DeployQuantEMA 12/26 Trend on CTA
Simplify Managed Futures Strategy ETF: a systematic managed-futures program in an ETF wrapper. Backtest 2021-01-04 to 2026-10-02, $10,000 starting capital, computed by the same engine that runs live DeployQuant strategies. CTA data starts 2022-03-08, so its results cover a shorter span.
Year by year
| Year | EMA 12/26 trend | buy & hold |
|---|---|---|
| 2022 | 16.6% | 9.2% |
| 2023 | −11.8% | −2.1% |
| 2024 | 17.6% | 23.6% |
| 2025 | −11.1% | 0.8% |
| 2026 | 7.1% | 11.4% |
Month by month
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2022 | – | – | 0.0% | 6.2% | 0.7% | 3.6% | 3.7% | 4.1% | −0.0% | 1.7% | −4.1% | 0.0% |
| 2023 | 0.0% | 4.8% | −13.6% | 0.0% | 2.0% | 0.2% | −1.4% | −1.0% | 5.9% | −3.8% | −4.1% | 0.0% |
| 2024 | −0.3% | 3.2% | −0.2% | 10.1% | −0.9% | −1.9% | 0.0% | −0.8% | −1.4% | 2.3% | 3.8% | 3.0% |
| 2025 | 2.3% | 0.5% | 3.5% | −5.3% | 0.0% | −4.3% | −1.3% | −2.6% | −0.5% | −3.4% | 0.0% | −0.2% |
| 2026 | 3.1% | 8.3% | 0.3% | 4.1% | −8.6% | 0.0% | −4.1% | 1.2% | 2.4% | 1.1% | – | – |
Every trade
EMA 12/26 trend on CTA made 19 closed round trips and one position still open at the end of the test, an average hold of 52 days, an average winner of 8.43%, an average loser of −2.86%, a profit factor of 1.24, a longest losing streak of 4. It held a position at the close on 62.6% of trading days.
| Entry | Entry price | Exit | Exit price | Return | Days held |
|---|---|---|---|---|---|
| 2022-04-14 | $19.06 | 2022-11-11 | $22.29 | 16.9% | 211 |
| 2023-02-13 | $21.33 | 2023-03-15 | $19.28 | −9.6% | 30 |
| 2023-04-28 | $20.52 | 2023-07-18 | $20.61 | 0.4% | 81 |
| 2023-07-28 | $21.12 | 2023-08-31 | $20.95 | −0.8% | 34 |
| 2023-09-07 | $21.51 | 2023-10-27 | $21.93 | 1.9% | 50 |
| 2023-11-13 | $22.38 | 2023-11-15 | $21.44 | −4.2% | 2 |
| 2024-01-23 | $21.28 | 2024-01-26 | $21.21 | −0.3% | 3 |
| 2024-02-06 | $21.56 | 2024-06-07 | $23.82 | 10.5% | 122 |
| 2024-08-21 | $23.63 | 2024-08-30 | $23.45 | −0.8% | 9 |
| 2024-09-06 | $23.54 | 2024-09-18 | $23.23 | −1.3% | 12 |
| 2024-09-30 | $23.52 | 2024-10-02 | $23.34 | −0.8% | 2 |
| 2024-10-03 | $23.50 | 2025-04-08 | $26.12 | 11.2% | 187 |
| 2025-06-12 | $26.16 | 2025-06-25 | $25.00 | −4.4% | 13 |
| 2025-07-14 | $26.20 | 2025-08-05 | $24.99 | −4.6% | 22 |
| 2025-08-22 | $26.20 | 2025-09-15 | $25.94 | −1.0% | 24 |
| 2025-09-16 | $26.21 | 2025-10-28 | $25.59 | −2.4% | 42 |
| 2025-12-24 | $26.19 | 2026-04-16 | $28.70 | 9.6% | 113 |
| 2026-04-27 | $29.66 | 2026-05-28 | $28.83 | −2.8% | 31 |
| 2026-07-24 | $27.79 | 2026-07-29 | $26.63 | −4.2% | 5 |
| 2026-08-18 | $27.81 | open | – | 4.8% | – |
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 |
|---|---|---|---|---|---|
| 2023-03-07 | 2024-01-25 | −19.1% | 324 | 2025-02-10 | 382 |
| 2025-02-19 | 2026-08-25 | −19.0% | 552 | not yet | – |
| 2022-11-03 | 2023-02-13 | −4.8% | 102 | 2023-02-24 | 11 |
Buy-and-hold's deepest drawdown ran from 2026-05-04 to 2026-08-04 and reached −20.5%.
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) | 3.1% | −19.1% | $11,512 | 0.28 |
| 5 basis points | 2.7% | −19.7% | $11,291 | 0.26 |
| 10 basis points | 2.3% | −20.3% | $11,077 | 0.23 |
Changing the parameters
| Version | CAGR | Max drawdown | Round trips | Win rate | Final value |
|---|---|---|---|---|---|
| Published rules | 3.1% | −19.1% | 19 | 32% | $11,512 |
| EMA 8/21 | 0.2% | −21.8% | 31 | 39% | $10,100 |
| EMA 20/50 | 4.0% | −16.9% | 10 | 50% | $11,943 |
| EMA 12/50 | 4.8% | −16.4% | 10 | 50% | $12,415 |
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 |
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.
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 CTA?
Over 2021-01-04 to 2026-10-02, EMA 12/26 trend on CTA returned 3.1% annualized vs 8.9% for buy-and-hold: it trailed buy-and-hold by 5.8% per year, with a maximum drawdown 1.5 points shallower than holding (19.1% vs 20.5%).
How many trades did it make?
19 completed round trips over 5.7 years (39 fills), with 32% 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.
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.