DeployQuant20-Day Momentum + Trailing Stop vs First-to-Last Day of Month
Two rule sets, 59 ETFs, one engine and one window.
Two of the twelve templates sit side by side here, run on the same 59 ETFs. The 20-day momentum breakout with a trailing stop buys after a gain of more than 10% over 20 sessions and exits when price falls 10% below its high-water mark. The first-to-last day of month rule buys the first session of each month and sells the last. The first waits for a burst and can sit in cash for months. The second is invested on almost every trading day.
Both ran from 2021-01-04 to 2026-10-02 with $10,000 per run, no margin, and no fees or slippage in the headline numbers. The monthly cycle had the higher CAGR on 37 of the 59 funds and the momentum breakout on 22. The median CAGR was 5.5% for the monthly cycle and 0.0% for the momentum breakout. The median maximum drawdown ran the other way: 20.1% for the momentum breakout and 36.6% for the monthly cycle. The momentum breakout had the shallower drawdown on 55 of the 59 funds.
The 0.0% median has a mechanical cause. The momentum breakout only enters when the 20-day return is above 10%. On bond, currency and several alternative funds that never happened in the window, so those runs show no trades, a flat equity line and a drawdown of 0.0%. The median fund saw 6 round trips under the momentum breakout and 69 under the monthly cycle. Median exposure was 21.3% of sessions against 95.2%. Those two pairs of numbers describe the comparison better than CAGR does. One rule is in the market about a fifth of the time and the other is in the market nearly all of it.
The monthly cycle uses no indicator. Its template notes say it holds about 95% of all sessions, so its results usually track buy-and-hold minus the days that straddle a month boundary. Buy-and-hold CAGR for each fund is in the facts for this page, and it is the third reference point for every row below. The median correlation between the weekly equity changes of the two rules was 0.57. They are related, since both are long-only and both depend on the fund going up, but they are far from the same series.
| momentum breakout | monthly cycle | |
|---|---|---|
| Median CAGR (59 ETFs) | 0.0% | 5.5% |
| Median max drawdown | −20.1% | −36.6% |
| ETFs won (by CAGR) | 22 | 37 |
| Style | high-momentum assets where trends extend, such as semiconductor and leveraged tech ETFs | measuring 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 | −13.6% | −77.5% | 63.9% |
| TECS | −18.3% | −55.6% | 37.3% |
| UVXY | −36.2% | −68.7% | 32.5% |
| REW | −8.1% | −37.2% | 29.1% |
| SQQQ | −16.0% | −44.6% | 28.6% |
| TECL | 10.2% | 36.0% | 25.7% |
| QID | −3.1% | −28.8% | 25.7% |
| TMF | −11.1% | −32.2% | 21.1% |
| TQQQ | 0.6% | 21.5% | 20.9% |
| CTA | −2.8% | 13.3% | 16.1% |
What the ten biggest gaps contain
The ten largest gaps by CAGR split into two groups that have different causes. Seven of them are inverse or volatility products where the monthly cycle lost far more than the momentum breakout: SOXS, TECS, UVXY, REW, SQQQ, QID and TMF. The other three are TECL, TQQQ and CTA, where the monthly cycle was ahead.
SOXS has the widest gap, 63.9 points. The momentum breakout lost 13.6% a year and the monthly cycle lost 77.5%. Buy-and-hold on SOXS lost 48.3% a year, so the monthly cycle did worse than simply holding. The momentum breakout made 129 round trips on SOXS and the monthly cycle made 69. The momentum breakout's maximum drawdown was 77.5%, and the monthly cycle's was 100.0%, which means the equity line went to essentially nothing at its low. A three-times inverse semiconductor fund falls most days in a rising market, and a rule that holds nearly every session takes all of it. The momentum breakout on SOXS lost less because it was usually flat.
TECS follows the same pattern with 18.3% a year lost under the momentum breakout and 55.6% under the monthly cycle, against a buy-and-hold loss of 46.7%. UVXY lost 36.2% a year under the momentum breakout and 68.7% under the monthly cycle, with buy-and-hold at a loss of 48.7%. In both cases the momentum rule beat buy-and-hold, because it stayed out for most sessions of a fund that decays. REW, SQQQ and QID show the same shape with smaller numbers. SQQQ lost 16.0% a year under the momentum breakout, 44.6% under the monthly cycle and 42.3% for buy-and-hold. The monthly cycle on SQQQ ended slightly worse than buy-and-hold, which is consistent with a rule that is in 95% of sessions and out on the few days the fund tends to rise.
TMF belongs here as well, as a leveraged long-bond fund that fell through the window. The momentum breakout lost 11.1% a year, the monthly cycle lost 32.2% and buy-and-hold lost 31.2%.
The three funds on the other side explain where the monthly cycle's advantage is real. TECL returned 36.0% a year under the monthly cycle and 10.2% under the momentum breakout, with buy-and-hold at 38.2%. TQQQ returned 21.5% under the monthly cycle and 0.6% under the momentum breakout, with buy-and-hold at 25.4%. The momentum breakout made 53 round trips on TQQQ and 64 on TECL. Each entry needs a 10% gain in 20 sessions, which a three-times fund produces often, and each exit comes 10% below a peak, which a three-times fund also produces often. The stop kept getting hit and the re-entries kept coming after a rebound had already started. The momentum breakout on TQQQ had a maximum drawdown of 40.9% against 82.5% for the monthly cycle, so the stop did limit the depth of the loss. It cost most of the return to do it.
CTA is the odd one. It is an alternative-strategy fund, and the monthly cycle made 13.3% a year on it against 8.9% for buy-and-hold, while the momentum breakout lost 2.8% a year in 4 round trips. CTA has fewer monthly round trips than most funds in the table, 54 against 69, which points to a shorter price history in the window.
Every ETF, side by side
| ETF | momentum breakout | monthly cycle | momentum breakout max DD | monthly cycle max DD | 50/50 split | Weekly correlation |
|---|---|---|---|---|---|---|
| SPY | 9.1% | 12.8% | −13.1% | −22.4% | 11.2% | 0.61 |
| VOO | 9.2% | 12.8% | −13.2% | −22.4% | 11.2% | 0.61 |
| QQQ | 7.8% | 14.7% | −26.5% | −36.1% | 11.7% | 0.63 |
| QQQM | 7.9% | 14.9% | −27.0% | −36.6% | 11.9% | 0.63 |
| QQQE | 1.8% | 8.0% | −21.2% | −29.1% | 5.3% | 0.55 |
| IWM | 1.4% | 6.5% | −24.1% | −36.9% | 4.2% | 0.55 |
| VV | 9.3% | 12.4% | −13.6% | −23.7% | 11.1% | 0.61 |
| VTV | −0.3% | 12.1% | −9.5% | −15.4% | 6.9% | 0.36 |
| VOOG | 6.1% | 13.9% | −28.7% | −33.9% | 10.5% | 0.61 |
| VOOV | 6.4% | 10.9% | −11.8% | −17.8% | 8.9% | 0.58 |
| IOO | 7.3% | 15.8% | −19.6% | −21.1% | 12.1% | 0.6 |
| EEM | 2.4% | 3.1% | −24.4% | −44.4% | 2.9% | 0.45 |
| SOXX | 16.7% | 29.2% | −30.2% | −44.5% | 23.8% | 0.64 |
| XLK | 11.6% | 20.9% | −26.1% | −32.0% | 16.9% | 0.63 |
| XLF | 7.0% | 11.6% | −17.6% | −23.5% | 9.6% | 0.73 |
| XLP | −1.9% | 5.5% | −14.5% | −13.4% | 2.2% | 0.36 |
| XLY | 3.8% | 3.7% | −18.4% | −43.8% | 3.9% | 0.62 |
| VOX | 2.2% | 6.0% | −27.7% | −46.2% | 4.3% | 0.62 |
| TQQQ | 0.6% | 21.5% | −40.9% | −82.5% | 13.8% | 0.55 |
| QLD | 22.5% | 20.6% | −20.1% | −65.0% | 21.9% | 0.55 |
| SSO | 15.4% | 18.8% | −24.1% | −43.9% | 17.5% | 0.59 |
| SPUU | 17.3% | 19.5% | −17.6% | −44.1% | 18.8% | 0.59 |
| SOXL | 19.1% | 32.9% | −67.5% | −90.2% | 27.2% | 0.59 |
| TECL | 10.2% | 36.0% | −48.5% | −78.0% | 26.8% | 0.57 |
| ROM | 13.3% | 27.0% | −36.2% | −69.4% | 21.5% | 0.58 |
| FAS | 3.9% | 17.0% | −45.4% | −66.7% | 11.8% | 0.5 |
| TMF | −11.1% | −32.2% | −55.7% | −89.7% | −18.7% | 0.46 |
| UST | −4.3% | −8.9% | −24.6% | −47.8% | −6.5% | 0.38 |
| SQQQ | −16.0% | −44.6% | −67.5% | −97.0% | −24.7% | 0.59 |
| QID | −3.1% | −28.8% | −45.7% | −88.0% | −12.0% | 0.59 |
| PSQ | −5.7% | −12.7% | −33.1% | −60.3% | −9.0% | 0.54 |
| SH | −2.2% | −8.9% | −17.9% | −42.9% | −5.4% | 0.42 |
| SDS | −9.9% | −20.5% | −48.6% | −74.3% | −14.7% | 0.59 |
| SPDN | −2.2% | −8.6% | −17.9% | −41.8% | −5.3% | 0.42 |
| SOXS | −13.6% | −77.5% | −77.5% | −100.0% | −23.7% | 0.44 |
| TECS | −18.3% | −55.6% | −72.4% | −99.1% | −27.6% | 0.52 |
| REW | −8.1% | −37.2% | −62.8% | −93.4% | −17.3% | 0.57 |
| EEV | −14.8% | −10.0% | −61.9% | −75.0% | −12.4% | 0.56 |
| TBF | −2.3% | 11.9% | −16.4% | −17.6% | 6.0% | 0.49 |
| AGG | 0.0% | −0.9% | −0.0% | −18.9% | −0.5% | – |
| BND | 0.0% | −0.9% | −0.0% | −18.9% | −0.5% | – |
| TLT | −1.2% | −8.1% | −10.3% | −46.2% | −4.4% | 0.45 |
| IEF | 0.0% | −2.7% | −0.0% | −24.7% | −1.3% | – |
| IEI | 0.0% | −0.8% | −0.0% | −15.0% | −0.4% | – |
| IGIB | 0.0% | −0.3% | −0.0% | −20.9% | −0.1% | – |
| SGOV | 0.0% | 3.0% | −0.0% | −0.1% | 1.5% | – |
| IAU | 7.1% | 11.8% | −18.5% | −26.1% | 9.6% | 0.71 |
| FXE | 0.0% | −0.3% | −0.0% | −22.4% | −0.1% | – |
| UDN | 0.0% | −0.7% | −0.0% | −22.6% | −0.3% | – |
| USDU | 0.0% | 5.4% | −0.0% | −7.6% | 2.9% | – |
| UVXY | −36.2% | −68.7% | −93.3% | −99.9% | −43.8% | 0.48 |
| VIXM | −15.9% | −14.8% | −65.0% | −66.0% | −15.6% | 0.29 |
| VXZ | −17.3% | −12.5% | −67.9% | −62.0% | −15.0% | 0.4 |
| RINF | −2.3% | 5.2% | −17.1% | −14.9% | 1.8% | 0.49 |
| CTA | −2.8% | 13.3% | −27.4% | −21.2% | 6.3% | 0.69 |
| KMLM | 2.1% | 8.1% | −10.0% | −24.0% | 5.3% | 0.51 |
| QAI | 0.0% | 3.3% | −0.0% | −16.1% | 1.7% | – |
| CLSE | 10.1% | 18.9% | −4.7% | −17.4% | 14.8% | 0.48 |
| ALTY | 0.0% | 7.2% | −0.0% | −18.5% | 4.0% | – |
The 50/50 split runs both templates on the same ETF in two $5,000 sleeves that start together and are never rebalanced. Correlation is of weekly equity changes.
Reading the fund-by-fund table
The every-ETF table adds three columns the headline numbers lack: a 50/50 split, the weekly correlation, and the drawdown of each rule. The split runs both templates on the same fund in two $5,000 sleeves that start together and are never rebalanced.
Broad index funds show the cleanest version of the trade-off. On SPY the momentum breakout made 9.1% a year with a maximum drawdown of 13.1%, and the monthly cycle made 12.8% with a drawdown of 22.4%. Buy-and-hold on SPY made 14.6%. The 50/50 split made 11.2% with a drawdown of 16.6%. The split landed between the two on both measures. On QQQ the same ordering holds: 7.8% and a 26.5% drawdown for the momentum breakout, 14.7% and 36.1% for the monthly cycle, 11.7% and 30.2% for the split, and 16.7% for buy-and-hold. VOO, VV and QQQM repeat it within a point or so. The momentum breakout on SPY made only 3 round trips in the window, so its 9.1% rests on a handful of long holds.
The cases where the momentum breakout came out ahead are few and mostly leveraged. QLD returned 22.5% a year under the momentum breakout and 20.6% under the monthly cycle, with buy-and-hold at 23.6%. The drawdowns were 20.1% against 65.0%. That is the strongest result for the momentum rule in the table: nearly the full return of the fund at about a third of the monthly cycle's drawdown depth. The momentum breakout on QLD made 20 round trips, far fewer than on TQQQ, which suggests QLD's two-times leverage produced fewer false stops. SSO and SPUU came close without winning: 15.4% against 18.8% on SSO, and 17.3% against 19.5% on SPUU.
The only sector fund the momentum breakout won was XLY, by the narrowest of margins, 3.8% against 3.7%. Buy-and-hold on XLY made 6.3%, so neither rule beat holding it.
Value and defensive funds were the weak spot for the momentum breakout. VTV made one round trip and returned a loss of 0.3% a year, while the monthly cycle made 12.1% and buy-and-hold made 13.4%. The momentum breakout's drawdown on VTV was 9.5% and the monthly cycle's was 15.4%. XLP is similar: a loss of 1.9% under the momentum breakout, 5.5% under the monthly cycle, 5.8% for buy-and-hold. A fund that rises slowly rarely gains 10% in 20 sessions, so the entry condition rarely fires. The weekly correlation for both VTV and XLP is 0.36, the lowest among the equity funds, because the momentum breakout spent most weeks flat while the monthly cycle moved with the fund.
The semiconductor funds show high returns for both rules. SOXX made 16.7% a year under the momentum breakout and 29.2% under the monthly cycle, with buy-and-hold at 31.1%. The momentum breakout made 18 round trips on SOXX. SOXL returned 19.1% and 32.9%, with buy-and-hold at 33.3%, and the momentum breakout made 138 round trips there, the most of any fund where it made money. The drawdowns on SOXL were 67.5% and 90.2%, so even the stop-managed version suffered a deep loss.
The zero rows deserve a plain description. AGG, BND, IEF, IEI, IGIB, SGOV, FXE, UDN, USDU, QAI and ALTY all show a momentum breakout CAGR of 0.0% and a drawdown of 0.0%, with no round trips. These funds never gained more than 10% in 20 sessions inside the window, so the rule stayed in cash. On the same funds the monthly cycle made small gains or losses: 3.0% on SGOV, 5.4% on USDU, 7.2% on ALTY, a loss of 0.9% on AGG and a loss of 2.7% on IEF. For those funds the comparison tells you the rule did nothing, and the monthly cycle result is close to buy-and-hold. CLSE is a variant: the momentum breakout shows no completed round trips but a CAGR of 10.1% and a drawdown of 4.7%, which fits a single entry that was still open at the end of the window. The monthly cycle on CLSE made 18.9% with a drawdown of 17.4%.
The 50/50 split median was a CAGR of 3.9% with a maximum drawdown of 27.0%. The split had a shallower drawdown than both single rules on only 7 funds. That is a low count, and it says the two rules rarely offset each other. The monthly cycle is in the market almost always, so the split is mostly the monthly cycle's drawdown diluted by half a sleeve of cash-like flat equity, not a combination of two different return streams. Both rules beat buy-and-hold on only 10 funds.
Year by year, median across all ETFs
| Year | momentum breakout | monthly cycle | ETFs where momentum breakout was ahead |
|---|---|---|---|
| 2021 | 0.0% | 5.4% | 24 of 59 |
| 2022 | −5.7% | −13.8% | 37 of 59 |
| 2023 | 0.0% | 6.7% | 20 of 59 |
| 2024 | 0.0% | 11.4% | 17 of 59 |
| 2025 | 1.0% | 11.4% | 27 of 59 |
| 2026 | 0.0% | 2.3% | 30 of 59 |
Median results by calendar year
The year-by-year table takes the median across all 59 funds, and for the momentum breakout that median is often zero because half the funds had no open position. The row to read for the momentum breakout is the count of funds where it was ahead.
In 2021 the median was 0.0% for the momentum breakout and 5.4% for the monthly cycle, and the momentum breakout was ahead on 24 funds. The 2021 window starts on 2021-01-04, so it covers the full year. In 2022 the medians were a loss of 5.7% and a loss of 13.8%, and the momentum breakout was ahead on 37 of 59 funds. That is the only year where it led on a clear majority. The stop did the job it was designed for in a falling market: it exited after a drop of 10% and then waited for the next burst, which did not arrive in many funds. The monthly cycle stayed in through the year and took the fund's decline in full. The momentum breakout on the Nasdaq 100 fund QQQ fits this view, with a maximum drawdown of 26.5% against 36.1% for the monthly cycle over the whole window.
In 2023 the medians were 0.0% and 6.7%, with the momentum breakout ahead on 20 funds. In 2024 they were 0.0% and 11.4%, with the momentum breakout ahead on 17 funds, its weakest year by that count. A steady rising market favours a rule that is invested at every open. 2025 had a median of 1.0% for the momentum breakout and 11.4% for the monthly cycle, with the momentum breakout ahead on 27 funds. The partial year 2026 runs to 2026-10-02 and shows medians of 0.0% and 2.3%, with the momentum breakout ahead on 30 funds, a bit more than half.
The pattern across the six rows is stable. The monthly cycle's median is positive in every year except 2022, and its best medians, 11.4% in both 2024 and 2025, came in years when most funds rose. The momentum breakout's median never exceeded 1.0%. Its advantage appears in the count of funds, and it appears in the year with the most losing funds. This is one window of under six years, with one bear market in it, so the 2022 result is a single observation of how the stop behaved in a decline.
For other pairings of the same momentum rule, the momentum breakout against the 200-day regime filter and the monthly cycle against the 200-day regime filter give a view of how a slower trend filter handled the same years.
By fund type
| Fund type | ETFs | momentum breakout won | Median momentum breakout | Median monthly cycle |
|---|---|---|---|---|
| Broad index ETFs | 12 | 0 | 7.3% | 12.8% |
| Sector ETFs | 6 | 1 | 7.0% | 11.6% |
| Leveraged ETFs | 10 | 3 | 13.3% | 20.6% |
| Inverse ETFs | 11 | 9 | −8.1% | −20.5% |
| Bond ETFs | 7 | 6 | 0.0% | −0.9% |
| Commodity ETFs | 1 | 0 | 7.1% | 11.8% |
| Currency ETFs | 3 | 2 | 0.0% | −0.3% |
| Volatility products | 3 | 1 | −17.3% | −14.8% |
| Alternative-strategy ETFs | 6 | 0 | 0.0% | 8.1% |
What the fund types show
The by-type table groups the 59 funds into nine types. The monthly cycle won every broad index fund. Among the 12 broad index ETFs the momentum breakout won none, with a median CAGR of 7.3% against 12.8%. Sector funds went the same way, with a single win for the momentum breakout in 6 funds and medians of 7.0% against 11.6%. The one commodity fund, IAU, returned 7.1% under the momentum breakout and 11.8% under the monthly cycle.
Leveraged funds are the largest group where the momentum breakout was competitive. It won 3 of the 10, and the medians were 13.3% for the momentum breakout and 20.6% for the monthly cycle. The gap is smaller in absolute terms than the gap on the broad index funds would suggest, given the scale of the returns involved. The leveraged funds also carry the biggest drawdown difference. The momentum breakout's drawdowns on TQQQ, QLD, SOXL and TECL were 40.9%, 20.1%, 67.5% and 48.5%, while the monthly cycle's were 82.5%, 65.0%, 90.2% and 78.0%. If the aim were to keep a leveraged fund's drawdown within a tolerable range, the stop did that. It also gave up much of the return.
Inverse funds are where the momentum breakout won most often: 9 of 11. The medians were a loss of 8.1% for the momentum breakout and a loss of 20.5% for the monthly cycle. This is a statement about staying out of decaying funds. It is not evidence that the momentum rule found profitable inverse trades, since its median result was still negative. The momentum breakout on SQQQ lost 16.0% a year while the monthly cycle lost 44.6%, and both lost money.
Bond funds went to the momentum breakout on 6 of 7, with a median of 0.0% against a loss of 0.9%, for the reason given above: it did not trade. Currency funds went 2 of 3 to the momentum breakout on the same logic, with medians of 0.0% and a loss of 0.3%. Volatility products split 1 of 3, with medians of a loss of 17.3% for the momentum breakout and a loss of 14.8% for the monthly cycle. VIXM and VXZ lost similar amounts under both rules, from 12.5% to 17.3% a year, while UVXY lost 36.2% and 68.7%. Volatility funds lose value from roll costs, and neither rule changes that.
Alternative-strategy funds, a group of 6 that includes CTA, KMLM, QAI, CLSE, RINF and ALTY, went to the monthly cycle in all 6 cases. The momentum breakout median was 0.0% and the monthly cycle median was 8.1%. These funds move slowly, so the 10% entry trigger was rare.
Taken together, the type table says the winner depends on the fund type before it depends on the rule. Where the fund rose, the monthly cycle won. Where the fund fell or never moved, the momentum breakout lost less or did nothing. Other pairings that show the monthly cycle against a different trend rule include the monthly cycle against the 10/50 moving average rule and the golden cross against the monthly cycle. For the momentum breakout, the comparison with the weekly profit target uses another rule that exits on a fixed gain.
How the two rules differ in what they need
The momentum breakout has an entry condition and an exit condition that depend on price. It buys with 98% of the sleeve when it is not invested and the 20-day return is above 10%. While it holds, a managed trailing stop follows 10% below the position's high-water mark and never moves down. There is no profit target, so a winner runs until price falls 10% from its peak. The template's own caveat is that buying strength means buying high, and a burst that reverses at once exits about 10% below the entry.
The monthly cycle needs nothing from price. It buys once per month at the first session's open with 98% of the sleeve and sells the whole position at the last session's open. It cannot react to a drop inside the month and it cannot stay out of a bear market. Its drawdowns are therefore close to the fund's own drawdowns, and its median of 69 round trips over the window means it pays the most for any cost the headline run leaves out.
These rules respond to different features of a fund. The momentum breakout earns money on funds that trend after a sharp gain and loses it on funds that gap back. The monthly cycle earns whatever the fund earns on the days it holds, which is most days. On a fund that rose through the window, the monthly cycle is hard to beat because it is almost always in. On a fund that fell, it is hard to lose less than the momentum breakout, which stayed out. The tables on this page are mostly a record of which of those two conditions each fund met.
Limits of this test
The headline run has no fees or slippage. The momentum breakout's cost sensitivity is small on funds where it made 3 trades and larger on SOXL, where it made 138. The monthly cycle's 69 round trips are a steady cost on every fund. Cost runs at 5 and 10 basis points exist on the single-strategy pages, and the monthly cycle on SPY is a good place to see how a rule with that many trades responds.
The window is 2021-01-04 to 2026-10-02, 5.74 years, with one bear market in 2022. Daily-decision rules were evaluated on minute-resolution consolidated US market data, and orders fill on minute bars. Prices are adjusted for splits and dividends. The results describe what these two rules did on these funds in this window. They are hypothetical and say nothing about what either rule will do next.
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Frequently asked questions
Which is better: momentum breakout or monthly cycle?
On this 2021-01-04 to 2026-10-02 window, monthly cycle produced the higher CAGR on 37 of 59 ETFs. Median CAGR: momentum breakout 0.0% vs monthly cycle 5.5%; median max drawdown: 20.1% vs 36.6%. Which is better depends on the asset and what you optimize for. The per-ETF table shows where each wins.
Which is better, the momentum breakout or the monthly cycle?
On this window the monthly cycle had the higher CAGR on 37 of 59 ETFs and a median of 5.5%, against 0.0% for the momentum breakout. The momentum breakout had the shallower maximum drawdown on 55 funds, with a median of 20.1% against 36.6%. The momentum breakout was out of the market for most sessions, so the comparison is mostly between a rule that is rarely invested and one that is almost always invested.
Why is the median CAGR of the momentum breakout exactly 0.0%?
The rule enters only when the 20-day return is above 10%. On bond, currency and several alternative funds that never happened in the window, so the rule made no trades and the equity stayed at $10,000. Zero is the median because about half the funds sit at that value. On AGG, IEF, IEI, FXE and several others the drawdown is also 0.0%.
Did the momentum breakout do better in the 2022 bear market?
Yes, by the count of funds. The median result in 2022 was a loss of 5.7% for the momentum breakout and a loss of 13.8% for the monthly cycle, and the momentum breakout was ahead on 37 of 59 funds. It was ahead on fewer than 30 funds in every other year except 2026, where the count was 30. The 2022 result is one year in a window of under six.
Where did the momentum breakout beat the monthly cycle?
It won on 22 funds. The clearest case is QLD, where it returned 22.5% a year against 20.6%, with a 20.1% drawdown against 65.0%. It also won on 9 of 11 inverse funds and 6 of 7 bond funds, although in many of those cases the win comes from losing less or not trading at all.
What happens if I run both rules together in a 50/50 split?
The 50/50 split, two $5,000 sleeves never rebalanced, had a median CAGR of 3.9% and a median maximum drawdown of 27.0%. It had a shallower drawdown than both single rules on only 7 funds. On SPY it made 11.2% with a 16.6% drawdown, between the 9.1% and 12.8% of the two rules alone.
Does the monthly cycle beat buy-and-hold?
Rarely. It holds about 95% of sessions, so it usually lands a little below buy-and-hold. On SPY it made 12.8% against 14.6% for buy-and-hold, and on TQQQ 21.5% against 25.4%. It was ahead of buy-and-hold on a small number of funds, and CTA is one example, at 13.3% against 8.9%.
Dig deeper
Backtests are hypothetical, computed by DeployQuant's engine on minute-resolution consolidated US market data (2021-01-04 to 2026-10-02, $10,000 starting capital, no margin, no fees or slippage in the headline run; buy-and-hold puts 98% of the account in at the first open, as the templates do) and do not guarantee future results. Nothing on this page is investment advice. Live trading involves risk of loss.