DeployQuantKMLM trading strategies, backtested
KFA Mount Lucas Managed Futures Index Strategy ETF: trend-following across futures markets, often used as an equity diversifier. Every DeployQuant template run on KMLM over 5.7 years of minute data, same engine, same window, sorted by return. KMLM data starts 2021-01-06, so its results cover a shorter span.
KMLM is a managed futures fund that follows trends across futures markets. The data for it starts on 2021-01-06 and runs to 2026-10-02, which is 1313 sessions. Buy-and-hold made 7.07% a year, turned $10,000 into $14,798, and went through a max drawdown of 27.27% that began on 2022-10-14 and had not recovered by the end of the data. The price series returned 49.02% in total with annualized volatility of 15.28%.
This is the only fund on these pages where all twelve templates finished with a positive CAGR. One of them beat buy-and-hold: the monthly cycle at 8.06%. Nine had a shallower max drawdown than the fund. The spread is narrow at the bottom, with the 200-day regime filter at 0.24%, and wide at the top.
The shape of the fund's returns explains most of the table. KMLM made 30.20% in 2022, lost 6.07% in 2023, 1.18% in 2024 and 3.14% in 2025, then made 19.94% in 2026 to date. Two big years sit on either side of a long flat-to-down stretch. A template's result depends mostly on whether it was invested through 2022 and again in 2026.
The headline run has no fees or slippage. The cost runs at 5 and 10 basis points are covered in the trading section, and the volume figures at the end of the page suggest that cost assumption deserves attention on this fund.
| Strategy | CAGR | max DD | Sharpe | trades | win rate | final value |
|---|---|---|---|---|---|---|
| First-to-Last Day of Month | 8.1% | −24.0% | 0.66 | 68 | 56% (+1 open) | $15,599 |
| Weekly Entry + 7% Target | 6.1% | −31.3% | 0.54 | 96 | 21% (+1 open) | $14,068 |
| EMA 12/26 Trend | 5.1% | −22.0% | 0.52 | 20 | 40% (+1 open) | $13,307 |
| RSI(2) Dip Snapback | 4.0% | −14.2% | 0.49 | 151 | 62% | $12,492 |
| SMA 10/50 Trend | 3.1% | −21.3% | 0.35 | 19 | 32% (+1 open) | $11,933 |
| Drawdown Dip Buyer + 8% Target | 2.3% | −21.9% | 0.28 | 1 | 100% (+1 open) | $11,360 |
| 20-Day Momentum + Trailing Stop | 2.1% | −10.0% | 0.36 | 2 | 50% | $11,274 |
| RSI(14) Mean Reversion | 1.9% | −15.7% | 0.29 | 13 | 69% | $11,155 |
| 3-Month Momentum Switch | 1.3% | −28.7% | 0.19 | 9 | 33% (+1 open) | $10,768 |
| Golden Cross (SMA 50/200) | 1.1% | −25.8% | 0.17 | 3 | 33% (+1 open) | $10,641 |
| SMA-200 Trend + 15% Trailing Stop | 1.1% | −27.0% | 0.16 | 3 | 33% (+1 open) | $10,616 |
| 200-Day SMA Regime Filter | 0.2% | −28.6% | 0.08 | 21 | 14% (+1 open) | $10,138 |
| Buy & hold KMLM | 7.1% | −27.3% | 0.58 | – | – | $14,798 |
Two good years and what each template kept of them
The monthly cycle made 8.06% from 68 round trips with a 56% win rate and 94.3% exposure. Its max drawdown was 23.99% against 27.27% for the fund, and its Sharpe was 0.66 against 0.58. Its yearly returns follow the fund closely: 4.1% in 2021, 41.3% in 2022, -4.8% in 2023, -4.3% in 2024, -3.2% in 2025 and 20.3% in 2026. It beat the fund in 2022, 2023 and 2026 and gave back a little in the other years. Ten of its 12 round trips in 2022 won, and the best trade ran from 2022-08-01 to 2022-08-31 for 12.44%, from an adjusted 27.42 to 30.83. Its worst trade lost 7.23% in November 2022, which was also the fund's worst month at -10.10%. The fund's best month was April 2022 at 9.61%. Take away 2022 and the monthly cycle is a close copy of holding.
The weekly 7% target made 6.13% with 96 round trips and a 21% win rate. The average win was 7.40% and the average loss was -1.42%, giving a profit factor of 1.29, and the longest losing streak was 16. It made 7.3% in 2021, 23.5% in 2022 and 24.3% in 2026, and lost 8.4% in 2023 and 3.4% in both 2024 and 2025. That is the same two-peak shape at lower amplitude. Its max drawdown of 31.27% was deeper than the fund's.
The EMA 12/26 trend made 5.11% from 20 round trips with a 40% win rate and the highest profit factor among the active trend rules at 1.86. It was invested on 56.1% of days, and its drawdown was 22.03%, shallower than the fund's. The best trade ran from 2022-01-27 to 2022-07-01 and returned 27.43%. The second best, 11.67%, started on 2025-12-12 and ended on 2026-06-01. The SMA 10/50 trend made 3.13% with a similar pattern: its best trade returned 21.69% from 2022-02-01 to 2022-07-06 and its second returned 10.99% in the 2026 run. Both rules caught most of 2022 and 2026 while sitting out part of the decline between them, and neither trailed the fund in 2023 by much.
The RSI(2) snapback made 3.95% from 151 round trips with a 62% win rate, 39.0% exposure and an average hold of 5.7 days. Its average win was 0.99% and its average loss was -1.21%, with a profit factor of 1.31. Its 2022 return was 11.3% against 29.6% held, which is why it trails the trend rules here. It beat the fund in 2023 and 2024, the two years the fund fell. The worst trade lost 8.29% from 2022-11-08 to 2022-11-21.
The dip buyer made 1 closed trade: from 2022-07-01 at 29.64 to 2022-09-23 at 32.09, 8.27%. It then bought again on 2022-11-11 at 29.56 and never reached the target, so the position was still open at the end with a gain of 5.21%. The exposure was 78.7%, and the drawdown of 21.90% came from the stretch between 2023-10-19 and 2025-06-20. A dip buyer on a fund that fell slowly for three years never saw a bounce of 8% from its entry price.
The momentum breakout made 2 trades in the window, both in 2022, one winner of 15.18% and one loser of -1.87%. It was invested on 9.7% of days and made 2.11%. The RSI(14) mean reversion made 1.92% with 13 round trips and a 69% win rate. The worst of them lost 8.41% over 125 days from 2023-10-12.
The weakest three are all slow trend templates. The 3-month momentum switch made 1.30% with a 33% win rate. The golden cross made 1.09% from 3 round trips and a profit factor of 0.12, and the trend plus trailing stop made 1.05% with a longest holding period of 519 days and a trade that lost 11.04%. The 200-day regime filter made 0.24% from 21 round trips and 14% winners. Its 2026 return of 19.5% was identical to the golden cross and the dip buyer, because by then all three held the position through the same run.
The pattern is that this trend fund rewarded fast rules little and slow rules less. The templates that held through the whole of 2022, either by being invested nearly all the time or by catching its start, kept most of the return. The ones that entered after the move kept little of it.
Best and worst months, long losing runs and open trades
April 2022 was KMLM's best month for holding at 9.61%, and it was the best month for the weekly target at 9.26%, the EMA 12/26 trend at 9.59%, the SMA 10/50 trend at 9.59%, the 3-month momentum switch at 9.58% and the momentum breakout at 9.56%. August 2022 was the best month for the monthly cycle at 12.17%, the golden cross at 8.48%, the 200-day filter at 8.48%, the trailing stop strategy at 8.49% and the dip buyer at 8.47%. Every template's best month falls in 2022, and the RSI(2) snapback's, at 4.78% in January, is the smallest of any template. The fund's gains were concentrated in one year, and so were the rules' best months.
November 2022 was the worst month for holding at negative 10.1% and for eight of the twelve templates, including the weekly target at negative 9.3%, the golden cross at negative 10.04% and the RSI(2) snapback at negative 8.72%. The fund fell on 2022-11-10, its worst day at negative 5.23%, and the RSI(2) snapback's worst trade, a loss of 8.29% from 2022-11-08 to 2022-11-21, straddles that date. A rule that buys short dips was long into the fall.
The losing streaks are long on this fund. The weekly target lost 16 round trips in a row at its longest and won at most 2 in a row. The 200-day filter lost 10 in a row and won 1. The SMA 10/50 trend lost 8 in a row and the EMA 12/26 trend 7. The fund lost 6.07% in 2023, 1.18% in 2024 and 3.14% in 2025, and these runs fit that stretch. They explain the 2023 results better than any single trade does. The RSI(2) snapback had the opposite pattern for the same years: it won 13 trades in a row at its longest and beat holding in 2023 and 2024 by 9.2 and 2.1 points.
Holding did not recover its October 2022 peak in the window. The 27.27% drawdown from 2022-10-14 reached its trough on 2025-06-20, 980 days later, and has no recovery date. The same is true of the monthly cycle, the weekly target, the EMA 12/26 trend, the SMA 10/50 trend, the 3-month momentum switch, the golden cross, the trailing stop strategy and the 200-day filter. The RSI(2) snapback recovered from its October 2022 drawdown on 2023-10-25, and the dip buyer from its 2023 drawdown on 2026-10-01.
The slow trend rules also hold open trades that carry their CAGR. The golden cross has been in since 2025-10-20 at an adjusted 25.76 and is up 20.73%, while its three closed trades made 1.64% at best. The 200-day filter has been in since 2025-12-10 at 25.41 and is up 22.39%. The trailing stop strategy has been in since 2025-07-24 at 26.04 and is up 19.43%. These are marks to the last close, not realised results, and they show how much of the 2026 rally the slow rules caught late.
How each strategy traded KMLM
| Strategy | Time in market | Avg hold (days) | Best trade | Worst trade | Profit factor | With 10 bps slippage |
|---|---|---|---|---|---|---|
| monthly cycle | 94.3% | 28 | 12.4% | −7.2% | 1.56 | 5.6% |
| weekly 7% target | 84.6% | 17 | 8.7% | −5.4% | 1.29 | 3.1% |
| EMA 12/26 trend | 56.1% | 54 | 27.4% | −4.1% | 1.86 | 4.4% |
| RSI(2) snapback | 39.0% | 6 | 4.9% | −8.3% | 1.31 | −1.3% |
| SMA 10/50 trend | 55.2% | 55 | 21.7% | −6.0% | 1.47 | 2.5% |
| dip buyer | 78.7% | 84 | 8.3% | 8.3% | – | 2.2% |
| momentum breakout | 9.7% | 92 | 15.2% | −1.9% | 7.07 | 2.0% |
| RSI mean reversion | 39.7% | 63 | 5.6% | −8.4% | 1.75 | 1.5% |
| 3-month momentum | 35.5% | 76 | 17.3% | −7.6% | 1.24 | 1.0% |
| golden cross | 41.3% | 144 | 1.6% | −7.3% | 0.12 | 1.0% |
| trend + trailing stop | 61.2% | 243 | 0.0% | −11.0% | – | 0.9% |
| 200-day regime filter | 38.6% | 21 | 1.7% | −3.8% | 0.13 | −0.5% |
Costs, turnover and thin volume
The cost runs separate the top two clearly. The monthly cycle goes from 8.06% to 6.80% at 5 basis points and 5.57% at 10, with 137 fills. At 5 basis points it is already below the fund's 7.07% and finishes at $14,588 against $14,798, and at 10 it ends at $13,645. Its max drawdown rises from 23.99% to 26.36% and then 28.65%, so by 10 basis points the drawdown is deeper than holding. The claim that the monthly cycle beats holding is only true in the headline run.
The weekly template loses more: 6.13% falls to 5.42% and then 3.15%, with the max drawdown rising from 31.27% to 39.60%. It has 193 fills. The RSI(2) snapback with 302 fills falls from 3.95% to 1.31% and then -1.27%, ending at $9,293, below the starting capital. That is the steepest fall in the table. Its edge per trade is about 1% on the average win, so costs of the same order erase it.
The low-turnover rules change little. The EMA 12/26 trend goes from 5.11% to 4.74% and 4.38%. The SMA 10/50 goes from 3.13% to 2.79% and 2.45%. The dip buyer is 2.25%, 2.23% and 2.22%, the momentum breakout 2.11%, 2.08% and 2.05%, and the golden cross 1.09%, 1.03% and 0.97%. The 200-day filter, with 43 fills, goes from 0.24% to -0.12% and -0.50%, so a template that made 0.24% before costs loses money with them.
Time in market is not the deciding factor here. The monthly cycle at 94.3% and the weekly template at 84.6% are near the top. The momentum breakout at 9.7% and the RSI(14) template at 39.7% are lower and made 2.11% and 1.92%. The EMA 12/26 at 56.1% made 5.11%. What separated the results was which two years the position was held through.
The volume numbers deserve attention. KMLM trades about $3,113,002 a day on average and the median minute carries 400 shares. That is thin. The 5 and 10 basis point assumptions are applied the same way to every fund in the test, and for a fund of this size the cost of a real order could be larger. The test does not measure it, so the cost runs show how sensitive each template is and not what execution would cost.
Hold times: the monthly cycle held 28.1 days, the weekly template 17.2, RSI(2) 5.7, the 200-day filter 20.6, EMA 12/26 53.9, SMA 10/50 54.8, the 3-month switch 75.7, the golden cross 144.3 and the trend plus trailing stop 242.7. The weekly template's longest hold was 161 days, which shows a 7% target can wait a long time on a fund that moves slowly.
How KMLM behaved
| Measure | KMLM |
|---|---|
| Data in this test | 2021-01-06 to 2026-10-02 (1313 sessions) |
| Total return, buy and hold | 49.0% |
| Annualized volatility | 15.3% |
| Deepest drawdown | −27.6% (2022-10-14 to 2025-06-20) |
| Up days | 52.4% |
| Average daily range | 0.96% |
| Average overnight gap | 0.56% |
| Correlation to SPY | -0.16 |
| Correlation to QQQ | -0.17 |
| Correlation to TLT | -0.39 |
| Sessions above the 200-day average | 45.6% |
| Crossings of the 200-day average | 42 |
| Falls of 10% or more from a 20-day high | 5 |
Calendar years
| Year | Return |
|---|---|
| 2021 | 6.1% |
| 2022 | 30.2% |
| 2023 | −6.1% |
| 2024 | −1.2% |
| 2025 | −3.1% |
| 2026 (part) | 19.9% |
Biggest single days
| Best day | Move |
|---|---|
| 2021-09-28 | 3.4% |
| 2022-07-07 | 3.4% |
| 2022-03-02 | 3.0% |
| 2022-06-06 | 2.9% |
| 2022-03-21 | 2.8% |
| Worst day | Move |
|---|---|
| 2022-11-10 | −5.2% |
| 2021-06-18 | −4.9% |
| 2021-11-26 | −4.3% |
| 2021-07-19 | −4.3% |
| 2022-06-23 | −3.8% |
Average return by calendar month
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 0.0% | 2.8% | 2.0% | 4.3% | −1.2% | −1.7% | 1.0% | 1.8% | 2.7% | −0.6% | −4.7% | 0.1% |
Most and least correlated funds
| Most correlated | Least correlated | ||
|---|---|---|---|
| CTA | 0.43 | IGIB | -0.45 |
| TBF | 0.40 | AGG | -0.44 |
| USDU | 0.28 | BND | -0.44 |
| RINF | 0.23 | IEF | -0.44 |
| EEV | 0.18 | UST | -0.43 |
How KMLM behaved
KMLM's calendar returns on the price series were 6.13% in 2021, 30.20% in 2022, -6.07% in 2023, -1.18% in 2024, -3.14% in 2025 and 19.94% in 2026 to date. The deepest drawdown on the price series was 27.64% from 2022-10-14 to 2025-06-20, with no recovery date, and the longest drawdown lasted 994 sessions. The price rebuilt part of that in 2026, but the fund had not regained its October 2022 high at the end of the data.
The daily statistics are mild for a fund with 15.28% volatility. Up days were 52.36% of sessions, with an average up day of 0.70% and an average down day of -0.73%. The average daily range was 0.96% and the average overnight gap was 0.56%. The overnight share of return was 321.13% and the intraday share was -221.13%. That is a lopsided split: all of the gain came from the close to the next open, and trading inside the session lost ground. The overnight log return was 128.10% and the intraday log return was -88.21%. A rule that enters at the open and exits at the close would have been on the wrong side of this, and the one that holds overnight on the right side. That fits the monthly cycle, at 94.3% exposure, leading the table.
The fund's relationship to other assets is its main feature. Its beta to SPY was -0.15 and to QQQ -0.11, and its correlation to SPY was -0.16. Its correlation to TLT was -0.39, and its beta to TLT was -0.39. The funds most correlated with it were CTA at 0.43, TBF at 0.40, USDU at 0.28 and RINF at 0.23. The least correlated were IGIB at -0.45, AGG, BND and IEF at -0.44 and -0.44, and UST at -0.43. That makes the fund a diversifier on paper, because its returns ran against the bond funds in this window. The correlation to AGG was in the same range as to the other bond funds.
The fund spent 45.60% of sessions above its 200-day average and crossed it 42 times. With fewer than half of sessions above the average and 42 crossings, trend rules on KMLM were whipsawed. The 200-day regime filter shows it, with 21 round trips and 14% winners.
RSI statistics show a fund that mean-reverts weakly. RSI(14) fell under 30 on 31 sessions, and the median 20-day forward return after those was 0.49% against a baseline of 0.64%. RSI(2) fell under 10 on 131 sessions, with a median 5-day forward return of 0.20% against a baseline of 0.21%, and a 20-day figure of 0.24% against 0.64%. Neither signal beat the baseline. The lag-1 autocorrelation was 0.00. A buy-the-dip rule had no edge from the data, and the RSI templates reflect that with 1.92% and 3.95%. There were 5 falls of 10% or more from a 20-day high, spread over 21 days, which is why the dip buyer made one closed trade.
Monthly averages have 5 or 6 observations each, so they describe only this window. April averaged 4.28%, February 2.80% and September 2.74%, while November averaged -4.73% and June -1.69%. The worst month in buy-and-hold was November 2022 at -10.10%. Day of week averages were close to zero.
Among the other alternative-strategy funds, CTA held at 8.90% and its best template was the monthly cycle at 13.30%, the same template that led here. RINF held at 6.63% with the RSI(2) snapback best at 8.52%. ALTY held at 7.61%, and the weekly 7% target was best at 8.42%. On CLSE the weekly template also led at 21.66% against 19.49% held. The monthly cycle leading on both managed futures funds in this set is the one result that repeated.
The limits are the usual ones. One window of about five and three-quarter years, the headline run without fees, daily-decision rules, and a fund whose result depended heavily on 2022.
Weekdays, peer funds and the correlation list
Monday averaged 0.17% on KMLM, Tuesday 0.02%, Wednesday negative 0.05%, Thursday 0.03% and Friday 0.01%. Lag-1 autocorrelation was 0, so a day's move said nothing about the next. The Monday figure is the only one with any size, and it sits alongside an overnight log return of 128.1% against negative 88.21% intraday, which means the fund's gain came from the gap from close to the next open.
The correlation list is unusual for an equity-style page. CTA was the most correlated fund at 0.43, then TBF at 0.4, USDU at 0.28 and RINF at 0.23. The least correlated were bond funds: IGIB at negative 0.45, AGG at negative 0.44 and IEF at negative 0.44. Managed futures and bonds moved in opposite directions here, which is the 2022 year in one line: bonds fell and the trend fund made 30.20%.
The peer table shows how much of the category is one idea and how much is not. CLSE held for 19.49% and its best template, the weekly target, made 21.66%. ALTY held for 7.61% with the same template at 8.42%. QAI held for 3.89% and its best template, the golden cross, made 4.28%. On KMLM and CTA the monthly cycle led, and on KMLM it was the only template above the 7.07% holder.
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Frequently asked questions
What was the best strategy for KMLM?
Of the 12 templates tested on KMLM over 2021-01-04 to 2026-10-02, the strongest by CAGR was monthly cycle at 8.1% (max drawdown 24.0%), versus 7.1% 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 KMLM?
1 of 12 templates beat KMLM buy-and-hold (7.1% CAGR) on this window; 9 of 12 had a shallower maximum drawdown than holding (27.3%).
What was the best strategy for KMLM?
The monthly cycle made 8.06% a year with a 23.99% max drawdown, against 7.07% and 27.27% for buy-and-hold. It was the only template to beat the fund on CAGR. At 10 basis points of slippage it fell to 5.57%.
Did every strategy make money on KMLM?
Yes in the headline run. All twelve finished with a positive CAGR, from 8.06% for the monthly cycle down to 0.24% for the 200-day regime filter. With costs of 5 and 10 basis points the 200-day filter turned negative, at -0.12% and -0.50%.
Why did the dip buyer only make one closed trade on KMLM?
KMLM had 5 falls of 10% or more from a 20-day high. The dip buyer closed one trade at 8.27% from 2022-07-01 to 2022-09-23, then opened a position on 2022-11-11 that never reached its target and was still open at the end with a 5.21% gain.
How did KMLM do in 2022?
The fund returned 30.20% on the price series, its best year in the window. Templates that were invested through it kept most of that: the monthly cycle made 41.3% and the EMA 12/26 trend made 31.3%. The fund then fell for most of the next three years.
Is KMLM a diversifier?
In this window its correlation to SPY was -0.16 and to TLT -0.39, and its beta to SPY was -0.15. It made 30.20% in 2022. It also lost 6.07% in 2023 and has not recovered its October 2022 high.
How liquid is KMLM?
Average daily dollar volume was about $3,113,002 and the median minute carried 400 shares. The cost runs use 5 and 10 basis points for every fund, so real costs on a fund this thin could differ from the test.
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.