DeployQuantEMA 12/26 Trend on ALTY
Global X Alternative Income ETF: a multi-asset income basket: MLPs, REITs, preferreds and more. Backtest 2021-01-04 to 2026-10-02, $10,000 starting capital, computed by the same engine that runs live DeployQuant strategies.
The EMA 12/26 rule held the Global X Alternative Income ETF (ALTY) for 68.9% of trading days between 2021-01-04 and 2026-10-02 and turned $10,000 into $12,712. That is a 4.27% CAGR with a Sharpe ratio of 0.66. Buy-and-hold on the same fund ended at $15,236, a 7.61% CAGR with a Sharpe of 0.79. The rule had the shallower worst drawdown, 14.38% against 18.25%, and it won in only two calendar years, 2022 and 2026.
ALTY is a multi-asset income basket, and it behaved like a quiet fund in this window: annualized volatility of 10.41%, 52.11% up days and an average daily range of 0.81%. A trend rule works by staying out of long declines, and a fund that falls 18.56% from peak to trough over 2022 gives it one real decline to avoid. The rest of the window was a slow rise with many small dips, and those dips are where the rule paid for its speed.
The rule is a long or flat switch, described on the EMA 12/26 strategy, tested here on ALTY. Every figure is hypothetical and comes from a single 5.74-year window, with no fees in the headline run.
Year by year
| Year | EMA 12/26 trend | buy & hold |
|---|---|---|
| 2021 | 8.4% | 23.9% |
| 2022 | −8.3% | −11.4% |
| 2023 | 9.5% | 10.7% |
| 2024 | 2.6% | 10.1% |
| 2025 | 7.8% | 11.1% |
| 2026 | 5.7% | 3.9% |
How each year played out
2021 was the year the rule lost the most ground. It returned 8.4% while buy-and-hold on ALTY returned 23.9%. The fund rose steadily, and the rule only owned it from 2021-02-10, so January was spent flat. It then sold on 2021-07-20 after a 10.8% gain over 160 days, re-entered on 2021-07-28 at a higher price, and was whipsawed out in September and November with small losses of 1.0% and 0.8%. April 2021 was the rule's best month at 6.22%, and it stands as the best month of the whole run.
2022 was the year the rule was built for, and it did what the design says. The fund lost 11.4% as a holding, and the rule lost 8.3%. That is a better number, though still a loss. The monthly table shows why. January lost 3.62% on the entry from 2021-12-29, February was flat, March returned 2.21% and April lost 3.39%. A fast crossover has to see the decline before it reacts, and a fund that falls in jerks gives it many false exits and re-entries. The rule sold on 2022-09-01 and stayed flat until 2022-11-11, so it sat out the fund's low on 2022-10-14. It bought back at $8.34 and November returned 2.41%, though December gave back 2.37%.
2023 returned 9.5% against 10.7% for the fund. The rule traded five round trips that year, more than in any other, and only 2 of them won. Of those five, the best was the 2.71% gain from 2023-01-06 to 2023-02-28. The year ended well because the entry on 2023-11-07 at $8.525 carried through December, which returned 4.13%, and into 2024.
2024 was weaker for the rule: 2.6% against 10.1%. The long trade from 2023-11-07 closed on 2024-04-16 with a 7.45% gain, April 2024 returned -3.61%, and the rule re-entered on 2024-05-08. Of four round trips that exited in 2024, three won. The loser was the entry on 2024-11-08 at $10.31, sold on 2024-12-19 at $10.10 for a 2.04% loss. December 2024 returned -3.55% for the rule.
2025 returned 7.8% against 11.1%. The rule's year turned on a single trade. It entered on 2025-05-06 at $10.24, after the April 2025 sell-off had pushed the average down, and held for 317 days until 2026-03-19, selling at $11.64 for 13.67%. That is the best trade of the run. Before it, two small losing trades in March ran 53 and 6 days.
2026 is a partial year, through 2026-10-02. The rule returned 5.7% against 3.9%, which makes 2026 the second year the rule won. The entry on 2026-04-13 at $11.80 and the exit on 2026-09-11 at $12.17 returned 3.14%.
Month by month
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2021 | 0.0% | −0.1% | 3.8% | 6.2% | 1.2% | 1.3% | −1.9% | 0.8% | −2.0% | 0.3% | −1.1% | −0.3% |
| 2022 | −3.6% | 0.0% | 2.2% | −3.4% | 0.0% | −3.7% | 4.3% | −3.4% | −0.7% | 0.0% | 2.4% | −2.4% |
| 2023 | 4.8% | −2.3% | 0.0% | 0.1% | −1.8% | 1.0% | 2.5% | −2.1% | −0.9% | 0.0% | 4.0% | 4.1% |
| 2024 | −0.1% | 0.2% | 2.7% | −3.6% | 0.1% | 0.8% | 3.2% | 0.2% | 2.1% | −0.9% | 1.6% | −3.5% |
| 2025 | 0.0% | 1.7% | −4.1% | 0.0% | 1.1% | 2.3% | 1.0% | 1.3% | 1.4% | 1.1% | 1.8% | 0.3% |
| 2026 | 2.8% | 2.5% | −2.6% | 2.0% | 0.1% | 1.1% | 0.0% | 0.4% | −0.5% | 0.0% | – | – |
What the monthly returns show
Several months show a 0.0% return because the rule sat in cash: January 2021, February, May and October of 2022, March and October of 2023, and April 2025. They explain the lower exposure of 68.9% and part of the lag behind buy-and-hold in rising years.
The best months were April 2021 at 6.22%, January 2023 at 4.83%, July 2022 at 4.25%, December 2023 at 4.13% and November 2023 at 3.96%. The worst were March 2025 at -4.11%, January 2022 at -3.62%, April 2024 at -3.61%, December 2024 at -3.55% and June 2022 at -3.69%. Buy-and-hold's best month was January 2023 at 6.8% and its worst was September 2022 at -9.17%. The rule's worst month was much shallower, while holding lost over nine percent in September 2022. The rule had sold on 2022-09-01, and its September 2022 return was -0.67%.
The calendar pattern for ALTY itself is lumpy. September averaged -2.43% across the six Septembers, and November averaged 2.86%. July averaged 2.39% and January 1.94%. Those are averages over five or six observations each, so they describe this window and are weak evidence of a seasonal pattern. The rule's own months followed some of it: September 2021 at -1.98% and September 2023 at -0.9% were losses, and November 2023 at 3.96% was a gain.
The 2025 and 2026 months look different from 2021 to 2024. From May 2025 through February 2026 every month was positive, which is the long hold from 2025-05-06. A trend rule makes most of its money in a few streaks like this one, and the monthly table shows that the streak did more for the final value than any year of repeated small trades.
Every trade
EMA 12/26 trend on ALTY made 20 closed round trips, an average hold of 73 days, an average winner of 4.98%, an average loser of −1.66%, a profit factor of 2.41, a longest losing streak of 5. It held a position at the close on 68.9% of trading days.
| Entry | Entry price | Exit | Exit price | Return | Days held |
|---|---|---|---|---|---|
| 2021-02-10 | $8.12 | 2021-07-20 | $9.00 | 10.8% | 160 |
| 2021-07-28 | $9.27 | 2021-09-21 | $9.18 | −1.0% | 55 |
| 2021-10-19 | $9.39 | 2021-11-23 | $9.31 | −0.8% | 35 |
| 2021-12-29 | $9.46 | 2022-01-24 | $9.09 | −3.9% | 26 |
| 2022-03-28 | $9.08 | 2022-04-26 | $8.97 | −1.3% | 29 |
| 2022-06-08 | $8.85 | 2022-06-13 | $8.51 | −3.8% | 5 |
| 2022-07-25 | $8.56 | 2022-09-01 | $8.57 | 0.1% | 38 |
| 2022-11-11 | $8.34 | 2023-01-03 | $8.32 | −0.2% | 53 |
| 2023-01-06 | $8.48 | 2023-02-28 | $8.71 | 2.7% | 53 |
| 2023-04-10 | $8.78 | 2023-05-08 | $8.63 | −1.8% | 28 |
| 2023-06-07 | $8.69 | 2023-08-14 | $8.81 | 1.4% | 68 |
| 2023-09-21 | $8.72 | 2023-09-22 | $8.64 | −0.9% | 1 |
| 2023-11-07 | $8.53 | 2024-04-16 | $9.16 | 7.5% | 161 |
| 2024-05-08 | $9.43 | 2024-08-08 | $9.54 | 1.1% | 92 |
| 2024-08-14 | $9.72 | 2024-11-01 | $10.17 | 4.6% | 79 |
| 2024-11-08 | $10.31 | 2024-12-19 | $10.10 | −2.0% | 41 |
| 2025-01-17 | $10.46 | 2025-03-11 | $10.37 | −0.9% | 53 |
| 2025-03-25 | $10.61 | 2025-03-31 | $10.43 | −1.7% | 6 |
| 2025-05-06 | $10.24 | 2026-03-19 | $11.64 | 13.7% | 317 |
| 2026-04-13 | $11.80 | 2026-09-11 | $12.17 | 3.1% | 151 |
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.
The 20 trades
Twenty round trips came from 40 fills. Nine won and eleven lost, a 45% win rate. The average winner returned 4.98% and the average loser returned -1.66%, which gives a profit factor of 2.41. The median trade was a loss of 0.22% over a median hold of 53 days, so the typical trade did not make money. The result comes from the tail: the five best trades returned 13.67%, 10.8%, 7.45%, 4.61% and 3.14%, and the five worst lost between 1.7% and 3.94%.
The longest hold was 317 days and the shortest was 1 day. The one-day trade is the entry on 2023-09-21 at $8.719, sold the next day at $8.639 for a 0.92% loss. A rule that checks at the open on every session can flip within a day when the two averages sit close together. The two short losers in 2022 and 2025 behave the same way: 2022-06-08 to 2022-06-13 lost 3.76% in 5 days, and 2025-03-25 to 2025-03-31 lost 1.7% in 6 days. The 2022 trade ended on 2022-06-13, the day the fund recorded a loss of 3.95%, one of its worst days.
The worst trade was the entry on 2021-12-29 at $9.46, sold on 2022-01-24 at $9.087 for a 3.94% loss over 26 days. The rule entered a few days before the fund's 2022-01-04 peak. By count, 2023 was the busiest exit year with 5 round trips and 2 wins, 2022 had 4 trips and 1 win, 2024 had 4 trips and 3 wins, 2021 had 3 trips and 1 win, and 2025 and 2026 each had 2 trips, with 0 wins in 2025 and 2 wins in 2026.
Losses came in a run of at most 5 trades and wins in a run of at most 3. The five straight losers ran from the entry on 2021-07-28 to the exit on 2022-06-13. The three straight winners ran from the entry on 2023-11-07 to the exit on 2024-11-01.
Largest drawdowns
| Peak | Low point | Depth | Days to low | Recovered | Days to recover |
|---|---|---|---|---|---|
| 2021-06-14 | 2022-12-28 | −14.4% | 562 | 2024-09-19 | 631 |
| 2024-10-18 | 2025-03-31 | −6.1% | 164 | 2025-09-09 | 162 |
| 2021-05-10 | 2021-05-12 | −4.0% | 2 | 2021-06-01 | 20 |
Buy-and-hold's deepest drawdown ran from 2022-01-04 to 2022-10-14 and reached −18.3%.
The drawdowns
The deepest drawdown on the rule was 14.38%. It began at the peak on 2021-06-14, reached its low on 2022-12-28 after 562 days, and recovered on 2024-09-19, 631 days after the low. The whole episode ran from June 2021 to September 2024. Buy-and-hold's deepest drawdown was 18.25%, from 2022-01-04 to 2022-10-14, with recovery on 2024-03-28.
Two things stand out. The rule's drawdown started earlier than buy-and-hold's, in June 2021, because the rule was flat after selling on 2021-07-20 and was then whipsawed. It also ended later, in September 2024, because the rule missed the part of the rebound that buy-and-hold captured, so its equity took longer to regain the old high. The rule's low came on 2022-12-28, about two and a half months after the fund's own low on 2022-10-14. The rule suffered through the cluster of small losses in 2022 rather than avoiding the decline.
The second drawdown was 6.07%, from 2024-10-18 to a low on 2025-03-31, with recovery on 2025-09-09. That fits the April 2025 period, when the fund had a worst day of -4.29% on 2025-04-04 and a best day of 4.72% on 2025-04-09. The rule had already exited on 2025-03-31, which is the low in its own drawdown. The third was 4.0% in May 2021, over 2 days, recovered in 20.
Buy-and-hold's other drawdowns were 9.82% from 2025-02-20 and 4.63% from 2026-08-27, still open at the end of the window. The rule's shallower first drawdown is the main evidence that the trend filter helped on ALTY. It did not prevent a long underwater period: 562 days to the low and 631 days to recover.
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) | 4.3% | −14.4% | $12,712 | 0.66 |
| 5 basis points | 3.9% | −15.0% | $12,467 | 0.61 |
| 10 basis points | 3.6% | −15.6% | $12,226 | 0.56 |
What trading costs did
The headline run has no slippage. Adding 5 basis points per fill lowers the CAGR from 4.27% to 3.92% and the final value from $12,712 to $12,467. At 10 basis points the CAGR is 3.56% and the final value is $12,226. The maximum drawdown widens from 14.38% to 14.97% and then 15.56%. The Sharpe ratio goes from 0.66 to 0.609 and 0.558.
With 40 fills the cost is modest, since a rule that makes 20 round trips pays the slippage 40 times. The cost matters more for ALTY than the fill count suggests, because of how thinly the fund trades. Only $162,542 traded on an average day, and the median minute saw 287 shares. A flat 5 or 10 basis point charge is an assumption and may be generous for a fund that thin. An order of any size looks large against a median minute volume of 287.
Even at 10 basis points the rule kept a positive return and stayed behind buy-and-hold, which ended at $15,236 without any costs at all. Buy-and-hold has one fill, so costs barely touch it.
Changing the parameters
| Version | CAGR | Max drawdown | Round trips | Win rate | Final value |
|---|---|---|---|---|---|
| Published rules | 4.3% | −14.4% | 20 | 45% | $12,712 |
| EMA 8/21 | 5.9% | −12.0% | 22 | 50% | $13,903 |
| EMA 20/50 | 1.9% | −17.7% | 13 | 46% | $11,175 |
| EMA 12/50 | 2.5% | −16.2% | 14 | 43% | $11,517 |
What the parameter variants show
Three variants of the rule were run on ALTY. The published 12/26 pair returned 4.27% with a 14.38% drawdown. The faster 8/21 pair returned 5.91% with a 12.01% drawdown, a Sharpe of 0.891 and 22 trades, ending at $13,903. The slower 20/50 pair returned 1.95% with a 17.74% drawdown and a Sharpe of 0.303, with 13 trades and an end value of $11,175. The 12/50 variant, which keeps the fast average and slows the slow one, returned 2.49% with a 16.21% drawdown over 14 trades and ended at $11,517.
The pattern is monotonic here. The faster the pair, the higher the return and the lower the drawdown, and the slower pairs did worse on both. On a fund that moved in many small swings, a faster crossover got out sooner and got back in sooner. The trade counts are close, 22 for the fast pair and 20 for the published one, so the gain from 8/21 is not from trading much more. That is a result for this fund and this window. A different window could reverse it, and the three variants are too few to say the parameter is stable. The published pair sits between them, and none of the variants beat buy-and-hold's 7.61%.
The slow pair makes the lag visible. With a 50-day slow average the signals arrive late, and the 2022 entries and exits come after the move. Fewer trades, 13 and 14, did not help.
How ALTY behaved
| Measure | ALTY |
|---|---|
| Data in this test | 2021-01-04 to 2026-10-02 (1444 sessions) |
| Total return, buy and hold | 55.4% |
| Annualized volatility | 10.4% |
| Deepest drawdown | −18.6% (2022-01-04 to 2022-10-14) |
| Up days | 52.1% |
| Average daily range | 0.81% |
| Average overnight gap | 0.41% |
| Correlation to SPY | 0.75 |
| Correlation to QQQ | 0.65 |
| Correlation to TLT | 0.23 |
| Sessions above the 200-day average | 75.3% |
| Crossings of the 200-day average | 29 |
| Falls of 10% or more from a 20-day high | 1 |
How ALTY behaved
ALTY is described in the data as a multi-asset income basket of MLPs, REITs, preferreds and more. Its buy-and-hold CAGR was 7.99% by the profile calculation, with a total return of 55.44%. The fund spent 75.26% of sessions above its 200-day average and crossed that average 29 times. Year by year it returned 24.4%, then -11.64%, 10.87%, 10.23% and 11.29%, and 3.97% for 2026 to date.
Against SPY it showed a correlation of 0.75 and a beta of 0.48, with 0.65 to QQQ and 0.23 to TLT. It moved with equities, with about half the sensitivity.
One feature of the profile bears directly on the rule. Overnight log return came to 111.96% against -69.06% intraday, so the overnight gaps supplied more than the whole gain and the trading session gave some back. The rule sends orders when the market opens, so it buys after the overnight move has happened and holds through the session. A fund where intraday returns are negative penalizes a rule that always trades at the open. The average overnight gap was 0.41% against an average daily range of 0.81%.
A fall of 10% from a 20-day high happened just once, over 2 days. That points to a fund with few sharp crashes. A trend rule earns its keep in sharp, prolonged declines. ALTY's drop was gradual, and so the rule's savings were limited to 2022.
The rules
Hold while the 12-day exponential average is above the 26-day, the core of the MACD used as a position switch.
- WHEN the market opens · IF not invested AND EMA(12) > EMA(26) · THEN buy with 98% of the sleeve
- WHEN the market opens · IF invested AND EMA(12) < EMA(26) · THEN sell the whole position
The 12/26 exponential moving average pair is the core of the MACD indicator. Exponential averages weight recent days more than simple averages, so this crossover reacts faster than an SMA pair of the same length. Used as a long/flat switch, it gives you a position you can hold and measure.
Good for: traders who like MACD logic but want it expressed as a simple, testable long/flat rule.
Watch out: faster reaction means more trades and more whipsaws than a 50/200 cross; check the trade count on each backtest page.
How the rules fit this fund
Entry takes 98% of the sleeve at the open once EMA(12) sits above EMA(26), and exit sells everything at the open after it drops under. Because exponential averages weight recent days more, the crossover turns sooner than a simple pair would. The strategy's own caveat is that a faster reaction brings more trades and whipsaws than a 50/200 cross.
On ALTY the rule made 20 round trips in 5.74 years, and the rank table puts it 4th of 12 strategies on this fund and 26th of 59 funds for this strategy. The strategies ahead of it were the weekly 7% target at 8.42%, the monthly cycle at 7.24% and the 3-month momentum at 4.52%. Behind it were the RSI(2) snapback at 3.33%, the SMA 10/50 trend at 2.91% and the RSI mean reversion at 2.12%. The trend with a trailing stop returned 0.12% with a 30.04% drawdown and the momentum breakout returned 0% with a 0% drawdown.
Among alternative-strategy funds the rule did better on CLSE at 14.01% with a 10.18% drawdown and on KMLM at 5.11% with 22.03%. ALTY was third at 4.27%. CTA returned 3.13%, QAI 2.76% and RINF -0.22%. See the CLSE, KMLM and QAI pages for those runs. Across all 59 funds the median for this rule was 2.76%, and in this category 4.27%, which is where ALTY landed.
The limits of the test are the usual ones. One window, one set of rules with daily decisions, fills on minute bars, no margin, a headline run with no fees. The ALTY volume figures suggest real fills could differ from the 5 and 10 basis point runs. The result is a description of what happened in this window and not a prediction.
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 EMA 12/26 trend beat buy-and-hold on ALTY?
Over 2021-01-04 to 2026-10-02, EMA 12/26 trend on ALTY returned 4.3% annualized vs 7.6% for buy-and-hold: it trailed buy-and-hold by 3.3% per year, with a maximum drawdown 3.9 points shallower than holding (14.4% vs 18.3%).
How many trades did it make?
20 completed round trips over 5.7 years (40 fills), with 45% of round trips closing profitably.
Is this the same as trading MACD signals?
It uses the MACD's underlying trend component. Classic MACD trades the signal-line crossover of the 12/26 spread. This template trades the spread's sign directly, which is simpler and can be built fully in blocks.
Did the EMA 12/26 trend rule beat buy-and-hold on ALTY?
No. Over 2021-01-04 to 2026-10-02 the rule returned a 4.27% CAGR and ended at $12,712, while buy-and-hold returned 7.61% and ended at $15,236. The rule won in 2022 and 2026 only. Its maximum drawdown was shallower, 14.38% against 18.25%.
How many trades did the rule make on ALTY?
Twenty round trips and 40 fills. Nine won, a 45% win rate. The average winner was 4.98% and the average loser was -1.66%, and the median trade lost 0.22%.
What was the best and worst trade?
The best was the entry on 2025-05-06 at an adjusted $10.24, held 317 days and sold on 2026-03-19 at $11.64 for 13.67%. The worst was the entry on 2021-12-29 at $9.46, sold on 2022-01-24 at $9.087 for a 3.94% loss.
How much do trading costs change the result?
Slippage of 5 basis points per fill lowers the CAGR to 3.92% and the end value to $12,467. At 10 basis points the CAGR is 3.56% and the end value is $12,226. ALTY trades thinly, with a median minute volume of 287, so real costs could be higher than those runs.
Would a faster or slower EMA pair have done better?
In this window the faster 8/21 pair returned 5.91% with a 12.01% drawdown. The slower 20/50 pair returned 1.95% and the 12/50 variant 2.49%. None beat buy-and-hold at 7.61%, and three variants on one window do not show a stable best setting.
Why was the rule flat so often on ALTY?
It held a position on 68.9% of trading days. The rest were spent in cash while the 12-day average sat below the 26-day, which includes most of 2022. That cut the drawdown and also cost some of the rebounds.
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.