KMLM trading strategies, backtested
KFA Mount Lucas Managed Futures Index Strategy ETF — trend-following across futures markets — a popular equity diversifier. Every DeployQuant template run on KMLM over 5.5 years of minute data, same engine, same window, sorted by return.
| Strategy | CAGR | max DD | Sharpe | trades | win rate | final value |
|---|---|---|---|---|---|---|
| First-to-Last Day of Month | 8.0% | −24.0% | 0.65 | 64 | 58% | $15,207 |
| RSI(14) Mean Reversion | 3.3% | −15.7% | 0.45 | 14 | 71% | $11,937 |
| 20-Day Momentum + Trailing Stop | 2.2% | −10.0% | 0.36 | 2 | 50% | $11,274 |
| SMA 10/50 Trend | 2.0% | −21.3% | 0.24 | 18 | 28% | $11,131 |
| Drawdown Dip Buyer + 8% Target | 1.1% | −21.9% | 0.16 | 1 | 100% | $10,603 |
| Golden Cross (SMA 50/200) | 0.2% | −25.8% | 0.07 | 3 | 33% | $10,095 |
| SMA-200 Trend + 15% Trailing Stop | 0.1% | −27.0% | 0.07 | 3 | 33% | $10,072 |
| 3-Month Momentum Switch | 0.1% | −28.7% | 0.07 | 10 | 40% | $10,072 |
| 200-Day SMA Regime Filter | −0.7% | −28.6% | -0.02 | 21 | 14% | $9,621 |
| Weekly Entry + 7% Target | −6.3% | −53.3% | -0.11 | 2 | 100% | $7,009 |
| RSI(2) Dip Snapback | −100.0% | −279424.6% | -0.12 | 1 | 100% | $-259,635,402,473,424,600,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000 |
| EMA 12/26 Trend | −100.0% | −11128873.0% | 0.56 | 1 | 100% | $-170,662,887,404,608,320,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000 |
| Buy & hold KMLM | 6.0% | −27.3% | 0.51 | — | — | $13,774 |
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 KMLM?
Of the 12 templates tested on KMLM over 2021-01-04–2026-07-17, the strongest by CAGR was monthly cycle at 8.0% (max drawdown 24.0%), versus 6.0% 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 KMLM?
1 of 12 templates beat KMLM buy-and-hold (6.0% CAGR) on this window; 7 of 12 had a shallower maximum drawdown than holding (27.3%).
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.