First-to-Last Day of Month vs 3-Month Momentum Switch
Two rule sets, 59 ETFs, one engine and window — a genuinely like-for-like comparison.
| monthly cycle | 3-month momentum | |
|---|---|---|
| Median CAGR (59 ETFs) | 6.2% | 0.1% |
| Median max drawdown | −36.7% | −26.8% |
| ETFs won (by CAGR) | 42 | 17 |
| Style | understanding how much of an asset's return accrues inside the month versus across month boundaries | assets with long, persistent cycles — index, sector, and even managed-futures ETFs |
Where the gap was biggest
| ETF | monthly cycle | 3-month momentum | gap |
|---|---|---|---|
| UST | −7.7% | −100.0% | 92.3% |
| SOXS | −50.5% | −14.2% | 36.3% |
| TECS | −45.5% | −17.1% | 28.4% |
| TECL | 27.3% | 6.8% | 20.4% |
| FAS | 20.1% | 1.0% | 19.1% |
| REW | −34.1% | −15.6% | 18.5% |
| TMF | −30.8% | −13.6% | 17.2% |
| SQQQ | −40.3% | −24.4% | 15.8% |
| ROM | 21.3% | 7.5% | 13.8% |
| XLK | 18.1% | 5.5% | 12.6% |
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Frequently asked questions
Which is better: monthly cycle or 3-month momentum?
On this 2021-01-04–2026-07-17 window, monthly cycle produced the higher CAGR on 42 of 59 ETFs. Median CAGR: monthly cycle 6.2% vs 3-month momentum 0.1%; median max drawdown: 36.7% vs 26.8%. "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.