DeployQuantALTY trading strategies, backtested
Global X Alternative Income ETF: a multi-asset income basket: MLPs, REITs, preferreds and more. Every DeployQuant template run on ALTY over 5.7 years of minute data, same engine, same window, sorted by return.
ALTY is the Global X Alternative Income ETF, a multi-asset income basket that holds MLPs, REITs, preferred shares and other income assets. The 12 DeployQuant templates ran on it from 2021-01-04 to 2026-10-02, each starting with $10,000. Buying and holding ALTY returned 7.61% a year, ended at $15,236, and had an 18.25% max drawdown. The Sharpe was 0.79. Prices in the backtest are adjusted for splits and dividends.
One of the 12 templates beat holding on CAGR and 9 had a shallower drawdown. Eleven had a positive CAGR. The one winner is the weekly 7% target at 8.42% a year with an 18.91% drawdown, and it beat holding by a narrow margin that costs remove. The monthly cycle came next at 7.24%, and the 3-month momentum rule made 4.52% with an 8.3% drawdown, which is the best risk profile in the table.
ALTY is a steady fund that fell in only one calendar year. A rule on it has to earn its return from a fund that rose 24.4% in 2021, fell 11.64% in 2022, and then rose between 10.23% and 11.29% in each of the next three years. Any template that spends part of that time in cash gives up a year of positive drift. Most templates here did, and the table shows what they got in exchange.
These are one backtest with daily-decision rules, no margin and no fees or slippage in the headline run. Two cost runs add 5 and 10 basis points. The results describe this fund in this window and do not forecast a later one.
| Strategy | CAGR | max DD | Sharpe | trades | win rate | final value |
|---|---|---|---|---|---|---|
| Weekly Entry + 7% Target | 8.4% | −18.9% | 0.91 | 57 | 26% (+1 open) | $15,904 |
| First-to-Last Day of Month | 7.2% | −18.5% | 0.77 | 69 | 65% (+1 open) | $14,940 |
| 3-Month Momentum Switch | 4.5% | −8.3% | 0.83 | 6 | 67% | $12,890 |
| EMA 12/26 Trend | 4.3% | −14.4% | 0.66 | 20 | 45% | $12,712 |
| RSI(2) Dip Snapback | 3.3% | −16.8% | 0.50 | 163 | 52% (+1 open) | $12,068 |
| SMA 10/50 Trend | 2.9% | −15.0% | 0.46 | 17 | 41% | $11,790 |
| RSI(14) Mean Reversion | 2.1% | −11.3% | 0.32 | 14 | 64% (+1 open) | $11,283 |
| 200-Day SMA Regime Filter | 1.8% | −12.1% | 0.31 | 15 | 20% | $11,101 |
| Golden Cross (SMA 50/200) | 1.6% | −13.1% | 0.26 | 3 | 33% (+1 open) | $10,972 |
| Drawdown Dip Buyer + 8% Target | 1.3% | −4.7% | 0.50 | 1 | 100% | $10,788 |
| SMA-200 Trend + 15% Trailing Stop | 0.1% | −30.0% | 0.06 | 2 | 0% (+1 open) | $10,068 |
| 20-Day Momentum + Trailing Stop | 0.0% | −0.0% | 0.00 | 0 | – | $10,000 |
| Buy & hold ALTY | 7.6% | −18.3% | 0.79 | – | – | $15,236 |
The weekly target and the monthly cycle, the two that stayed invested
The two templates closest to holding are the ones that were invested most of the time. The weekly 7% target was invested 91.9% of the time, the monthly cycle 95.2%. They are also the two that matched or beat holding. The weekly target made 57 round trips, won only 26%, and had an average win of 7.16% against an average loss of 1.32%, for a profit factor of 1.97. The monthly cycle made 69 round trips, won 65%, and had an average win of 2.37% against an average loss of 2.6%, for a profit factor of 1.69.
A 7% weekly target is very large for a fund with a 0.81% average intraday range, and most weeks it did not hit. The average hold was 32.7 days, because a trade that was not losing on Thursday carried on, often for several weeks until it either reached the target or turned negative at a Thursday check. The few trades that hit paid enough to cover the many small losses. The best trade was 7.54% and the worst was negative 5.63%. The longest loss streak was 9 trades.
In calendar terms the weekly target returned 20.6% in 2021, negative 13% in 2022, 11.5% in 2023, 9.5% in 2024, 18.2% in 2025 and 6.4% in 2026 to date. It beat holding in 2023, 2025 and 2026, and trailed it in 2021, 2022 and 2024. The 2025 gap in its favour is the largest, at 7.1 points, and the 2021 gap against it is 3.3. Its drawdown of 18.91% began on 2022-01-04, the day the fund peaked, and recovered on 2024-07-03, later than the fund's own recovery on 2024-03-28.
The advantage is thin and does not survive costs. At 5 basis points the weekly target falls to 5.74% a year with end equity of $13,780. At 10 basis points it falls to 4.89% and $13,154. Both are below holding at 7.61%. The monthly cycle falls from 7.24% to 5.98% and 4.73%. With 57 and 69 round trips, they pay costs often, and the fund returns too little per trade to carry them.
The monthly cycle lost 14.7% in 2022 against 11.4% for holding and 23.8% in 2021, in line with the fund's 23.9%. It beat holding in 2024, 2025 and 2026. Its max drawdown of 18.47% ran from 2021-11-01 to 2022-10-14 and recovered on 2024-09-05. In effect it is a calendar filter on a fund that it holds nearly all the time, so its result lands near the fund's own.
Trend and momentum rules on a steady income fund
The 3-month momentum rule is the most efficient template in the table. It made 6 round trips, won 4 of them, and was invested 45.8% of the time. The average win was 7.5% and the average loss was 1.33%. The profit factor was 11.16 and the max drawdown was 8.3%. It returned 4.52% a year, which is less than holding at 7.61%, and it had the lowest drawdown among the templates that traded regularly. Its Sharpe was 0.83, slightly above the fund's 0.79.
The mechanism is visible in the yearly returns. It made 9% in 2021, lost 3.2% in 2022, made 3.6% in 2023, 3.7% in 2024, 6.5% in 2025 and 6.7% in 2026. In 2022 it lost 3.2% against 11.4% for holding, a gap of 8.2 points in its favour. In 2021 it made 9% against 23.9%, because it started the window flat. A 63-day lookback with a 5% entry took most of the quiet years' return and left the 2022 decline mostly alone.
The EMA 12/26 trend rule made 4.27% with 20 round trips and a 14.38% drawdown. The SMA 10/50 trend made 2.91% with 17 round trips and a 15.02% drawdown, and the 200-day regime filter made 1.84% with 15 round trips, a 20% win rate, and a profit factor of 1.94. The golden cross made 1.63% with 3 round trips and a profit factor of 0.93. All four were slower than the fund in the rising years and beat it only in 2022 and in one or two others. The EMA and SMA rules gave 2022 returns of negative 8.3% and negative 10.1%, shallower than the fund's but not flat. The fund fell in a gradual grind in 2022, and the slow rules exited after much of the decline had happened.
The trend plus trailing stop rule is the weak result. It made 0.12% a year with 2 round trips, both losers, with an average loss of 14.5%. It lost 26.7% in 2022 and had a max drawdown of 30.04%, deeper than the fund's 18.25%. The 2022 loss shows that the position was open through the decline and gave back more than the fund lost. It is one of three templates in the table that drew down more than holding, along with the weekly target and the monthly cycle.
The momentum breakout rule made no trades and finished at $10,000. The dip buyer made one trade, a win of 8.04% in 2022, and was invested 2.5% of the time. Both show how a fund with a 10.41% annualized volatility seldom meets the entry conditions of rules built for more volatile funds.
The RSI rules and why oversold readings were short-lived
The 14-day RSI closed under 30 on 40 sessions. After those sessions the median 5-day forward return was 1.09% against a baseline of 0.19%, and the median 20-day return was 2.04% against 0.99%. The sample sizes were 35 and 32. The 2-day RSI closed under 10 on 130 sessions, with a median 5-day return of 0.26% and a median 20-day return of 0.91%, close to the baselines of 0.19% and 0.99%. The deeper, slower oversold reading carried more information than the 2-day reading.
That matches the template results. The RSI mean reversion template made 2.12% a year with 14 round trips and a 64% win rate. The average win was 2.55% and the average loss was 1.49%, which gives a profit factor of 3.07. It was invested 29.7% of the time, and its max drawdown was 11.28%. It returned 0.4% in 2022 against negative 11.4% for holding, and 8.9% in 2024. Its returns were small, because it spent most of the window in cash waiting for an oversold reading that came rarely. The cost runs barely changed it: 1.87% at 5 basis points and 1.62% at 10.
The RSI(2) snapback is the opposite case. It made 163 round trips, won 52%, and was invested 36.6% of the time. Its average win of 0.96% was above its average loss of 0.74%, with a profit factor of 1.34, but its worst trade was negative 7.33%. It made 3.33% a year with a 16.83% drawdown. The 2021 return was 14.4% and the 2022 return was negative 4.9%.
Costs remove the snapback's return. At 5 basis points the CAGR falls to 0.48%, with end equity of $10,281. At 10 basis points it is negative 2.28%, with end equity of $8,759 and a drawdown of 22.42%. The fund's average daily dollar volume was $162,542 and the median minute volume was 287 shares. That is a thin fund, so the cost runs are more relevant here than on a large fund, and the 10 basis point run is closer to the likely experience of a frequent trader in a fund of this size.
The contrast between the two RSI rules is the main finding in this section. The slow version trades rarely and keeps a high profit factor. The fast version trades often and has a profit factor that costs erase. On a fund that moves 0.48% on an average up day, a trade that wins 0.96% on average has little room for friction.
How each strategy traded ALTY
| Strategy | Time in market | Avg hold (days) | Best trade | Worst trade | Profit factor | With 10 bps slippage |
|---|---|---|---|---|---|---|
| weekly 7% target | 91.9% | 33 | 7.5% | −5.6% | 1.97 | 4.9% |
| monthly cycle | 95.2% | 28 | 6.0% | −9.0% | 1.69 | 4.7% |
| 3-month momentum | 45.8% | 160 | 14.0% | −2.4% | 11.16 | 4.3% |
| EMA 12/26 trend | 68.9% | 73 | 13.7% | −3.9% | 2.41 | 3.6% |
| RSI(2) snapback | 36.6% | 5 | 3.9% | −7.3% | 1.34 | −2.3% |
| SMA 10/50 trend | 66.8% | 83 | 11.3% | −5.0% | 1.83 | 2.3% |
| RSI mean reversion | 29.7% | 43 | 4.5% | −3.5% | 3.07 | 1.6% |
| 200-day regime filter | 64.9% | 91 | 14.5% | −3.2% | 1.94 | 1.3% |
| golden cross | 64.6% | 299 | 11.0% | −5.5% | 0.93 | 1.5% |
| dip buyer | 2.5% | 52 | 8.0% | 8.0% | – | 1.3% |
| trend + trailing stop | 79.2% | 150 | −13.8% | −15.2% | – | 0.0% |
| momentum breakout | 0.0% | – | – | – | – | 0.0% |
Trade statistics and cost sensitivity
The trade table groups the templates by holding period. The golden cross held for 299.3 days on average, the 3-month momentum rule for 160.2, the 200-day filter for 90.7, the SMA 10/50 trend for 83.1 and the EMA trend for 72.5. The RSI mean reversion template held 43.3 days, the weekly target 32.7 days, the monthly cycle 28.4 and the snapback 4.5. The dip buyer held its single trade for 52 days.
Cost sensitivity follows the same order. The golden cross barely moved, from 1.63% to 1.51% at 10 basis points. The trend plus trailing stop rule went from 0.12% to 0.04%. The 3-month momentum rule went from 4.52% to 4.31%. The 200-day filter went from 1.84% to 1.32%, the EMA trend from 4.27% to 3.56%, and the SMA 10/50 trend from 2.91% to 2.32%. The most active rules moved the most.
At 10 basis points, the ranking of the templates changes. The weekly target is at 4.89%, the monthly cycle at 4.73%, the 3-month momentum rule at 4.31% and the EMA trend at 3.56%. None of them beats holding. The 3-month momentum rule stays at 4.31% with an 8.67% drawdown.
Win rates and profit factors tell different stories. The 200-day filter won 20% of 15 trades and the weekly target 26% of 57, and both still had profit factors near 2 because the average win was far above the average loss. The monthly cycle won 65% with a profit factor of 1.69. The trend and trailing-stop rule won 0% of 2 trades. There is no single shape that works on this fund.
The longest loss streaks were 9 trades for the weekly target, 7 for the snapback and the 200-day filter, and 5 for the EMA and SMA trend rules.
How ALTY behaved
| Measure | ALTY |
|---|---|
| Data in this test | 2021-01-04 to 2026-10-02 (1444 sessions) |
| Total return, buy and hold | 55.4% |
| Annualized volatility | 10.4% |
| Deepest drawdown | −18.6% (2022-01-04 to 2022-10-14) |
| Up days | 52.1% |
| Average daily range | 0.81% |
| Average overnight gap | 0.41% |
| Correlation to SPY | 0.75 |
| Correlation to QQQ | 0.65 |
| Correlation to TLT | 0.23 |
| Sessions above the 200-day average | 75.3% |
| Crossings of the 200-day average | 29 |
| Falls of 10% or more from a 20-day high | 1 |
Calendar years
| Year | Return |
|---|---|
| 2021 | 24.4% |
| 2022 | −11.6% |
| 2023 | 10.9% |
| 2024 | 10.2% |
| 2025 | 11.3% |
| 2026 (part) | 4.0% |
Biggest single days
| Best day | Move |
|---|---|
| 2025-04-09 | 4.7% |
| 2022-11-10 | 3.1% |
| 2022-10-04 | 2.4% |
| 2022-02-25 | 2.3% |
| 2022-05-13 | 2.1% |
| Worst day | Move |
|---|---|
| 2025-04-04 | −4.3% |
| 2022-06-13 | −4.0% |
| 2021-05-12 | −3.0% |
| 2025-04-10 | −2.9% |
| 2022-09-29 | −2.5% |
Average return by calendar month
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 1.9% | 0.7% | 0.7% | 0.4% | 0.3% | 0.5% | 2.4% | −0.2% | −2.4% | 0.8% | 2.9% | 0.5% |
Most and least correlated funds
| Most correlated | Least correlated | ||
|---|---|---|---|
| VOOV | 0.77 | SPDN | -0.75 |
| VTV | 0.76 | SDS | -0.75 |
| SSO | 0.75 | SH | -0.75 |
| VOO | 0.75 | QID | -0.65 |
| SPY | 0.75 | SQQQ | -0.65 |
What ALTY did in the window
ALTY's price series returned 55.44% in total, or 7.99% a year, with an annualized volatility of 10.41%. Its calendar years were 24.4% in 2021, negative 11.64% in 2022, 10.87% in 2023, 10.23% in 2024, 11.29% in 2025 and 3.97% in 2026 to date. The max drawdown was 18.56%, from the peak on 2022-01-04 to the trough on 2022-10-14, and the fund recovered on 2024-03-28. The longest time under a prior high was 559 sessions.
The buy-and-hold record shows two more drawdowns. A 9.82% decline ran from 2025-02-20 to 2025-04-08 and recovered on 2025-07-24. A 4.63% decline began on 2026-08-27 and had not recovered by the end of the window. The fund had 1 drawdown event of 10% or more inside 20 days, covering 2 sessions.
The fund rose on 52.11% of sessions, with an average up day of 0.48% and an average down day of negative 0.51%. The best days were 4.72% on 2025-04-09, 3.06% on 2022-11-10 and 2.39% on 2022-10-04. The worst were negative 4.29% on 2025-04-04, negative 3.95% on 2022-06-13 and negative 3% on 2021-05-12. The 2025-04-04 loss and the 2025-04-09 gain are the same pair of days that moved the equity funds the most in the window.
The overnight and intraday split is lopsided. The overnight log return was 111.96% and the intraday log return was negative 69.06%, which gives an overnight share of 260.96% and an intraday share of negative 160.96%. The fund earned more than its whole return between the close and the next open and lost value during trading hours. A rule that bought the open and sold the close would have lost money in the window. All the templates here hold through nights, with the weekly target exiting at 2:00pm on a Thursday only when the trade is losing.
First-order autocorrelation was 0.01. The fund closed above its 200-day average on 75.26% of sessions and crossed it 29 times, which explains why the 200-day filter made 15 round trips and the trend rules made 17 to 20. A fund that sits above its long average three-quarters of the time rewards a rule that stays in.
Correlation to stocks and bonds
ALTY's beta to SPY was 0.48 and to QQQ 0.3, with correlations of 0.75 and 0.65. Its beta to TLT was 0.16 and its correlation to TLT was 0.23. The funds most correlated with it are VOOV at 0.77, VTV at 0.76, and SSO, VOO and SPY at 0.75. The least correlated are the inverse equity funds SPDN, SDS and SH at negative 0.75, and QID and SQQQ at negative 0.65.
Those figures place ALTY between stocks and bonds. It moves with value-oriented equity funds more than with the Nasdaq, which is consistent with an income basket of REITs, MLPs and preferreds. The 2021 return of 24.4% shows that the fund also took part in the rise.
The average return by calendar month was highest in November at 2.86%, July at 2.39% and January at 1.94%. It was lowest in September at negative 2.43% and August at negative 0.23%. Each month has 5 or 6 observations, and the averages describe this window and do not give a seasonal rule. September also had the fund's worst calendar month in the backtest, negative 9.17% in 2022-09.
The other alternative-strategy funds
ALTY's peers in the alternative-strategy group differ in what they hold, and the best template differs with them. On CTA, a managed futures fund, holding made 8.9% and the monthly cycle made 13.3%. On KMLM holding made 7.07% and the monthly cycle made 8.06%. On RINF holding made 6.63% and the RSI(2) snapback made 8.52%. On QAI holding made 3.89% and the golden cross made 4.28%. On CLSE, a long and short equity fund, holding made 19.49% and the weekly target made 21.66%.
In each of those the best template beat holding. On ALTY the best template beat holding by a narrow margin only before costs. That difference shows how fund-specific the results are. A rule that works on one alternative fund says little about another, because the funds hold different assets with different trends. Rules that pay on a managed futures fund do not necessarily carry to an income basket that mostly drifts upward.
The test stops at one fund and one window. It does not model a regime with rising rates for an income fund, thin-market spreads beyond the flat cost runs, or the distributions the fund pays, beyond what the adjusted prices include. The results show how each rule handled this fund between 2021-01-04 and 2026-10-02.
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Frequently asked questions
What was the best strategy for ALTY?
Of the 12 templates tested on ALTY over 2021-01-04 to 2026-10-02, the strongest by CAGR was weekly 7% target at 8.4% (max drawdown 18.9%), versus 7.6% for buy-and-hold. The best result in hindsight is not a forecast. Check drawdowns and trade counts before drawing conclusions.
Did any strategy beat buying and holding ALTY?
1 of 12 templates beat ALTY buy-and-hold (7.6% CAGR) on this window; 9 of 12 had a shallower maximum drawdown than holding (18.3%).
Which strategy worked best on ALTY?
The weekly 7% target returned 8.42% a year, against 7.61% for buy-and-hold, with an 18.91% drawdown. It did not survive costs, falling to 5.74% at 5 basis points. The 3-month momentum rule made 4.52% with an 8.3% max drawdown, the lowest drawdown of the active templates.
Did any strategy beat buy-and-hold ALTY after costs?
No. At 5 basis points the best result was 5.98% for the monthly cycle, and at 10 basis points it was 4.89% for the weekly target. Holding made 7.61% in the headline run.
How did ALTY do in 2022?
ALTY lost 11.64% in 2022 and had an 18.56% drawdown from 2022-01-04 to 2022-10-14. It recovered on 2024-03-28. The RSI mean reversion template returned 0.4% that year and the 3-month momentum rule lost 3.2%.
Why did the RSI(2) snapback do poorly after costs on ALTY?
It averaged 0.96% on wins and negative 0.74% on losses over 163 round trips. At 5 basis points its CAGR fell from 3.33% to 0.48%, and at 10 it was negative 2.28%. The fund also trades only about $162,542 a day.
Does ALTY behave like stocks or bonds?
It sits between them. Its correlation to SPY was 0.75 and to TLT was 0.23, with a beta to SPY of 0.48. It is most correlated with the value funds VOOV and VTV.
How many trades did the strategies make on ALTY?
The monthly cycle made 69 round trips, the RSI(2) snapback 163 and the weekly target 57. The golden cross made 3 and the dip buyer 1. The momentum breakout made none.
Other alternative-strategy etfs
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.