DeployQuant20-Day Momentum + Trailing Stop 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 | momentum breakout | buy & hold |
|---|---|---|
| 2022 | −1.2% | 9.2% |
| 2023 | −10.8% | −2.1% |
| 2024 | 7.1% | 23.6% |
| 2025 | −2.5% | 0.8% |
| 2026 | −4.5% | 11.4% |
Month by month
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2022 | – | – | 0.0% | 0.0% | 0.0% | 0.0% | −1.4% | 4.0% | −0.0% | 1.7% | −5.3% | 0.0% |
| 2023 | 0.0% | −0.6% | −10.3% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| 2024 | 0.0% | 0.0% | 0.0% | 1.4% | −0.9% | −0.6% | −4.3% | 0.8% | 0.9% | 3.0% | 3.8% | 3.0% |
| 2025 | 2.3% | 0.5% | 3.5% | −5.0% | −3.6% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| 2026 | 0.0% | 0.0% | 0.0% | 0.0% | −8.9% | 0.0% | −3.1% | 4.5% | 2.4% | 1.1% | – | – |
Every trade
momentum breakout on CTA made 4 closed round trips and one position still open at the end of the test, an average hold of 143 days, an average winner of 4.49%, an average loser of −7.14%, a profit factor of 0.19, a longest losing streak of 2. It held a position at the close on 38.7% of trading days.
| Entry | Entry price | Exit | Exit price | Return | Days held |
|---|---|---|---|---|---|
| 2022-07-06 | $22.28 | 2022-11-14 | $22.00 | −1.3% | 131 |
| 2023-02-27 | $22.51 | 2023-03-13 | $20.02 | −11.1% | 14 |
| 2024-04-23 | $24.16 | 2025-05-29 | $25.25 | 4.5% | 401 |
| 2026-05-01 | $31.45 | 2026-05-27 | $28.59 | −9.1% | 26 |
| 2026-07-24 | $27.79 | open | – | 4.9% | – |
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 |
|---|---|---|---|---|---|
| 2022-11-03 | 2026-08-04 | −27.4% | 1370 | not yet | – |
| 2022-09-26 | 2022-10-04 | −3.8% | 8 | 2022-11-03 | 30 |
| 2022-07-25 | 2022-08-01 | −3.6% | 7 | 2022-08-31 | 30 |
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) | −2.8% | −27.4% | $8,777 | -0.20 |
| 5 basis points | −2.9% | −27.7% | $8,740 | -0.20 |
| 10 basis points | −3.0% | −28.0% | $8,700 | -0.21 |
Changing the parameters
| Version | CAGR | Max drawdown | Round trips | Win rate | Final value |
|---|---|---|---|---|---|
| Published rules | −2.8% | −27.4% | 4 | 25% | $8,777 |
| 5% trailing stop | −2.9% | −16.4% | 9 | 22% | $8,758 |
| 15% trailing stop | −0.8% | −25.4% | 3 | 33% | $9,662 |
| 20% return entry | 0.0% | −0.0% | 0 | – | $10,000 |
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
Buy after a +10% four-week burst and let a 10% trailing stop manage the exit.
- WHEN the market opens · IF not invested AND the 20-day return > +10% · THEN buy with 98% of the sleeve
- WHILE invested · a managed trailing stop follows 10% below the position's high-water mark
Momentum entry, trailing-stop exit. A +10% gain over 20 sessions marks a burst of momentum. The template buys the strength and exits on a 10% trailing stop that ratchets up beneath the highest close and never moves down. There is no profit target, so winners run until the trail is hit.
Good for: high-momentum assets where trends extend, such as semiconductor and leveraged tech ETFs.
Watch out: buying strength means buying high; when a burst immediately reverses, the trail exits about 10% below the entry.
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 momentum breakout beat buy-and-hold on CTA?
Over 2021-01-04 to 2026-10-02, momentum breakout on CTA returned −2.8% annualized vs 8.9% for buy-and-hold: it trailed buy-and-hold by 11.7% per year, with a maximum drawdown of 27.4% (buy-and-hold: 20.5%).
How many trades did it make?
4 completed round trips over 5.7 years (9 fills), with 25% of round trips closing profitably.
How does the trailing stop work in the backtest?
The stop sits 10% below the highest price since entry and only ratchets up. When a bar trades through it, the position sells at the stop, or at the open if the price gaps below it. Trailing-stop exits can be backtested now; deploying them live is not available yet.
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.