DeployQuantFirst-to-Last Day of Month 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 | monthly cycle | buy & hold |
|---|---|---|
| 2022 | 17.1% | 9.2% |
| 2023 | −3.7% | −2.1% |
| 2024 | 25.9% | 23.6% |
| 2025 | 3.4% | 0.8% |
| 2026 | 20.5% | 11.4% |
Month by month
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2022 | – | – | 0.0% | 7.3% | 1.0% | 2.4% | 2.6% | 3.5% | −0.4% | 2.3% | −3.3% | 0.8% |
| 2023 | −4.0% | 10.1% | −13.4% | 6.6% | 1.4% | 1.3% | 0.9% | −1.2% | 8.2% | −5.0% | −4.4% | −2.0% |
| 2024 | 0.7% | 6.8% | 0.0% | 9.5% | 0.5% | −2.0% | −3.8% | 2.0% | −0.3% | 4.1% | 4.3% | 2.1% |
| 2025 | 2.1% | 1.1% | 3.2% | −4.8% | −2.3% | −0.9% | 4.2% | 3.4% | −0.9% | −1.7% | 0.2% | 0.1% |
| 2026 | 4.5% | 9.4% | 1.0% | 8.8% | −9.8% | −10.8% | 6.5% | 8.1% | 2.6% | 1.1% | – | – |
Every trade
monthly cycle on CTA made 54 closed round trips and one position still open at the end of the test, an average hold of 28 days, an average winner of 3.91%, an average loser of −3.82%, a profit factor of 1.74, a longest losing streak of 3. It held a position at the close on 93.7% of trading days.
Best 10 round trips
| Entry | Entry price | Exit | Exit price | Return | Days held |
|---|---|---|---|---|---|
| 2023-02-01 | $20.36 | 2023-02-28 | $22.47 | 10.4% | 27 |
| 2024-04-01 | $22.35 | 2024-04-30 | $24.52 | 9.7% | 29 |
| 2026-02-02 | $26.66 | 2026-02-27 | $29.23 | 9.6% | 25 |
| 2026-04-01 | $28.73 | 2026-04-30 | $31.30 | 8.9% | 29 |
| 2023-09-01 | $20.92 | 2023-09-29 | $22.68 | 8.4% | 28 |
| 2026-08-03 | $25.94 | 2026-08-31 | $28.09 | 8.3% | 28 |
| 2022-04-01 | $18.71 | 2022-04-29 | $20.11 | 7.5% | 28 |
| 2024-02-01 | $20.85 | 2024-02-29 | $22.31 | 7.0% | 28 |
| 2023-04-03 | $19.22 | 2023-04-28 | $20.52 | 6.8% | 25 |
| 2026-07-01 | $25.36 | 2026-07-31 | $27.04 | 6.6% | 30 |
Worst 10 round trips
| Entry | Entry price | Exit | Exit price | Return | Days held |
|---|---|---|---|---|---|
| 2023-03-01 | $22.41 | 2023-03-31 | $19.34 | −13.7% | 30 |
| 2026-06-01 | $28.89 | 2026-06-30 | $25.70 | −11.0% | 29 |
| 2026-05-01 | $31.45 | 2026-05-29 | $28.29 | −10.1% | 28 |
| 2023-10-02 | $23.05 | 2023-10-31 | $21.88 | −5.1% | 29 |
| 2025-04-01 | $27.63 | 2025-04-30 | $26.29 | −4.8% | 29 |
| 2023-11-01 | $22.11 | 2023-11-30 | $21.12 | −4.5% | 29 |
| 2023-01-03 | $21.35 | 2023-01-31 | $20.47 | −4.1% | 28 |
| 2024-07-01 | $24.25 | 2024-07-31 | $23.32 | −3.8% | 30 |
| 2022-11-01 | $22.97 | 2022-11-30 | $22.19 | −3.4% | 29 |
| 2025-05-01 | $25.96 | 2025-05-30 | $25.34 | −2.4% | 29 |
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 |
|---|---|---|---|---|---|
| 2026-04-29 | 2026-06-26 | −21.2% | 58 | not yet | – |
| 2023-03-07 | 2023-03-13 | −16.4% | 6 | 2024-04-11 | 395 |
| 2022-11-03 | 2023-01-18 | −9.8% | 76 | 2023-02-24 | 37 |
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) | 13.3% | −21.2% | $17,695 | 0.83 |
| 5 basis points | 12.0% | −21.3% | $16,781 | 0.77 |
| 10 basis points | 10.7% | −21.5% | $15,909 | 0.69 |
Changing the parameters
| Version | CAGR | Max drawdown | Round trips | Win rate | Final value |
|---|---|---|---|---|---|
| Published rules | 13.3% | −21.2% | 54 | 65% | $17,695 |
| Only after a positive month | 7.2% | −20.2% | 34 | 71% | $13,754 |
| Only above the 200-day SMA | −0.6% | −22.3% | 30 | 50% | $9,751 |
| With a 5% profit target | 14.7% | −21.0% | 54 | 69% | $18,682 |
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 the first session of each month and sell the last, as a calendar-seasonality test.
- WHEN the first session of the month opens · IF not invested · THEN buy with 98% of the sleeve (once per month)
- WHEN the last session of the month opens · IF invested · THEN sell the whole position
This template uses no indicators. It tests the turn-of-the-month effect by holding from each month's first open to its last. Whatever it earns or loses comes from calendar seasonality alone, so it is a useful comparison against buy-and-hold on the same page.
Good for: measuring how much of an asset's return accrues inside the month versus across month boundaries.
Watch out: this is a research template. It holds ~95% of all sessions, so results usually track buy-and-hold minus the boundary days.
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 monthly cycle beat buy-and-hold on CTA?
Over 2021-01-04 to 2026-10-02, monthly cycle on CTA returned 13.3% annualized vs 8.9% for buy-and-hold: it beat buy-and-hold by 4.4% per year, with a maximum drawdown of 21.2% (buy-and-hold: 20.5%).
How many trades did it make?
54 completed round trips over 5.7 years (109 fills), with 65% of round trips closing profitably.
Is the turn-of-the-month effect real?
It has appeared in long historical studies, but it depends on the market regime and is small. These pages show the recent five and a half years per ETF.
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.