DeployQuantCTA trading strategies, backtested
Simplify Managed Futures Strategy ETF: a systematic managed-futures program in an ETF wrapper. Every DeployQuant template run on CTA over 5.7 years of minute data, same engine, same window, sorted by return. CTA data starts 2022-03-08, so its results cover a shorter span.
CTA is the Simplify Managed Futures Strategy ETF, which wraps a systematic managed-futures program in an ETF. Its data in this study starts on 2022-03-08, not 2021-01-04, so every result here covers 1,147 sessions to 2026-10-02 and misses 2021 and the first two months of 2022. Over that stretch the fund returned 49.49% in total, a 9.2% CAGR, with annualized volatility of 17.71%. Buy-and-hold in the strategy engine ended at $14,765, an 8.9% CAGR, with a maximum drawdown of 20.53%.
Two of the 12 templates beat holding on CAGR: the monthly cycle at 13.3% and the weekly 7% target at 10.63%. Six had a shallower drawdown than holding, and 9 finished with a positive CAGR. Three lost money: 3-month momentum, momentum breakout and the 200-day filter.
CTA is a different kind of fund from the stock and bond ETFs around it. It had a correlation of -0.15 to SPY and -0.28 to TLT. It gained in 2022, lost slightly in 2023, rose 24.09% in 2024 and has gained in 2026. The two rules that held the fund most of the time did best. The trend-following rules did poorly on a fund that is itself a trend follower. One day in March 2023 moved almost every result.
| Strategy | CAGR | max DD | Sharpe | trades | win rate | final value |
|---|---|---|---|---|---|---|
| First-to-Last Day of Month | 13.3% | −21.2% | 0.83 | 54 | 65% (+1 open) | $17,695 |
| Weekly Entry + 7% Target | 10.6% | −23.2% | 0.71 | 88 | 24% (+1 open) | $15,867 |
| RSI(2) Dip Snapback | 5.5% | −17.5% | 0.54 | 126 | 62% | $12,758 |
| SMA-200 Trend + 15% Trailing Stop | 5.5% | −20.6% | 0.42 | 2 | 50% (+1 open) | $12,757 |
| SMA 10/50 Trend | 3.9% | −17.1% | 0.34 | 16 | 50% (+1 open) | $11,897 |
| Drawdown Dip Buyer + 8% Target | 3.4% | −13.7% | 0.49 | 2 | 100% | $11,635 |
| EMA 12/26 Trend | 3.1% | −19.1% | 0.28 | 19 | 32% (+1 open) | $11,512 |
| RSI(14) Mean Reversion | 3.0% | −15.0% | 0.41 | 11 | 73% | $11,438 |
| Golden Cross (SMA 50/200) | 1.4% | −20.1% | 0.17 | 5 | 40% | $10,631 |
| 3-Month Momentum Switch | −1.6% | −23.3% | -0.06 | 9 | 44% (+1 open) | $9,308 |
| 20-Day Momentum + Trailing Stop | −2.8% | −27.4% | -0.20 | 4 | 25% (+1 open) | $8,777 |
| 200-Day SMA Regime Filter | −3.0% | −22.8% | -0.15 | 25 | 24% (+1 open) | $8,691 |
| Buy & hold CTA | 8.9% | −20.5% | 0.59 | – | – | $14,765 |
Why the monthly cycle and the weekly target came out ahead
The monthly cycle was invested 93.7% of the time, made 54 round trips and won 65% of them. The average win was 3.91% and the average loss 3.82%, with a profit factor of 1.74. It ended at $17,695 with a Sharpe ratio of 0.84. Its drawdown of 21.17% was slightly deeper than holding's 20.53%, and its CAGR was 4.4 points higher. It beat holding in four calendar years: 17.1% against 9.2% in 2022, 25.9% against 23.6% in 2024, 3.4% against 0.8% in 2025 and 20.5% against 11.4% in 2026. It trailed in 2023, at -3.7% against -2.1%.
The monthly cycle has no signal. It owns the fund from the first session to the last of each month and skips the boundary days. The template's description says its results usually track buy-and-hold minus those days, and on CTA it finished ahead of holding. The data here offers no test of whether that repeats. The fund's own pattern by month is uneven: it averaged 6.13% in February and 5.78% in April, against -2.64% in March and -2.44% in May, from only four or five observations each. The monthly template's best trades were February 2023 at 10.36% and April 2024 at 9.71%, and its worst month was March 2023 at -13.42%.
The weekly target returned 10.63% with a drawdown of 23.2%, deeper than holding's. It was invested 84% of the time and made 88 round trips with a 24% win rate. The average win was 7.51% and the average loss 1.54%, with a profit factor of 1.44. It beat holding in 2022, with 22.3% against 9.2%, and in 2025, with 16.2% against 0.8%. It fell behind in 2023, 2024 and 2026. Its best trade, 11.11%, was held 23 days from 2022-04-04 to 2022-04-27. CTA's average intraday range is 1.16%, so a 7% weekly target takes a trending run to fill, and the template's average hold of 14.7 days shows that most winners took two weeks or more.
A longest losing streak of 10 trades and a 24% win rate show the template's profile here: many small losses of about 1.5% and a few large wins. It needs the fund to move, and it beat holding in 2022 and 2025.
Trend and momentum rules on a trend-following fund
The trend rules lagged. Trend plus trailing stop and the RSI(2) snapback both returned 5.47%. SMA 10/50 returned 3.87%, the dip buyer 3.37%, EMA 12/26 3.13%, RSI mean reversion 2.98% and golden cross 1.35%. Below zero were 3-month momentum at -1.56%, momentum breakout at -2.81% and the 200-day regime filter at -3.02%.
None of the seven trend and momentum rules beat holding in more than one year. Trend plus trailing stop made two round trips, one losing 7.99% from 2022-12-28 to 2023-03-13, and one that began on 2023-07-12 and closed on 2026-06-15 at a gain of 30.12% over 1,069 days. Between them they produced 5.47%. A second position opened on 2026-06-15 was up 7.01% at the end of the window. Golden cross made 5 round trips and won 2, with the best at 19.49% over 492 days from 2024-03-05, and a drawdown of 20.08%.
The fast trend rules were whipsawed. EMA 12/26 won 32% of its 19 round trips, with an average win of 8.43% and an average loss of 2.86%. Its worst trade lost 9.61% from 2023-02-13 to 2023-03-15, which is the March 2023 episode. SMA 10/50 won 50% of 16 and its worst trade lost 10.46% over the same weeks. The 200-day filter won 24% of 25, with a losing streak of 7 and a profit factor of 0.55.
CTA crossed its 200-day average 51 times in a window of 1,147 sessions and was above it 70.04% of the time. A fund whose own signals flip often does not give a long moving average much to follow. A managed-futures program already trades trends, and when one more trend rule is applied on top of it the two signals can arrive at the same time or late. The data does not show that mechanism directly. It shows low win rates and low profit factors on the rules that wait for confirmation.
The March 2023 day
Almost every template has its worst month in March 2023. For holding it was -13.98%, with the worst day on 2023-03-13 at -11.66% and another on 2023-03-10 at -4.56%. The monthly cycle's worst month was -13.42%, and its worst trade was -13.7% from 2023-03-01 to 2023-03-31. The RSI(2) snapback lost 12.99% in the month and its worst trade was -11.82% from 2023-03-10 to 2023-03-22. The weekly target's worst trade, -13.06%, ran from 2023-02-27 to 2023-03-16. SMA 10/50 lost 12.56%, EMA 12/26 lost 13.57%, golden cross entered in August 2023 and avoided it, and the 200-day filter lost 10.45% in the month.
Only a template that was in cash on 2023-03-13 avoided the move. The facts do not say what caused it. They show that CTA's worst day is far larger than the next-worst, which was -5% on 2026-04-08. That session sits inside the 2023 drawdown of most templates, and 2023 was the worst of the five years for several of them: -3.7% for the monthly cycle, -6.4% for the weekly target, -9.4% for the RSI(2) snapback and -11.8% for EMA 12/26 and the 200-day filter.
The fund took until 2024-04-10 to recover from that drawdown, which reached 17.69% in the holding series from 2022-11-03 to 2023-03-31. The second drawdown, 10.8%, ran from 2025-02-19 to 2025-08-04. The third and current one started on 2026-05-04 and had reached 20.53% by 2026-08-04 without a recovery.
How each strategy traded CTA
| Strategy | Time in market | Avg hold (days) | Best trade | Worst trade | Profit factor | With 10 bps slippage |
|---|---|---|---|---|---|---|
| monthly cycle | 93.7% | 28 | 10.4% | −13.7% | 1.74 | 10.7% |
| weekly 7% target | 84.0% | 15 | 11.1% | −13.1% | 1.44 | 6.3% |
| RSI(2) snapback | 38.3% | 5 | 5.0% | −11.8% | 1.32 | −0.1% |
| trend + trailing stop | 75.1% | 572 | 30.1% | −8.0% | 3.48 | 5.4% |
| SMA 10/50 trend | 60.2% | 60 | 9.7% | −10.5% | 1.42 | 3.1% |
| dip buyer | 13.0% | 109 | 8.1% | 8.0% | – | 3.4% |
| EMA 12/26 trend | 62.6% | 52 | 16.9% | −9.6% | 1.24 | 2.3% |
| RSI mean reversion | 33.7% | 52 | 6.4% | −6.4% | 2.52 | 2.5% |
| golden cross | 55.5% | 186 | 19.5% | −5.1% | 1.53 | 1.1% |
| 3-month momentum | 46.1% | 83 | 9.1% | −12.8% | 0.83 | −2.0% |
| momentum breakout | 38.7% | 143 | 4.5% | −11.1% | 0.19 | −3.0% |
| 200-day regime filter | 57.8% | 38 | 17.6% | −8.4% | 0.55 | −4.1% |
Hold times, costs and liquidity
Time in market ran from 13% for the dip buyer to 93.7% for the monthly cycle. Average hold ran from 5.1 days for the RSI(2) snapback to 572 days for trend plus trailing stop. The dip buyer made two round trips and won both, each near 8%: 2023-03-14 to 2023-07-06 and 2026-05-29 to 2026-09-10. It entered the day after the worst day in the window and held 114 days to the target. Its second trade entered while the 2026 drawdown was still developing and held 104 days.
The cost runs sort the rules by turnover. The RSI(2) snapback went from 5.47% to 2.66% at 5 basis points and to -0.07% at 10, with a drawdown of 22.06%. It made 126 round trips. The weekly target went from 10.63% to 8.03% and 6.29%. The monthly cycle went from 13.3% to 12% and 10.7%. The slow rules barely moved: trend plus trailing stop went from 5.47% to 5.36%, golden cross from 1.35% to 1.14%, and the dip buyer from 3.37% to 3.36%.
At 10 basis points the order changes. The monthly cycle at 10.7% is first, the weekly target at 6.29% second, trend plus trailing stop at 5.36% third, and the RSI(2) snapback drops to -0.07%, which is below the 8.9% of holding by a wide margin. Only the monthly cycle still beats holding at 10 basis points. The weekly target at 6.29% does not.
CTA trades $6,875,224 in average daily dollar volume and a median of 512 shares a minute. That is modest, and a $10,000 account is small against it, but spreads are not measured in the test.
Where the trend rules made and lost their money
The trend rules on CTA made most of their money in a few long holds and gave back a lot in whipsaws. The EMA 12/26 rule's best trade ran 211 days from 2022-04-14 at 19.06 to 2022-11-11 at 22.29 for 16.95%. Its next two winners were 11.15% over 187 days from 2024-10-03 and 10.48% over 122 days from 2024-02-06. Of its 19 round trips only 32% won, and its median trade lost 0.8%. In 2023 it went 2 for 5, in 2024 and 2025 it won 1 of 5 each year, and 2026 so far is 1 for 3.
The SMA 10/50 rule found the same winners a little later: 9.67% over 126 days from 2024-02-08, 9.55% over 188 days from 2024-10-04 and 8.59% over 112 days from 2025-12-30. It won 1 of 5 round trips in 2025, which is where its negative 8.2% year came from. The golden cross rule is the slowest of the three. Its single big winner was 19.49% over 492 days from 2024-03-05 to 2025-07-10. The other four trades returned 0.38%, negative 2.26%, negative 5.11% and negative 4.33%, so 5 trades and a 40% win rate gave a profit factor of 1.53 and a 1.35% CAGR.
The 200-day regime filter shows the cost of a slow average on a fund that crosses it often. It made 25 round trips with a 24% win rate and a median hold of 6 days. Its one large trade was 17.59% over 480 days from 2024-02-05 to 2025-05-30. In 2023 it made 10 round trips and won 3, in 2024 it made 3 and won none, and in 2025 it made 8 and won 1. One 4-day trade in July 2026 lost 5.33%. The fund was above its 200-day average on 70.04% of sessions and crossed it 51 times, which is the source of those short, losing trips.
The momentum breakout rule had 4 completed trades and 1 winner, 4.49% over 401 days from 2024-04-23. Its losers were 11.06% in 14 days from 2023-02-27, 9.09% in 26 days from 2026-05-01 and 1.26% in 131 days from 2022-07-06. The 3-month momentum rule lost 12.8% in 7 days from 2023-03-07 and 4.41% over 58 days from 2023-09-18, and none of its 3 trades in 2023 won. Its best trade, 9.06% over 159 days from 2022-06-10, came in the first year of the data.
The weekly 7% target made 88 round trips and won 24%. Its best trade was 11.11% over 23 days from 2022-04-04, and its worst was a 13.06% loss from 2023-02-27 to 2023-03-16. The median trade lost 0.64% and the median hold was 10 days. In 2026 it made 24 round trips and won 6, the most trades in any year, in a year when the fund fell 20.81% from its May peak to its August low.
How CTA behaved
| Measure | CTA |
|---|---|
| Data in this test | 2022-03-08 to 2026-10-02 (1147 sessions) |
| Total return, buy and hold | 49.5% |
| Annualized volatility | 17.7% |
| Deepest drawdown | −20.8% (2026-05-04 to 2026-08-04) |
| Up days | 52.1% |
| Average daily range | 1.16% |
| Average overnight gap | 0.53% |
| Correlation to SPY | -0.15 |
| Correlation to QQQ | -0.13 |
| Correlation to TLT | -0.28 |
| Sessions above the 200-day average | 70.0% |
| Crossings of the 200-day average | 51 |
| Falls of 10% or more from a 20-day high | 6 |
Calendar years
| Year | Return |
|---|---|
| 2022 (part) | 9.4% |
| 2023 | −2.2% |
| 2024 | 24.1% |
| 2025 | 0.8% |
| 2026 (part) | 11.6% |
Biggest single days
| Best day | Move |
|---|---|
| 2026-08-10 | 4.4% |
| 2026-09-10 | 4.3% |
| 2026-04-02 | 4.3% |
| 2022-07-05 | 4.2% |
| 2026-04-29 | 3.8% |
| Worst day | Move |
|---|---|
| 2023-03-13 | −11.7% |
| 2026-04-08 | −5.0% |
| 2026-03-23 | −4.9% |
| 2026-07-27 | −4.8% |
| 2023-03-10 | −4.6% |
Average return by calendar month
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 0.5% | 6.1% | −2.6% | 5.8% | −2.4% | −1.4% | 1.7% | 2.1% | 2.6% | −0.4% | −1.2% | −0.1% |
Most and least correlated funds
| Most correlated | Least correlated | ||
|---|---|---|---|
| KMLM | 0.43 | IEI | -0.39 |
| TBF | 0.28 | AGG | -0.36 |
| USDU | 0.24 | BND | -0.36 |
| EEV | 0.18 | IEF | -0.35 |
| SH | 0.15 | IGIB | -0.35 |
How CTA behaved
CTA returned 9.44% in the part of 2022 in the data, -2.16% in 2023, 24.09% in 2024, 0.85% in 2025 and 11.56% so far in 2026. The 2024 gain was the largest. The weekly target returned 13.8% that year against 23.6% for holding in the strategy engine's accounting, while the monthly cycle returned 25.9%.
The deepest drawdown in the fund's price series was 20.81% from 2026-05-04 to 2026-08-04, and it had not recovered by the end of the window. The longest drawdown lasted 357 sessions. The best days were 2026-08-10 at 4.41%, 2026-09-10 at 4.31%, 2026-04-02 at 4.26%, 2022-07-05 at 4.16% and 2026-04-29 at 3.79%. The worst were 2023-03-13 at -11.66%, 2026-04-08 at -5%, 2026-03-23 at -4.88%, 2026-07-27 at -4.76% and 2023-03-10 at -4.56%. Four of the five best days came in 2026.
Up days were 52.09% of sessions, with an average up day of 0.79% and an average down day of -0.81%. The average intraday range was 1.16% and the average overnight gap was 0.53%. Of the total return, 82.41% came intraday and 17.59% overnight, with an intraday log return of 32.71% and an overnight log return of 6.98%. A rule that buys at the open and sells at the close would have kept most of CTA's gain.
By calendar month, February averaged 6.13%, April 5.78% and September 2.59%, while March averaged -2.64% and May -2.44%. With four or five observations each, one year moves the average.
RSI statistics and relationships to other funds
RSI(14) closed below 30 on 23 sessions, and the median forward 5-day return after those was 0.59% against a baseline of 0.45%. The 20-day return was 3.05% against 0.95%. RSI(2) closed below 10 on 139 sessions, with a median 5-day return of 0.64% and a 20-day return of 1.44%. Both sets of readings were above the baseline. The RSI mean reversion template won 73% of its 11 trades with a profit factor of 2.52 and returned 2.98%. It was invested 33.7% of the time, and one trade, 2026-06-03 to 2026-07-22, lost 6.44%. The RSI(2) snapback won 62% and returned 5.47%.
Falls of 10% or more from a 20-day high happened in 6 episodes across 42 days. CTA's lag-1 autocorrelation was 0.07, a small positive figure. The fund's beta to SPY was -0.16, to QQQ -0.1 and to TLT -0.32. The most correlated funds were KMLM at 0.43, TBF at 0.28 and USDU at 0.24, and the least correlated were IEI at -0.39, AGG and BND at -0.36 and IEF at -0.35.
Other alternative-strategy funds in the study give a comparison. On KMLM, another managed-futures fund, the monthly cycle led at 8.06% against 7.07% for holding, the same template that led on CTA. On RINF the RSI(2) snapback led at 8.52% against 6.63%, on QAI golden cross led at 4.28% against 3.89%, on CLSE the weekly target returned 21.66% against 19.49%, and on ALTY it returned 8.42% against 7.61%. The monthly cycle won on both managed-futures funds.
Limits
The window is 1,147 sessions, shorter than most pages in this study, and it begins in March 2022. The headline run has no fees or slippage, uses $10,000 and no margin, and fills on minute bars from daily decisions. Several of the results depend on a single month, March 2023, and a single trade. The facts describe what happened in the window.
Build it from blocks (or type it in English), backtest it on 5.7 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 to 2026-10-02, the strongest by CAGR was monthly cycle at 13.3% (max drawdown 21.2%), versus 8.9% 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 CTA?
2 of 12 templates beat CTA buy-and-hold (8.9% CAGR) on this window; 6 of 12 had a shallower maximum drawdown than holding (20.5%).
Which strategy was best on CTA?
The monthly cycle had the highest CAGR at 13.3%, against 8.9% for buy-and-hold, and a Sharpe ratio of 0.84. Its drawdown was 21.17%, slightly deeper than holding's 20.53%. The weekly 7% target was second at 10.63%.
Why does the CTA data start in March 2022?
The facts file shows CTA's first day as 2022-03-08, with 1,147 sessions to 2026-10-02. Every result on the page therefore covers a shorter window than the one used for most funds. The data does not state why the history begins there.
What happened to CTA on 2023-03-13?
It fell 11.66% in one session, its worst day in the window. The month of March 2023 was -13.98% for holding and was the worst month for 9 of the 12 templates. The facts do not say what caused it.
Do trend strategies work on a managed-futures ETF?
Not well in this window. Trend plus trailing stop returned 5.47%, SMA 10/50 3.87%, EMA 12/26 3.13% and golden cross 1.35%, all below the 8.9% from holding. The 200-day filter lost 3.02% a year.
Is CTA correlated with the stock market?
Slightly negatively. Its correlation to SPY was -0.15 and to QQQ -0.13, with betas of -0.16 and -0.1. Its correlation to TLT was -0.28.
How do trading costs affect strategies on CTA?
At 10 basis points per trade the RSI(2) snapback fell from 5.47% to -0.07%, and the weekly target from 10.63% to 6.29%. The monthly cycle kept 10.7%. Slow rules such as golden cross hardly moved.
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.