DeployQuantGolden Cross (SMA 50/200) 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 | golden cross | buy & hold |
|---|---|---|
| 2021 | 0.0% | 6.0% |
| 2022 | 1.6% | 29.6% |
| 2023 | −7.2% | −6.0% |
| 2024 | −6.2% | −1.2% |
| 2025 | 0.6% | −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% | 1.3% | 1.5% | −1.3% | −2.5% | 8.5% | 4.0% | −1.4% | −10.0% | 2.6% |
| 2023 | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | −1.4% | 1.5% | 4.3% | −0.5% | −5.9% | −4.9% |
| 2024 | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | −1.8% | −4.5% | 0.0% | 0.0% |
| 2025 | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | −1.5% | 0.2% | 2.0% |
| 2026 | 0.1% | 4.2% | 4.1% | 5.0% | −4.5% | −2.7% | 6.5% | 1.9% | 3.9% | 0.1% | – | – |
Every trade
golden cross on KMLM made 3 closed round trips and one position still open at the end of the test, an average hold of 144 days, an average winner of 1.64%, an average loser of −6.84%, a profit factor of 0.12, a longest losing streak of 2. It held a position at the close on 41.3% of trading days.
| Entry | Entry price | Exit | Exit price | Return | Days held |
|---|---|---|---|---|---|
| 2022-04-27 | $28.70 | 2022-12-30 | $29.17 | 1.6% | 247 |
| 2023-07-17 | $29.38 | 2023-12-26 | $27.23 | −7.3% | 162 |
| 2024-09-10 | $28.13 | 2024-10-04 | $26.34 | −6.4% | 24 |
| 2025-10-20 | $25.76 | open | – | 20.7% | – |
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.
Largest drawdowns
| Peak | Low point | Depth | Days to low | Recovered | Days to recover |
|---|---|---|---|---|---|
| 2022-10-14 | 2025-11-05 | −25.8% | 1118 | not yet | – |
| 2022-06-13 | 2022-08-04 | −14.9% | 52 | 2022-09-26 | 53 |
| 2022-09-27 | 2022-10-04 | −6.1% | 7 | 2022-10-10 | 6 |
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) | 1.1% | −25.8% | $10,641 | 0.17 |
| 5 basis points | 1.0% | −26.0% | $10,604 | 0.16 |
| 10 basis points | 1.0% | −26.3% | $10,567 | 0.15 |
Changing the parameters
| Version | CAGR | Max drawdown | Round trips | Win rate | Final value |
|---|---|---|---|---|---|
| Published rules | 1.1% | −25.8% | 3 | 33% | $10,641 |
| SMA 40/200 | 0.9% | −26.2% | 4 | 25% | $10,538 |
| SMA 50/150 | 5.2% | −22.2% | 3 | 33% | $13,361 |
| SMA 60/250 | −0.3% | −25.8% | 2 | 0% | $9,850 |
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
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.
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 KMLM?
Over 2021-01-04 to 2026-10-02, golden cross on KMLM returned 1.1% annualized vs 7.1% for buy-and-hold: it trailed buy-and-hold by 6.0% per year, with a maximum drawdown 1.5 points shallower than holding (25.8% vs 27.3%).
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.
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.