20-Day Momentum + Trailing Stop vs First-to-Last Day of Month
Two rule sets, 59 ETFs, one engine and window — a genuinely like-for-like comparison.
| momentum breakout | monthly cycle | |
|---|---|---|
| Median CAGR (59 ETFs) | 0.0% | 6.2% |
| Median max drawdown | −20.1% | −36.7% |
| ETFs won (by CAGR) | 22 | 37 |
| Style | high-momentum assets where trends extend — semiconductor and leveraged tech ETFs show the archetype | understanding how much of an asset's return accrues inside the month versus across month boundaries |
Where the gap was biggest
| ETF | momentum breakout | monthly cycle | gap |
|---|---|---|---|
| SOXS | 1.3% | −50.5% | 51.8% |
| TECS | −15.1% | −45.5% | 30.4% |
| REW | −8.0% | −34.1% | 26.1% |
| SQQQ | −15.1% | −40.3% | 25.2% |
| UVXY | −30.3% | −55.5% | 25.1% |
| QID | −3.6% | −27.0% | 23.5% |
| TMF | −11.5% | −30.8% | 19.3% |
| TECL | 11.0% | 27.3% | 16.3% |
| FAS | 4.0% | 20.1% | 16.1% |
| TQQQ | 3.1% | 16.7% | 13.5% |
Build it from blocks (or type it in English), backtest it on 5.5 years of minute data in seconds, tweak any parameter, then paper trade it on live data. No card, no broker needed to start.
Frequently asked questions
Which is better: momentum breakout or monthly cycle?
On this 2021-01-04–2026-07-17 window, monthly cycle produced the higher CAGR on 37 of 59 ETFs. Median CAGR: momentum breakout 0.0% vs monthly cycle 6.2%; median max drawdown: 20.1% vs 36.7%. "Better" depends on the asset and what you optimize — the per-ETF table shows where each wins.
Dig deeper
Backtests are hypothetical, computed by DeployQuant's engine on minute-resolution consolidated US market data (2021-01-04 to 2026-07-17, $10,000 starting capital, no margin, fees and slippage not modeled) and do not guarantee future results. Nothing on this page is investment advice. Live trading involves risk of loss.