DeployQuant20-Day Momentum + Trailing Stop vs SMA-200 Trend + 15% Trailing Stop
Two rule sets, 59 ETFs, one engine and one window.
Two rules for holding an ETF got the same test: the same 59 funds, the same engine, and a window that runs from January 2021 to October 2026, about 5.7 years. Momentum breakout buys after a gain of more than 10% over 20 sessions and sits behind a 10% trailing stop. Trend plus trailing stop buys whenever yesterday's close is above the 200-day average and sits behind a 15% trailing stop. Both put 98% of a $10,000 sleeve into the fund and both exit only on the stop, so the contest is about entries and about how much room the stop gives.
Trend plus trailing stop finished ahead on 36 of the 59 funds by CAGR. Momentum breakout was ahead on 23. The median CAGR across all funds was 2.61% for the trend rule and 0% for the momentum rule. A median of exactly 0% looks odd, and it has a plain cause: on many funds the momentum rule never found a 20-day gain above 10%, so it never bought. The median round trip count was 6 for momentum breakout and 4 for the trend rule, yet the median exposure was 21.3% against 66.6%. The momentum rule spent most of the window in cash.
That exposure gap explains most of what follows. On the drawdown side the momentum rule had the shallower median, 20.1% against 31.15%, and it had the shallower drawdown on 47 of 59 funds. A rule that is mostly out of the market cannot lose much, and it cannot gain much either. Both rules beat buy and hold on only 18 funds, so for most of the list holding the fund outright did better than either stop-based rule on CAGR.
All of this is one window with no fees or slippage in the headline run. The window opens in 2021 and contains the 2022 bear market, a long recovery, and a drop in April 2025. A different start date would change the entry points and could change who wins on a given fund.
| momentum breakout | trend + trailing stop | |
|---|---|---|
| Median CAGR (59 ETFs) | 0.0% | 2.6% |
| Median max drawdown | −20.1% | −31.1% |
| ETFs won (by CAGR) | 23 | 36 |
| Style | high-momentum assets where trends extend, such as semiconductor and leveraged tech ETFs | long trends with moderate pullbacks; the 15% trail is wide enough to survive normal corrections |
Where the gap was biggest
| ETF | momentum breakout | trend + trailing stop | gap |
|---|---|---|---|
| TQQQ | 0.6% | 25.0% | 24.5% |
| FAS | 3.9% | −11.1% | 14.9% |
| EEV | −14.8% | −0.9% | 14.0% |
| TBF | −2.3% | 11.3% | 13.6% |
| UVXY | −36.2% | −25.4% | 10.8% |
| SOXS | −13.6% | −4.9% | 8.7% |
| CLSE | 10.1% | 18.7% | 8.6% |
| CTA | −2.8% | 5.5% | 8.3% |
| XLY | 3.8% | −4.4% | 8.2% |
| VXZ | −17.3% | −9.6% | 7.7% |
What drove the largest gaps
The widest gap on the list is TQQQ, the 3x Nasdaq-100 fund. The trend rule made 25.03% a year there, against 0.57% for momentum breakout. Buy and hold made 25.35%, so the trend rule captured almost all of the fund's return with a maximum drawdown of 43.94%. The momentum rule made 53 round trips on TQQQ and had a 40.93% maximum drawdown. A 10% stop on a fund that routinely moves 10% in a few days gets hit by ordinary noise. The 15% stop in the trend rule made 29 round trips on the same fund, still a lot, but each one ended further from the entry and fewer of them were small losses. Compare the trend rule's TQQQ result with its cousin results on other leveraged funds and TQQQ stands out as the best fit.
The second largest gap goes the other way. On FAS, the 3x financials fund, momentum breakout made 3.85% a year and the trend rule lost 11.05%. The trend rule made 28 round trips with a 68.57% maximum drawdown, and momentum breakout made 45 round trips with a 45.39% maximum drawdown. FAS rallied often enough above its 200-day average to keep triggering trend entries, and each one was followed by a reversal wide enough to cost more than the 15% stop. FAS under momentum breakout lost less because it only bought after a sharp burst and left on a tighter stop.
Several of the largest gaps sit in inverse and volatility funds, where both rules lost money. EEV lost 14.82% a year under momentum breakout and 0.86% under the trend rule. UVXY lost 36.17% a year under the momentum rule, with 125 round trips and a 93.34% maximum drawdown, and 25.39% under the trend rule, with 24 round trips. Buy and hold on UVXY lost 48.74% a year. The trend rule's 200-day filter kept it out of UVXY most of the time, so it paid the stop cost far less often. These are comparisons between two losing results, so a win by either rule here means a smaller loss.
TBF is the clearest case for the trend rule among inverse funds. It made 11.25% a year against a loss of 2.3% for momentum breakout, with 2 round trips against 4 and a maximum drawdown of 16.61% against 16.4%. The two drawdowns are close, so the whole gap came from the trend rule staying in the long run that followed the 200-day cross. Buy and hold on TBF made 12.21%.
On CLSE, a long-short alternative fund, the trend rule made 18.72% against 10.1%, with a maximum drawdown of 14.54% against 4.74%. Momentum breakout made no round trips that finished in the window, which is why its drawdown is so small. The result is a position held for a stretch rather than a repeated edge. On CTA the trend rule made 5.47% and the momentum rule lost 2.81%. XLY, the consumer discretionary sector fund, is the largest gap in favor of momentum breakout among sector funds: 3.83% against a loss of 4.4% for the trend rule, with maximum drawdowns of 18.35% and 39.69%. The XLY page for the trend rule shows a rule that kept re-entering above the 200-day average and kept giving back 15%.
Every ETF, side by side
| ETF | momentum breakout | trend + trailing stop | momentum breakout max DD | trend + trailing stop max DD | 50/50 split | Weekly correlation |
|---|---|---|---|---|---|---|
| SPY | 9.1% | 5.5% | −13.1% | −31.1% | 7.3% | 0.74 |
| VOO | 9.2% | 5.7% | −13.2% | −31.2% | 7.5% | 0.75 |
| QQQ | 7.8% | 11.3% | −26.5% | −26.7% | 9.6% | 0.64 |
| QQQM | 7.9% | 11.4% | −27.0% | −26.8% | 9.7% | 0.64 |
| QQQE | 1.8% | 6.8% | −21.2% | −22.1% | 4.4% | 0.65 |
| IWM | 1.4% | 1.1% | −24.1% | −35.8% | 1.3% | 0.68 |
| VV | 9.3% | 6.2% | −13.6% | −29.6% | 7.8% | 0.77 |
| VTV | −0.3% | 6.0% | −9.5% | −24.4% | 3.1% | 0.41 |
| VOOG | 6.1% | 10.6% | −28.7% | −28.8% | 8.5% | 0.61 |
| VOOV | 6.4% | 3.6% | −11.8% | −26.5% | 5.1% | 0.68 |
| IOO | 7.3% | 10.6% | −19.6% | −19.7% | 9.1% | 0.69 |
| EEM | 2.4% | 8.8% | −24.4% | −16.3% | 5.8% | 0.61 |
| SOXX | 16.7% | 19.8% | −30.2% | −36.4% | 18.3% | 0.67 |
| XLK | 11.6% | 12.5% | −26.1% | −32.5% | 12.1% | 0.65 |
| XLF | 7.0% | 2.6% | −17.6% | −27.9% | 4.9% | 0.62 |
| XLP | −1.9% | 1.8% | −14.5% | −22.0% | 0.1% | 0.37 |
| XLY | 3.8% | −4.4% | −18.4% | −39.7% | 0.1% | 0.67 |
| VOX | 2.2% | 8.6% | −27.7% | −22.1% | 5.6% | 0.58 |
| TQQQ | 0.6% | 25.0% | −40.9% | −43.9% | 15.8% | 0.56 |
| QLD | 22.5% | 17.2% | −20.1% | −40.1% | 20.0% | 0.56 |
| SSO | 15.4% | 11.4% | −24.1% | −38.9% | 13.5% | 0.57 |
| SPUU | 17.3% | 11.0% | −17.6% | −39.6% | 14.3% | 0.61 |
| SOXL | 19.1% | 17.8% | −67.5% | −82.0% | 18.4% | 0.63 |
| TECL | 10.2% | 14.4% | −48.5% | −55.8% | 12.4% | 0.54 |
| ROM | 13.3% | 16.5% | −36.2% | −41.3% | 14.9% | 0.57 |
| FAS | 3.9% | −11.1% | −45.4% | −68.6% | −2.3% | 0.42 |
| TMF | −11.1% | −12.9% | −55.7% | −62.5% | −12.0% | 0.42 |
| UST | −4.3% | −8.7% | −24.6% | −41.4% | −6.3% | 0.35 |
| SQQQ | −16.0% | −12.1% | −67.5% | −71.3% | −13.9% | 0.69 |
| QID | −3.1% | −7.6% | −45.7% | −46.1% | −5.2% | 0.71 |
| PSQ | −5.7% | −5.5% | −33.1% | −38.2% | −5.6% | 0.68 |
| SH | −2.2% | −7.7% | −17.9% | −45.4% | −4.8% | 0.53 |
| SDS | −9.9% | −10.8% | −48.6% | −56.4% | −10.4% | 0.75 |
| SPDN | −2.2% | −7.2% | −17.9% | −44.6% | −4.6% | 0.53 |
| SOXS | −13.6% | −4.9% | −77.5% | −64.5% | −8.8% | 0.56 |
| TECS | −18.3% | −11.0% | −72.4% | −54.1% | −14.3% | 0.68 |
| REW | −8.1% | −7.1% | −62.8% | −50.2% | −7.6% | 0.75 |
| EEV | −14.8% | −0.9% | −61.9% | −54.6% | −6.6% | 0.63 |
| TBF | −2.3% | 11.3% | −16.4% | −16.6% | 5.5% | 0.42 |
| AGG | 0.0% | −1.1% | −0.0% | −18.8% | −0.5% | – |
| BND | 0.0% | −1.1% | −0.0% | −18.7% | −0.5% | – |
| TLT | −1.2% | −7.1% | −10.3% | −38.8% | −3.9% | 0.41 |
| IEF | 0.0% | −2.1% | −0.0% | −21.5% | −1.0% | – |
| IEI | 0.0% | 1.4% | −0.0% | −5.2% | 0.7% | – |
| IGIB | 0.0% | 0.1% | −0.0% | −17.8% | 0.0% | – |
| SGOV | 0.0% | 3.2% | −0.0% | −0.0% | 1.7% | – |
| IAU | 7.1% | 13.1% | −18.5% | −30.4% | 10.3% | 0.81 |
| FXE | 0.0% | 2.1% | −0.0% | −7.9% | 1.1% | – |
| UDN | 0.0% | 1.9% | −0.0% | −8.3% | 1.0% | – |
| USDU | 0.0% | 4.7% | −0.0% | −8.9% | 2.5% | – |
| UVXY | −36.2% | −25.4% | −93.3% | −81.4% | −29.8% | 0.26 |
| VIXM | −15.9% | −10.2% | −65.0% | −47.3% | −12.8% | 0.43 |
| VXZ | −17.3% | −9.6% | −67.9% | −47.3% | −13.0% | 0.52 |
| RINF | −2.3% | 4.0% | −17.1% | −13.3% | 1.1% | 0.54 |
| CTA | −2.8% | 5.5% | −27.4% | −20.6% | 1.6% | 0.7 |
| KMLM | 2.1% | 1.1% | −10.0% | −27.0% | 1.6% | 0.52 |
| QAI | 0.0% | 2.6% | −0.0% | −15.9% | 1.4% | – |
| CLSE | 10.1% | 18.7% | −4.7% | −14.5% | 14.7% | 0.57 |
| ALTY | 0.0% | 0.1% | −0.0% | −30.0% | 0.1% | – |
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 all-ETF table
Broad index funds show the rules at their most similar and most different in the same rows. On SPY, momentum breakout made 9.09% a year with a 13.14% maximum drawdown, and the trend rule made 5.45% with a 31.15% maximum drawdown. Both made 3 round trips. Buy and hold made 14.56%. VOO, VV and VOOV look the same: the momentum rule made more and drew down less. Yet on QQQ the order flips, with 7.84% for momentum breakout and 11.27% for the trend rule, at nearly the same maximum drawdown of about 26%. Nasdaq-100 funds reward staying in during long runs, and large-cap US index funds in this window had one deep drop that the 10% stop sidestepped sooner than the 15% stop.
The correlation column shows how different the two equity curves were. The median weekly equity correlation was 0.61. The highest values are on IAU at 0.81, SDS and REW at 0.75, and VOO at 0.75. The lowest is UVXY at 0.26. A correlation of 0.26 means the two rules held the fund at different times, and the blend of the two rules on UVXY still lost 29.81% a year. Correlation is blank on funds where one rule never traded, and that includes AGG, BND, IEF, QAI and ALTY under momentum breakout.
The blend column splits the sleeve 50/50 between the two rules, never rebalanced. The median blend CAGR was 1.35% and the median blend maximum drawdown was 23.32%. That is between the two rules on both measures. On 18 funds the blend had a shallower drawdown than both rules alone. SPY shows the typical case: a blend CAGR of 7.34% and a maximum drawdown of 21.66%, between the two single-rule results of 13.14% and 31.15% for drawdown. QQQ is the other kind, where the blend made 9.62%, below the trend rule alone at 11.27%, with a maximum drawdown of 25.48%.
Bond funds are the cleanest example of the exposure gap. Momentum breakout made 0% on AGG, BND, IEF, IEI, IGIB, SGOV and QAI because the 20-day gain never reached 10% and it never bought. The trend rule held those funds and lost 1.1% a year on AGG, 2.13% on IEF and 7.11% on TLT, with maximum drawdowns of 18.83%, 21.47% and 38.76%. Buy and hold lost 0.78% on AGG, 2.29% on IEF and 8.23% on TLT. The trend rule on SGOV made 3.22%, the same as buy and hold, with a drawdown of 0.02%. The 200-day rule is only a filter, and it did not protect bond funds from a long decline in prices because the funds spent much of the window above or near their averages while falling slowly.
Gold is a different case. On IAU the trend rule made 13.09% against 7.06% for momentum breakout, and buy and hold made 13.66%. A steady uptrend is what the 200-day entry plus a wide stop is built for. The trend rule captured nearly all of it with a 30.44% maximum drawdown, and the momentum rule gave up part of the return for a drawdown of 18.54%.
Year by year, median across all ETFs
| Year | momentum breakout | trend + trailing stop | ETFs where momentum breakout was ahead |
|---|---|---|---|
| 2021 | 0.0% | 0.0% | 19 of 59 |
| 2022 | −5.7% | −13.8% | 38 of 59 |
| 2023 | 0.0% | 4.6% | 17 of 59 |
| 2024 | 0.0% | 6.6% | 11 of 59 |
| 2025 | 1.0% | 6.7% | 34 of 59 |
| 2026 | 0.0% | 3.7% | 28 of 59 |
Year by year across all funds
The median result per year is a blunt tool because so many funds sat at 0% for the momentum rule. It still shows the shape. In 2021 both medians were 0%, and momentum breakout was ahead on 19 funds. In 2022 the medians were a loss of 5.7% for momentum breakout and a loss of 13.8% for the trend rule. The momentum rule led on 38 of 59 funds that year, the strongest showing in the window. A tighter stop and a refusal to buy without a burst meant less exposure to a falling market. The trend rule held funds above the 200-day average and each reversal cost it 15% from the peak.
In 2023 the median for the trend rule was 4.6% and for the momentum rule 0%, with momentum ahead on 17 funds. In 2024 the trend rule's median was 6.6%, momentum breakout stayed at 0%, and momentum was ahead on only 11 funds, the lowest count of any year. That fits the calm, steady climb of those years: few 10% bursts to trigger entries, and a wide stop that rarely got hit. In 2025 the median was 1.0% for momentum breakout and 6.7% for the trend rule, though momentum was ahead on 34 funds. A median can look small while the count of wins is large, because the momentum rule's wins were often small gains or smaller losses. In 2026, a partial year, the medians were 0% and 3.7%, with momentum ahead on 28 funds.
Reading the six years together, momentum breakout looks like a defensive rule that wins in drawdown years and loses in trend years. The trend rule is the opposite: larger losses in 2022, larger gains in each of the years after. Neither pattern was tested across a full market cycle with a long sideways period, and the window is short enough that one year, 2022, drives much of the drawdown comparison. Look at the individual funds, for example the momentum rule on QQQ and the trend rule on QQQ, to see how 2022 played out in a single position.
By fund type
| Fund type | ETFs | momentum breakout won | Median momentum breakout | Median trend + trailing stop |
|---|---|---|---|---|
| Broad index ETFs | 12 | 5 | 7.3% | 6.8% |
| Sector ETFs | 6 | 2 | 7.0% | 8.6% |
| Leveraged ETFs | 10 | 7 | 13.3% | 14.4% |
| Inverse ETFs | 11 | 4 | −8.1% | −7.2% |
| Bond ETFs | 7 | 4 | 0.0% | −1.1% |
| Commodity ETFs | 1 | 0 | 7.1% | 13.1% |
| Currency ETFs | 3 | 0 | 0.0% | 2.1% |
| Volatility products | 3 | 0 | −17.3% | −10.2% |
| Alternative-strategy ETFs | 6 | 1 | 0.0% | 4.0% |
By fund type
Broad index funds are close: a median of 7.35% for momentum breakout and 6.77% for the trend rule, with momentum ahead on 5 of 12. The medians hide the split described above, where large-cap US index funds favored the momentum rule and Nasdaq-100 and growth funds favored the trend rule. Sector funds went to the trend rule, 8.57% against 6.99%, with momentum ahead on 2 of 6. Within the sector group, SOXX made 16.73% under momentum breakout and 19.81% under the trend rule, with 18 and 14 round trips, and both lagged buy and hold at 31.11%. XLK made 11.62% and 12.49% against 22.07% for buy and hold.
Leveraged funds are the group where the stop width matters most. The trend rule had the higher median, 14.4% against 13.32%, but momentum breakout was ahead on 7 of 10. The median hides large moves in both directions: TQQQ at 25.03% for the trend rule against 0.57%, QLD at 22.49% for momentum breakout against 17.16%, and SPUU at 17.25% against 11.01%. On QLD and SPUU the momentum rule had maximum drawdowns of 20.1% and 17.6%, against 40.15% and 39.64% for the trend rule. Those are the cases where a tight stop paid, because the leveraged funds recovered more slowly than they fell. SOXL, with 138 and 97 round trips, produced 19.06% and 17.82% with maximum drawdowns of 67.49% and 81.96%. Both rules made small gains against a buy and hold of 33.32%, and the drawdowns show how fast a 3x semiconductor fund can fall through a stop.
Inverse funds lost under both rules, with medians of 8.12% lost and 7.22% lost, and momentum breakout ahead on 4 of 11. Bond funds had a median of 0% for momentum breakout and a loss of 1.08% for the trend rule, which looks like a win for the momentum rule only because it did not trade. Volatility products were the worst group: median losses of 17.28% and 10.18%, with the trend rule ahead on all 3. Currency funds produced 0% against 2.14%, and the single commodity fund, IAU, went to the trend rule. Alternative-strategy funds had medians of 0% and 4%, and the trend rule won 5 of 6.
The rules are not tuned for any category. Each was run with its template parameters on every fund, which is why a fund type with low volatility, like bonds and currencies, produced no momentum trades. A different threshold on the momentum entry, a different trail width, or a different moving average would give different tables. The strategy pages list the parameter variants for each rule, and the momentum breakout versus SMA-200 regime comparison shows what happens when the trend rule loses its trailing stop.
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Frequently asked questions
Which is better: momentum breakout or trend + trailing stop?
On this 2021-01-04 to 2026-10-02 window, trend + trailing stop produced the higher CAGR on 36 of 59 ETFs. Median CAGR: momentum breakout 0.0% vs trend + trailing stop 2.6%; median max drawdown: 20.1% vs 31.1%. Which is better depends on the asset and what you optimize for. The per-ETF table shows where each wins.
Which is better, momentum breakout or SMA-200 trend with a trailing stop?
By median CAGR the trend rule was ahead, 2.61% against 0%, and it won 36 of 59 funds. Momentum breakout had the shallower median drawdown, 20.1% against 31.15%, because it was invested only 21.3% of the time at the median. Neither rule beat buy and hold on most funds.
Why is the median CAGR of momentum breakout exactly 0%?
On many of the 59 funds, the 20-day return never rose above 10%, so the rule never bought. Bond, currency and several alternative funds show 0% for this reason. A rule with no trades earns nothing and loses nothing.
Which rule had the smaller drawdowns?
Momentum breakout had the shallower maximum drawdown on 47 of 59 funds, with a median of 20.1% against 31.15%. The trend rule was invested 66.6% of the time at the median, so it took more of each decline. The comparison shifts on funds like EEM and VOX, where the trend rule had the smaller drawdown.
Did the two rules behave differently in 2022?
Yes. The median result was a loss of 5.7% for momentum breakout and a loss of 13.8% for the trend rule, and momentum breakout was ahead on 38 of 59 funds. It was the best year for the momentum rule in this window.
What happens if I run half the money in each rule?
The 50/50 blend, never rebalanced, had a median CAGR of 1.35% and a median maximum drawdown of 23.32%. It had a shallower drawdown than both single rules on 18 funds. On SPY the blend made 7.34% with a 21.66% maximum drawdown.
Which funds suit the trend rule best?
TQQQ is the standout at 25.03% a year, close to the 25.35% from buy and hold. TBF made 11.25%, IAU 13.09% and CLSE 18.72%. All were funds with long runs above the 200-day average.
Do these results include fees?
The headline run has no fees or slippage. The strategy pages add cost runs at 5 and 10 basis points. The window is 5.74 years of one market, so the figures describe this period and carry no forecast.
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.