CTA trading strategies, backtested
Simplify Managed Futures Strategy ETF — a systematic managed-futures program in an ETF wrapper. Every DeployQuant template run on CTA over 5.5 years of minute data, same engine, same window, sorted by return.
| Strategy | CAGR | max DD | Sharpe | trades | win rate | final value |
|---|---|---|---|---|---|---|
| Weekly Entry + 7% Target | 11.2% | −19.6% | 0.74 | 40 | 38% | $15,850 |
| First-to-Last Day of Month | 9.5% | −21.1% | 0.67 | 53 | 62% | $14,869 |
| SMA-200 Trend + 15% Trailing Stop | 3.7% | −20.3% | 0.33 | 2 | 50% | $11,713 |
| EMA 12/26 Trend | 3.2% | −19.1% | 0.30 | 18 | 33% | $11,454 |
| SMA 10/50 Trend | 3.0% | −16.4% | 0.29 | 16 | 50% | $11,397 |
| RSI(2) Dip Snapback | 3.0% | −17.4% | 0.33 | 117 | 60% | $11,369 |
| RSI(14) Mean Reversion | 2.5% | −15.0% | 0.34 | 10 | 80% | $11,138 |
| Golden Cross (SMA 50/200) | 1.5% | −20.1% | 0.18 | 4 | 25% | $10,665 |
| Drawdown Dip Buyer + 8% Target | 0.5% | −13.3% | 0.13 | 1 | 100% | $10,202 |
| 3-Month Momentum Switch | −0.8% | −23.2% | 0.00 | 9 | 44% | $9,642 |
| 200-Day SMA Regime Filter | −1.9% | −18.6% | -0.08 | 23 | 30% | $9,208 |
| 20-Day Momentum + Trailing Stop | −4.0% | −20.1% | -0.39 | 4 | 25% | $8,384 |
| Buy & hold CTA | 7.2% | −20.2% | 0.52 | — | — | $13,564 |
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
What was the best strategy for CTA?
Of the 12 templates tested on CTA over 2021-01-04–2026-07-17, the strongest by CAGR was weekly 7% target at 11.2% (max drawdown 19.6%), versus 7.2% for buy-and-hold. Best-in-hindsight is not a forecast — check drawdowns and trade counts before drawing conclusions.
Did any strategy beat buying and holding CTA?
2 of 12 templates beat CTA buy-and-hold (7.2% CAGR) on this window; 9 of 12 had a shallower maximum drawdown than holding (20.2%).
Other alternative-strategy etfs
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.