DeployQuantDrawdown Dip Buyer + 8% Target on KMLM
KFA Mount Lucas Managed Futures Index Strategy ETF: trend-following across futures markets, often used as an equity diversifier. Backtest 2021-01-04 to 2026-10-02, $10,000 starting capital, computed by the same engine that runs live DeployQuant strategies. KMLM data starts 2021-01-06, so its results cover a shorter span.
Year by year
| Year | dip buyer | buy & hold |
|---|---|---|
| 2021 | 0.0% | 6.0% |
| 2022 | 5.5% | 29.6% |
| 2023 | −5.9% | −6.0% |
| 2024 | −1.2% | −1.2% |
| 2025 | −3.1% | −3.1% |
| 2026 | 19.5% | 19.6% |
Month by month
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2021 | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| 2022 | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | −4.1% | 8.5% | 3.9% | 0.0% | −3.8% | 1.5% |
| 2023 | −2.8% | 1.6% | −2.3% | 4.5% | 1.4% | −2.5% | 0.6% | 1.5% | 4.3% | −0.5% | −5.9% | −5.4% |
| 2024 | −0.0% | 1.8% | 2.3% | 4.1% | −5.0% | −1.3% | 1.8% | −2.0% | 0.5% | −3.6% | −2.3% | 3.0% |
| 2025 | −2.2% | −1.3% | 0.6% | −3.5% | 0.5% | −0.3% | −0.8% | 2.2% | 0.7% | −1.0% | 0.2% | 2.0% |
| 2026 | 0.1% | 4.2% | 4.1% | 5.0% | −4.4% | −2.7% | 6.5% | 1.9% | 3.9% | 0.1% | – | – |
Every trade
dip buyer on KMLM made 1 closed round trip and one position still open at the end of the test, an average hold of 84 days, an average winner of 8.27%. It held a position at the close on 78.7% of trading days.
| Entry | Entry price | Exit | Exit price | Return | Days held |
|---|---|---|---|---|---|
| 2022-07-01 | $29.64 | 2022-09-23 | $32.09 | 8.3% | 84 |
| 2022-11-11 | $29.56 | open | – | 5.2% | – |
Prices are adjusted for splits and dividends, so they sit below the quotes printed at the time. An open position is marked at the last close.
Largest drawdowns
| Peak | Low point | Depth | Days to low | Recovered | Days to recover |
|---|---|---|---|---|---|
| 2023-10-19 | 2025-06-20 | −21.9% | 610 | 2026-10-01 | 468 |
| 2022-07-11 | 2022-08-04 | −7.5% | 24 | 2022-08-19 | 15 |
| 2022-11-14 | 2023-01-24 | −7.1% | 71 | 2023-05-30 | 126 |
Buy-and-hold's deepest drawdown ran from 2022-10-14 to 2025-06-20 and reached −27.3%.
With trading costs
The headline run fills at the bar price. These runs charge slippage on every fill.
| Slippage per fill | CAGR | Max drawdown | Final value | Sharpe |
|---|---|---|---|---|
| None (headline) | 2.3% | −21.9% | $11,360 | 0.28 |
| 5 basis points | 2.2% | −21.9% | $11,350 | 0.28 |
| 10 basis points | 2.2% | −21.9% | $11,339 | 0.27 |
Changing the parameters
| Version | CAGR | Max drawdown | Round trips | Win rate | Final value |
|---|---|---|---|---|---|
| Published rules | 2.3% | −21.9% | 1 | 100% | $11,360 |
| -7% drawdown / 8% target | 2.9% | −24.9% | 2 | 100% | $11,773 |
| -15% drawdown / 8% target | 0.0% | −0.0% | 0 | – | $10,000 |
| -10% drawdown / 6% target | 2.0% | −21.9% | 2 | 100% | $11,220 |
| -10% drawdown / 10% target | 2.5% | −21.9% | 1 | 100% | $11,536 |
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 |
The rules
Wait for a 10% drawdown from the 20-day high, buy it, and take profit at +8%.
- WHEN the market opens · IF not invested AND the 20-day drawdown is worse than −10% · THEN buy with 98% of the sleeve
- WHILE invested · a managed limit order rests at entry price × 1.08
A rule-based buy-the-dip. The entry is a measured 10% drawdown inside the trailing 20 sessions, and the exit is a resting +8% limit order. Between signals the sleeve sits in cash, so the template can wait months for an entry.
Good for: assets that sell off hard and recover; it trades volatility without chasing strength.
Watch out: no stop-loss: if the dip keeps falling, the position rides it down until the +8% target is reached or the strategy is stopped. Trade counts are low, so single trades dominate results.
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
Did dip buyer beat buy-and-hold on KMLM?
Over 2021-01-04 to 2026-10-02, dip buyer on KMLM returned 2.3% annualized vs 7.1% for buy-and-hold: it trailed buy-and-hold by 4.8% per year, with a maximum drawdown 5.4 points shallower than holding (21.9% vs 27.3%).
How many trades did it make?
1 completed round trips over 5.7 years (3 fills), with 100% of round trips closing profitably.
What counts as a 10% dip?
The engine computes the worst peak-to-trough move within the last 20 sessions. When it is deeper than −10%, the entry condition is met. Both the window and the threshold are editable parameters.
Related
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.