DeployQuantGolden Cross (SMA 50/200) 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 Global X Alternative Income ETF (ALTY) holds a mix of MLPs, REITs, preferreds and other income assets. The golden cross enters it at the open, with 98% of the sleeve, when the 50-day simple average moves above the 200-day. It exits fully at the open when the 50-day drops back below. A $10,000 start on 2021-01-04 became $10,972 by 2026-10-02: a CAGR of 1.63%, a Sharpe ratio of 0.26 and a max drawdown of 13.09%.
Holding ALTY for the same stretch ended at $15,236, a CAGR of 7.61%, a Sharpe of 0.79 and a max drawdown of 18.25%. The rule gave up a large amount of return and kept a shallower worst fall. Only 2022 went the rule's way among the calendar years, and 2024 and 2026 came out level.
Three round trips closed, and a fourth position is open. One of the three closed trips won. Everything in the result comes from those four positions, so a single trade changes the picture.
Year by year
| Year | golden cross | buy & hold |
|---|---|---|
| 2021 | 0.5% | 23.9% |
| 2022 | −5.9% | −11.4% |
| 2023 | −5.2% | 10.7% |
| 2024 | 10.0% | 10.1% |
| 2025 | 7.1% | 11.1% |
| 2026 | 3.9% | 3.9% |
Calendar years, one at a time
The first nine months of 2021 read 0.0% in the monthly table. The 50-day average had not yet crossed above the 200-day, so the sleeve sat in cash while ALTY was rising. Buy-and-hold made 23.9% in 2021 and the rule made 0.5%. The cross finally came on 2021-10-19, an entry at an adjusted $9.39, and the rule then took a 0.3% gain in October, a 2.8% loss in November and a 3.1% gain in December. This is the cost of a 200-day filter on a fund that starts the window already in an uptrend: the signal had to wait for the 50-day average to climb above a 200-day average that was still catching up.
2022 is where the rule earned its keep, within limits. ALTY fell 11.4% for holders. The rule lost 5.9%, all of it in January (2.6%) and February (3.4%). The 50-day dropped below the 200-day and the position was sold on 2022-02-23 at $8.87. From March through December 2022 every monthly cell reads 0.0%, because the sleeve was in cash. ALTY's own peak was 2022-01-04 and its low was 2022-10-14, so the exit came weeks after the top and well before the bottom. The 5.5% yearly gap in the rule's favour is the only positive gap in the table.
2023 hurt. Buy-and-hold made 10.7% and the rule lost 5.2%. The re-entry did not happen until 2023-01-30, after the best month in the buy-and-hold record. ALTY gained 6.8% in January 2023, and the rule was in cash for almost all of it, booking 0.5%. It then bought at $8.87, the same adjusted price it had sold at a year earlier, and sat through a run of small losses: February 2.3%, May 2.7%, August 2.6%, September 2.6% and October 1.5%, with some gains in between. The exit on 2023-10-09 came at $8.40. The rule had bought back at its own sell price and then paid for the delay with a loss.
2024 was a near tie, 10.0% for the rule and 10.1% for holding. The rule bought again on 2023-12-20 at $9.25 and held through the whole of 2024. March, July, August, September and November were the strong months, and April and December gave back 2.7% each.
2025 gave the rule 7.1% against 11.1% for holding. The rule was still holding its December 2023 position until it sold on 2025-05-22 at $10.26, then sat out June and re-entered on 2025-07-01 at $10.65. 2026 is a partial year and both columns read 3.9%, because the rule was fully invested for all of it. The monthly figures for 2026 include a 4.3% April, and a 3.5% loss in March and a 3.7% loss in September. September 2026 is the worst month in the rule's record.
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% | 0.3% | −2.8% | 3.1% |
| 2022 | −2.6% | −3.4% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| 2023 | 0.5% | −2.3% | −0.4% | 1.4% | −2.7% | 2.6% | 2.5% | −2.6% | −2.6% | −1.5% | 0.0% | −0.0% |
| 2024 | −0.1% | 0.2% | 2.7% | −2.7% | 2.1% | 0.8% | 3.2% | 2.1% | 2.1% | −0.9% | 3.0% | −2.7% |
| 2025 | 2.6% | 1.7% | −1.6% | −2.3% | 0.3% | 0.0% | 0.5% | 1.3% | 1.4% | 1.1% | 1.8% | 0.3% |
| 2026 | 2.8% | 2.5% | −3.5% | 4.3% | 0.1% | 1.1% | 0.0% | 0.4% | −3.7% | 0.2% | – | – |
Where the cash months fell
Counting by month, the rule's record is about long flat stretches broken by clusters of small moves. The sleeve was in cash for the whole of January to September 2021 and the whole of March to December 2022. Those are the months where the monthly table shows 0.0%.
The best month was April 2026 at 4.34%, and the worst was September 2026 at 3.69% down. Holding peaked in January 2023 at 6.8% and bottomed in September 2022 at 9.17% down. The rule was in cash for nearly all of the first of these and all of the second, so it missed most of the best month and all of the worst one. ALTY's average September return across the six Septembers in the data was down 2.43%, the weakest calendar month in the record, and November was the strongest at 2.86% up on five observations. Those samples are small, and the rule did not trade on the calendar, so the pattern is a description of the fund rather than something the rule used.
Several of the rule's months are close to the same size and sign as the fund's own, which fits a position that holds 64.6% of trading days. When the sleeve was in, it earned what ALTY earned. The difference between the two records is almost entirely which months it was in.
Every trade
golden cross on ALTY made 3 closed round trips and one position still open at the end of the test, an average hold of 299 days, an average winner of 10.97%, an average loser of −5.41%, a profit factor of 0.93, a longest losing streak of 2. It held a position at the close on 64.6% of trading days.
| Entry | Entry price | Exit | Exit price | Return | Days held |
|---|---|---|---|---|---|
| 2021-10-19 | $9.39 | 2022-02-23 | $8.87 | −5.5% | 127 |
| 2023-01-30 | $8.87 | 2023-10-09 | $8.40 | −5.3% | 252 |
| 2023-12-20 | $9.25 | 2025-05-22 | $10.26 | 11.0% | 519 |
| 2025-07-01 | $10.65 | open | – | 10.7% | – |
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 three closed trades and the open one
The first trade ran from 2021-10-19 at $9.39 to 2022-02-23 at $8.87. It returned 5.52% down over 127 days, which is the worst trade in the record. The second ran from 2023-01-30 at $8.87 to 2023-10-09 at $8.40, a loss of 5.31% over 252 days. The third ran from 2023-12-20 at $9.25 to 2025-05-22 at $10.26, a gain of 10.97% over 519 days, the best trade and the longest hold. The fourth opened on 2025-07-01 at $10.65 and was still open at the end, marked at a gain of 10.7%. All prices here are adjusted for splits and dividends and read lower than the quotes of the day.
Average winner 10.97%, average loser 5.41% down, win rate 33%, profit factor 0.93, median hold 252 days. A profit factor under 1 means the closed trades lost more in total than they made, which is consistent with a final value only a little above the start. The longest losing streak was 2, and it came at the start of the record.
Each of the two losers was held for fewer days than the winner. That matters for how to read the 33% win rate. The rule was wrong twice for short periods, then right once for a long one, and its open position is still running. A longer window or a different start date could rearrange this sequence easily, since a change of a few days in any crossing would move the entry or exit price.
The rule was invested on 64.6% of trading days. That exposure figure sits well below buy-and-hold's 100%, and it accounts for much of the return gap: the fund made money on days the sleeve was holding cash.
Largest drawdowns
| Peak | Low point | Depth | Days to low | Recovered | Days to recover |
|---|---|---|---|---|---|
| 2022-01-04 | 2024-01-18 | −13.1% | 744 | 2024-11-29 | 316 |
| 2025-02-20 | 2025-04-08 | −9.8% | 47 | 2025-10-20 | 195 |
| 2026-08-27 | 2026-10-01 | −4.6% | 35 | not yet | – |
Buy-and-hold's deepest drawdown ran from 2022-01-04 to 2022-10-14 and reached −18.3%.
Drawdowns for the rule and for holding
The rule's worst drawdown was 13.09%. It started at the 2022-01-04 peak and bottomed on 2024-01-18, 744 days later. It recovered on 2024-11-29, 316 days after the low. Holding fell 18.25% from the same peak to a low on 2022-10-14, 283 days later, and was whole again on 2024-03-28, 531 days after that low.
The two drawdowns started on the same day and then diverged. The rule sold in February 2022, so it avoided most of the slide to October. Then it re-entered in January 2023 and lost money through the year, and its equity low came in January 2024, long after holding had bottomed in October 2022. That is a feature of how a crossover works. The signal that kept the rule out of the fall was also the signal that brought it back in at about the price it left, so the rule had no gain to show for the time it sat out and then took new losses on the way back up.
The second drawdown ran from 2025-02-20 to 2025-04-08, 9.79% for the rule and 9.82% for holding. The rule was invested during all of it, so the two are almost identical. The cross did not warn of April 2025. ALTY's worst day was 2025-04-04 at 4.29% down and its best day was 2025-04-09 at 4.72% up. The rule held through both. It recovered on 2025-10-20 after 195 days, while holding recovered on 2025-07-24 after 107 days, because the rule sat in cash from May to July and bought back at a higher price.
The third is open: a 4.61% fall from 2026-08-27 to 2026-10-01 for the rule, 4.63% for holding. No recovery had come by the final day.
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) | 1.6% | −13.1% | $10,972 | 0.26 |
| 5 basis points | 1.6% | −13.3% | $10,935 | 0.26 |
| 10 basis points | 1.5% | −13.4% | $10,898 | 0.25 |
Slippage runs
The headline run assumes fills at the bar price. The cost runs deduct slippage on each fill. With 5 basis points the CAGR fell to 1.57%, the max drawdown 13.27% and the final value $10,935. With 10 basis points the three figures were 1.51%, 13.45% and $10,898. The Sharpe ratio moved from 0.26 to 0.256 and then 0.247.
The effect is small because the run has just 7 fills, 4 buys and 3 sells. A rule with that few orders pays for slippage only a handful of times, and ALTY is liquid enough that the test did not trigger a different outcome. ALTY trades an average of $162,542 a day, with a median minute volume of 287 shares, so even a $10,000 sleeve is a visible fraction of a minute's flow. A larger account would have to consider that, and the test does not measure it. The cost runs also leave out commissions, taxes and the effect of the spread on thin minutes.
Changing the parameters
| Version | CAGR | Max drawdown | Round trips | Win rate | Final value |
|---|---|---|---|---|---|
| Published rules | 1.6% | −13.1% | 3 | 33% | $10,972 |
| SMA 40/200 | 2.4% | −11.8% | 3 | 33% | $11,484 |
| SMA 50/150 | 2.5% | −9.8% | 3 | 33% | $11,543 |
| SMA 60/250 | 2.1% | −13.7% | 2 | 0% | $11,254 |
Moving the averages
Three variants were run beside the published 50/200 rule. SMA 40/200 gave a CAGR of 2.44%, a max drawdown of 11.8% and a final value of $11,484. SMA 50/150 gave 2.53%, 9.79% and $11,543. SMA 60/250 gave 2.08%, 13.68% and $11,254, with only 2 trades and no winners.
Each variant earned more than the published rule, and two of them also fell less. None came near buy-and-hold's 7.61%. Shortening either average made the cross happen sooner, which suited a fund that fell and recovered inside a few years. Lengthening both to 60 and 250 made the signal slower and cut the trade count to 2, leaving the sleeve in cash through more of the window and with a drawdown deeper than the published version.
The four versions sit in a narrow band of CAGR, and every one of them rests on 2 or 3 trades. That is too few to treat any one setting as better. The test shows that nearby settings behave like the published one and that the result does not hinge on 50 and 200 exactly, but it cannot rank them.
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
The test has 1444 sessions of ALTY. Held throughout, the fund gained 55.44% (7.99% a year on its own dates) at an annualized volatility of 10.41%. That is a quiet profile, so a trend filter has little to protect against. The worst fall was 18.56%, from 2022-01-04 to 2022-10-14, and the longest time spent under a prior high was 559 sessions.
ALTY closed above its 200-day average on 75.26% of sessions and crossed the line 29 times. Twenty-nine crossings of the long average is a lot for a fund this calm, and it means the price spends time close to the line. The golden cross filters those crossings by using a 50-day against the 200-day, which is why only 4 entries came out of them. A drop of 10% or more from a 20-day high occurred once, lasting 2 days.
Up days made 52.11% of the sample. They averaged 0.48%, while down days averaged 0.51% down. The usual intraday range was 0.81% and the usual overnight gap 0.41%. The overnight and intraday numbers split in an unusual way: the overnight log return was 111.96% and the intraday log return was 69.06% down. The fund's entire return came between the close and the next open, while trading hours subtracted. A rule that buys and sells at the open captures the overnight move from the entry day onward, and in a fund like this that is where the return sits.
Correlations were 0.75 to SPY, 0.65 to QQQ and 0.23 to TLT, with betas of 0.48, 0.3 and 0.16. The funds most correlated with it were VOOV, VTV, SSO, VOO and SPY, and the least were SPDN, SDS, SH, QID and SQQQ, which are inverse funds. The best day was 2025-04-09 at 4.72% up, and the worst was 2025-04-04 at 4.29% down.
Oversold signals show a small effect. RSI(14) closed under 30 on 40 sessions, and the median return over the next 5 days was 1.09% on 35 observations, against a baseline of 0.19%. The 20-day figure was 2.04% on 32, against 0.99%. RSI(2) below 10 appeared on 130 sessions, with a 5-day median of 0.26% and a 20-day median of 0.91%. Daily autocorrelation was 0.01, close to none, so day-to-day momentum is absent. A trend rule gets its edge from slow persistence over months, and the data here gives it little to work with.
Among the alternative-strategy funds, CLSE turned the same rule into a CAGR of 17.46%, QAI 4.28%, RINF 2.38%, ALTY 1.63%, CTA 1.35% and KMLM 1.09%. The median for the golden cross across all 59 ETFs was 2.05% and across this category 2.38%. ALTY sits below both and 32nd of 59 for this rule. The fund's full profile is on the ALTY page.
The rules
Hold while the 50-day average is above the 200-day; step aside when it crosses below (the death cross).
- WHEN the market opens · IF not invested AND SMA(50) > SMA(200) · THEN buy with 98% of the sleeve
- WHEN the market opens · IF invested AND SMA(50) < SMA(200) · THEN sell the whole position
A widely used trend filter. When the 50-day simple moving average is above the 200-day, the asset is in a long-term uptrend and the strategy holds. When it crosses below, the strategy moves to cash. It trades rarely, with a handful of signals per decade on an index. Its use is skipping the deepest bear markets, and it will lag some rallies.
Good for: long-horizon investors who want to hold trends but sidestep multi-year bear markets.
Watch out: crosses lag at turning points: the strategy gives back the first leg of a crash and misses the first leg of a recovery, and choppy sideways markets whipsaw it.
How the other templates did on ALTY
Ninth place out of 12 is where the golden cross lands on ALTY. In first place, the weekly 7% target made 8.42% with an 18.91% drawdown, and the monthly cycle took second with 7.24% and 18.47%. Both land close to the buy-and-hold figure of 7.61% and they carry a drawdown close to the fund's own.
3-month momentum returned 4.52% with a drawdown of only 8.3%, the best balance on the list. Then came EMA 12/26 with 4.27% and 14.38%, the RSI(2) snapback with 3.33% and 16.83%, and SMA 10/50 with 2.91% and 15.02%, a faster version of the same idea as this page and a better result, which agrees with the parameter table: shorter averages did better here.
Two templates finished below the golden cross with results. The dip buyer made 1.33% with a 4.66% drawdown, and the trend with trailing stop made 0.12% with the deepest drawdown on the list, 30.04%. The momentum breakout reads 0 for CAGR and drawdown because it never entered ALTY, which left the sleeve in cash throughout. The 200-day regime filter sits right beside the golden cross at 1.84% and 12.09%, which makes sense because both rely on the same long average.
On ALTY, rules that stay invested did better than rules that switch to cash, and the faster trend rules did better than the slow ones. The window starts with the fund already rising, so any rule that waited for the 200-day to confirm paid for it. The full golden cross table shows how the rule did on every other fund.
Where the test stops
What was measured is one fund, 5.74 years and 3 closed round trips. Orders fill on minute bars, the headline run adds no cost and two cost runs add 5 and 10 basis points. The holding benchmark commits 98% of the account at the first open, as the templates do. Nothing here predicts what the rule would do on ALTY in another period, and the figures are hypothetical.
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 golden cross beat buy-and-hold on ALTY?
Over 2021-01-04 to 2026-10-02, golden cross on ALTY returned 1.6% annualized vs 7.6% for buy-and-hold: it trailed buy-and-hold by 6.0% per year, with a maximum drawdown 5.2 points shallower than holding (13.1% vs 18.3%).
How many trades did it make?
3 completed round trips over 5.7 years (7 fills), with 33% of round trips closing profitably.
How often does a golden cross happen?
On a broad index, roughly every couple of years. The backtest pages show the exact trade count for each ETF over the 2021 to 2026 window.
Golden cross vs buy and hold: which does better?
It depends on the asset and the window. Every backtest page here shows the same-window buy-and-hold comparison.
Did the golden cross beat buy-and-hold on ALTY?
No. Between 2021-01-04 and 2026-10-02 the rule compounded at 1.63% a year against 7.61% for holding, finishing at $10,972 against $15,236. It had a shallower max drawdown, 13.09% against 18.25%, and it beat holding in 2022 alone.
How many trades did the golden cross make on ALTY?
Three round trips closed, and a fourth position has been open since 2025-07-01. One of the three closed trips won, 10.97% over 519 days. The other two lost 5.52% and 5.31%.
Why was the rule in cash for most of 2021?
The 50-day average did not cross above the 200-day until 2021-10-19. Until then the sleeve held cash while ALTY rose, which is why the rule made 0.5% in 2021 and holding made 23.9%.
What did slippage do to the ALTY result?
Very little. Slippage of 5 basis points per fill left a CAGR of 1.57% and $10,935, and 10 basis points left 1.51% and $10,898. Seven fills means few charges.
Would a different moving average pair have worked better on ALTY?
In this window, yes, on CAGR. SMA 40/200 gave 2.44% and SMA 50/150 gave 2.53%, both above the published 1.63%. SMA 60/250 gave 2.08%. Each variant had 2 or 3 trades, so the differences rest on very few observations.
How does the golden cross rank among the 12 templates on ALTY?
Ninth, at 1.63%. The weekly 7% target was first at 8.42% and the monthly cycle second at 7.24%. The momentum breakout never traded ALTY and finished at 0.
Is ALTY a good fit for a trend filter?
In this window it was a poor one. The fund's annualized volatility was 10.41% and it crossed its 200-day average 29 times. The 18.56% drawdown in 2022 was the only large fall, and the rule left after part of it. The result is from one test and does not predict later periods.
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.