_TRADE = 15 bps of the notional that changes hands

function on_bar(bar, book):

if not bar.is_month_end:

return # decisions are made monthly only

target = positions(bar) # the rule above

target = scale_to_gross(target, 1.0)

rebalance(book, target, bar)

function scale_to_gross(w, limit):

gross = sum(abs(w)) # total capital at work

if gross == 0:

return w # flat is a valid target

return w * limit / gross # leverage fixed, never implicit

function rebalance(book, target, bar):

for symbol in union(book.symbols, target.symbols):

delta = target[symbol] - book.weight(symbol)

if delta > 0:

buy(symbol, delta, fill = next_bar.close)

else if delta < 0:

sell(symbol, -delta, fill = next_bar.close)

book.charge(COST_PER_TRADE * abs(delta))

# Orders are filled at the next month's close, never the one the decision

# was made on. There is no stop_loss(), take_profit(), limit order or

# position cap: a holding changes only when positions() returns a

# different target at the next month end.

Evaluation

Table 1 · Performance

2006-05 – 2026-06 · 242 months, 49 invested

Measure	Value
Annualised return	2.9%
Annualised volatility	10.7%
Return for risk taken	0.27
95% range	(0.10) to 0.70
t-statistic	1.23
Maximum drawdown	37.2%
Hit rate	57.1%
Annual turnover	1.13×
Return skew	0.37
Return kurtosis	15.42

+ 6 more rows− fewer rows

The range is measured by resampling the history in blocks, so runs of good and bad months stay intact.

Table 2 · Robustness

Diagnostic	Value	Reads as	Bad	Okay	Yay
Design half (pre-2015)	0.28	return for risk	≤ 0	0 – 0.40	≥ 0.40
Holdout half (2015+)	0.32	return for risk	≤ 0	0 – 0.40	≥ 0.40
Top-5-month share of profit	108.4%	how much rode on a few months — lower is better	≥ 40%	25 – 40%	< 25%
Top-2-year share of profit	86.0%	concentration	—	—	—
Distinct trading episodes	11	how many independent runs this really is	< 50	50 – 100	≥ 100
Chance the edge is real	89.1%	non-normality corrected	—	—	—
Chance it beats the whole search	3.5%	chance of beating the whole search by luck	—	—	—

bad/ok boundary is the pre-registered criterion · ok/good is a margin above it, not a criterion · blank where none was registered

+ 3 more rows− fewer rows

The last row asks whether the result would stand out from the hundred-odd ideas tried here, rather than being judged alone.

Table 3 · Net return by calendar year

after costs

Year	Net return
2006	7.5%
2007	0.0%
2008	(0.9%)
2009	(8.5%)
2010	27.5%
2011	3.2%
2012	7.1%
2013	0.0%
2014	0.0%
2015	0.0%
2016	0.0%
2017	(1.2%)
2018	(0.1%)
2019	0.0%
2020	0.0%
2021	23.5%
2022	4.3%
2023	(4.0%)
2024	0.0%
2025	0.0%
2026	0.8%

+ 17 more rows− fewer rows

Table 4 · Concentration detail

Measure	Value
Best years	2010:+27%, 2021:+23%, 2006:+8%
Worst year	2009:-8%

Reference

Instruments

last price and one-month change, live from Yahoo Finance

Symbol	Notes
ZW=F	Chicago SRW Wheat — continuous futures on CBOT, quoted in US cents.
ZC=F	Corn — continuous futures on CBOT, quoted in US cents.
ZS=F	Soybeans — continuous futures on CBOT, quoted in US cents.
ZM=F	Soybean Meal — continuous futures on CBOT, in USD.
ZR=F	Rough Rice — continuous futures on CBOT, in USD.
KE=F	KC HRW Wheat — continuous futures on CBOT, quoted in US cents.

Sample

2006-05 – 2026-06 · 242 months

Sources

NOAA Physical Sciences Laboratory. Climate indices. ONI, Niño 3.4, MEI v2, DMI, PDO, AMO, TNA, QBO, solar flux. psl.noaa.gov/data/climateindices/list

Queensland Department of Agriculture and Fisheries. Southern Oscillation Index. The Long Paddock. Monthly, 1876–. www.longpaddock.qld.gov.au/soi/soi-data-files

Yahoo Finance. Historical market prices. Adjusted close, month-end. Retrieved with yfinance. finance.yahoo.com

Revision history

Rev	Stage	Status	Change
01	Draft	—	Direction and criteria fixed before the experiment ran
02	Tested	Failed	Benchmark, not scored against the criteria