3-Month Momentum Switch on TMF
Direxion Daily 20+ Year Treasury Bull 3X Shares — 3x daily leveraged long-term Treasuries — rate bets, amplified. Backtest 2021-01-04 → 2026-07-17, $10,000 starting capital, computed by the same engine that runs live DeployQuant strategies.
Year by year
| Year | 3-month momentum | buy & hold |
|---|---|---|
| 2021 | −7.3% | −19.0% |
| 2022 | −14.8% | −70.7% |
| 2023 | −11.8% | −10.4% |
| 2024 | −11.9% | −31.4% |
| 2025 | −22.8% | −1.9% |
| 2026 | −6.1% | −9.6% |
The rules
Hold while the trailing 3-month return is positive momentum (>+5% to enter, <0% to exit).
- WHEN the market opens · IF not invested AND the 63-day return > +5% · THEN buy with 98% of the sleeve
- WHEN the market opens · IF invested AND the 63-day return < 0% · THEN sell the whole position
Time-series momentum on a quarterly lookback — the horizon most of the academic momentum literature is built on. The template enters after a +5% three-month run and exits when the same measure turns negative. The entry/exit asymmetry (in at +5%, out at 0%) is a deliberate buffer against flip-flopping around a single threshold.
Good for: assets with long, persistent cycles — index, sector, and even managed-futures ETFs.
Watch out: a three-month lookback is slow; V-shaped crashes and recoveries can see it exit near the bottom and re-enter well off the low.
Build it from blocks (or type it in English), backtest it on 5.5 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 3-month momentum beat buy-and-hold on TMF?
Over 2021-01-04–2026-07-17, 3-month momentum on TMF returned −13.6% annualized vs −30.7% for buy-and-hold — it beat buy-and-hold by 17.1% per year, with a maximum drawdown 24.2 points shallower than holding (63.5% vs 87.7%).
How many trades did it make?
17 completed round trips over 5.5 years (34 fills), with 18% of round trips closing profitably.
Why 63 days?
63 trading days ≈ one quarter — the classic momentum lookback. It's a parameter you can sweep in DeployQuant to see how horizon changes behavior.
Related
Backtests are hypothetical, computed by DeployQuant's engine on minute-resolution consolidated US market data (2021-01-04 to 2026-07-17, $10,000 starting capital, no margin, fees and slippage not modeled) and do not guarantee future results. Nothing on this page is investment advice. Live trading involves risk of loss.