Soybean Swing Trading System: Revisiting a Long-Term Commodity Strategy for 2026
With soybeans moving higher and inflationary trends continuing across several commodity markets, we're revisiting a systematic soybean futures strategy that has been part of our research for many years.
Revisiting the Soybean Swing Trading System
Soybean Swing is an algorithmic soybean futures strategy that I have traded and researched for many years. The strategy's historical backtest is currently near new equity highs, making this an interesting time to revisit the system as soybean prices move higher.
The bigger question is whether a strategy originally developed in a lower-priced commodity environment should be adjusted to give trades more room as nominal soybean prices and potential volatility increase.
The historical test in this video goes back to August 1, 2006 and also accounts for the significant change in soybean trading hours that occurred on April 8, 2013.
Original Soybean Swing Strategy Settings
The original strategy configuration used:
- $400 daytime stop loss
- $1,000 overnight stop loss
- A First Profitable Open exit during the day session
- $25 round-turn allowance for slippage and commissions
The historical test produced approximately:
Average Trade Profit: $103
Maximum Drawdown: $5,237.50
Long-Side Net Profit: approximately $30,000
Short-Side Net Profit: approximately $35,000
Adapting the Strategy for a Higher-Priced Market
One of the primary tests in this research is straightforward: what happens if we give the system more room?
Soybeans are trading at substantially higher nominal price levels than they were during much of the historical test period. A stop loss that was appropriate when soybeans were significantly cheaper may represent a very different percentage move in today's market.
To examine this, I expanded both the daytime and overnight stop losses to:
$1,200
The purpose isn't simply to increase risk. The goal is to determine whether additional room allows the strategy to capture larger price swings while improving important system metrics such as average trade profit and net profit relative to drawdown.
Updated Backtest Results
Increasing the stops produced a significant improvement in average trade profit.
Updated Strategy Statistics
Average Trade: approximately $147
Profitable Trades: approximately 71%
Maximum Drawdown: approximately $6,000
Slippage & Commission Assumption: $25 round turn
Historical Equity Curve: Near equity highs
Most notably, average trade profit increased from approximately $103 to $147 per trade.
Average trade is an important metric for systematic traders because a larger average trade can provide more room for real-world trading friction, including commissions, slippage and execution differences.
Accounting for the 2013 Soybean Trading-Hours Change
Historical testing of agricultural futures requires attention to changes in market structure.
Before April 8, 2013, the soybean day session began at approximately 9:30 a.m. Central / 10:30 a.m. Eastern.
Beginning April 8, 2013, the day-session opening moved to approximately 8:30 a.m. Central / 9:30 a.m. Eastern.
The Soybean Swing strategy includes logic designed to account for this historical change so that the day-session calculations correspond with the appropriate market hours during each period of the backtest.
Why Look at Soybeans Now?
In recent years, some of the largest inflationary price moves have occurred in markets such as gold, silver, copper and other commodities.
Agricultural commodities have not necessarily experienced the same degree of sustained acceleration.
That creates an interesting question for systematic traders:
What happens if the next major inflationary move expands into grains, meats and other agricultural commodities?
A strategy such as Soybean Swing provides exposure to a market with a very different set of fundamental drivers and price behavior than the Nasdaq and stock-index futures strategies that have been a major focus of our research recently.
A True Swing Trading Strategy
Unlike many of our intraday stock-index systems, Soybean Swing can hold positions overnight.
It is designed to participate in both long and short soybean futures opportunities and potentially capture moves that develop across multiple trading sessions.
That also means the risk characteristics are different from an intraday-only system. Overnight commodity positions can experience gaps and adverse price movement beyond modeled stop-loss levels.
No Trading System Makes Money Every Year
When evaluating a strategy over a long historical period, it is important to look beyond the most recent trades or equity highs.
The historical results for Soybean Swing include three losing calendar years.
This is normal when evaluating long-term systematic methodologies. No trading system should be expected to perform well during every market regime.
The objective is to evaluate the complete distribution of results: profitability, losing periods, drawdowns, average trade, market exposure and the relationship between historical return and risk.
Soybean Swing Strategy Availability
Soybean Swing is not currently listed as a standard product on the Capstone Trading Systems website.
If you're interested in licensing or leasing the strategy, contact us through the Capstone Trading Systems Contact Us page for current availability and details.
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Risk Disclosure: Futures trading involves substantial risk and is not suitable for every investor. Past performance, whether actual or hypothetical, is not necessarily indicative of future results. Hypothetical and backtested performance results have inherent limitations and do not represent actual trading. Stop-loss orders do not guarantee that losses will be limited to the specified amount, particularly during overnight or fast-moving market conditions. The information presented is for educational and informational purposes only and should not be considered investment advice.