DeployQuantSMA-200 Trend + 15% Trailing Stop
Enter when price is above the 200-day average; exit only when a 15% trailing stop is hit.
The SMA-200 trend plus 15% trailing stop template was run on 59 ETFs from 2021-01-04 to 2026-10-02, about 5.7 years with $10,000 per run. The entry is a regime test: if yesterday's close was above the 200-day average and the sleeve is flat, the template buys with 98% of the sleeve at the next open. The exit is a stop that trails 15% below the highest price reached since entry. There is no other sell rule. Once the position is in, the 200-day average is ignored until the stop has fired.
The median result is a 2.61% CAGR with a median maximum drawdown of 31.15% and a median Sharpe of 0.41. Median exposure was 66.6% of days and the median ETF completed 4 round trips. Against holding the same fund, the template came out ahead on 20 of 59 ETFs, had a shallower drawdown on 42, and finished with a positive CAGR on 38. Those three counts describe three different questions, and they do not agree, which is the main thing to read from the table.
The reason is visible in the structure of the rule. A trailing stop gives back 15% of the peak value on every exit, so the template always sells lower than its best price. On a fund that trends for years, that cost is paid once or twice and the position keeps most of the move. On a fund that rises and falls in a range, the cost is paid on every cycle and the 200-day entry buys back in above the stop price. The results below sort the 59 funds by that behaviour more than by asset class.
Everything here is a backtest with no fees or slippage in the headline run, daily decisions, one window and no margin. This template is backtest-only for now and cannot be deployed to a live account. The numbers describe the past on these 59 funds, and the window includes one full bear market in 2022 and no other sustained decline of that size.
The rules
- WHEN the market opens · IF not invested AND yesterday's close > SMA(200) · THEN buy with 98% of the sleeve
- WHILE invested · a managed trailing stop follows 15% below the position's high-water mark
A hybrid of the regime filter and the trailing stop. The 200-day average decides when to get in, and a 15% trail from the position's high-water mark decides when to get out. Winners can run well past the point where a crossover would have exited, and the position gives back 15% from every peak.
Good for: long trends with moderate pullbacks; the 15% trail is wide enough to survive normal corrections.
Watch out: every exit gives back 15% from the peak, and on choppy assets it re-enters above the 200-day repeatedly after each stop-out.
The two rules interact in a specific way. The 200-day average is a slow filter, and the first entry in the window cannot happen until the average has enough history. After an entry, the stop takes over. The stop follows the position's high-water mark, so it moves up with every new high and never moves down. A 15% fall from the most recent peak ends the trade, whatever the 200-day average says at that moment.
That gives each trade a floor that rises over time. A position bought at a price that later doubled is exited at a level 15% below the doubled price, not at the entry price. A trade that peaks a few percent above entry and then falls is exited near 15% below that small peak, and the loss is close to 15% of the entry price. The win rate column reflects this shape. Funds with long clean trends show few trades and a high win rate or a single open position. Funds that chop show many trades and win rates below 50%, such as SOXL at 35% and TECL at 45% with 47 round trips.
After a stop-out, the template waits for yesterday's close to be above the 200-day average again. On a fund that fell 15% but is still above its average, that happens on the next day, so the re-entry can come within a day or two of the exit and above the exit price. The caveat on the template page says this directly: it re-enters above the 200-day repeatedly after each stop-out on choppy assets. The leveraged and volatility funds in the table show the cost. TECL took 47 round trips and SOXL took 97 round trips, and both finished well behind holding the fund.
The sizing rule uses 98% of the sleeve, so the position is almost fully invested while it is on. Exposure in the results table is the share of days with a position. A fund with 86.1% exposure, such as USDU or SGOV, was invested almost the whole window. A fund with 8.1% exposure, such as SOXS, or 3.7%, such as UVXY, was in the market for a small share of the window. Exposure of this kind is a property of the fund's trend history as much as the rules.
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.
Results on every ETF
| ETF | CAGR | buy & hold | max DD | Sharpe | trades | win rate |
|---|---|---|---|---|---|---|
| TQQQ | 25.0% | 25.4% | −43.9% | 0.75 | 29 | 45% (+1 open) |
| SOXX | 19.8% | 31.1% | −36.4% | 0.77 | 14 | 57% (+1 open) |
| CLSE | 18.7% | 19.5% | −14.5% | 1.59 | 1 | 100% (+1 open) |
| SOXL | 17.8% | 33.3% | −82.0% | 0.59 | 97 | 35% (+1 open) |
| QLD | 17.2% | 23.6% | −40.1% | 0.70 | 17 | 47% (+1 open) |
| ROM | 16.5% | 30.2% | −41.3% | 0.62 | 22 | 36% (+1 open) |
| TECL | 14.4% | 38.2% | −55.8% | 0.52 | 47 | 45% (+1 open) |
| IAU | 13.1% | 13.7% | −30.4% | 0.84 | 4 | 25% (+1 open) |
| XLK | 12.5% | 22.1% | −32.5% | 0.70 | 7 | 57% (+1 open) |
| SSO | 11.4% | 21.9% | −38.9% | 0.63 | 8 | 50% (+1 open) |
| QQQM | 11.4% | 16.7% | −26.8% | 0.76 | 4 | 50% (+1 open) |
| QQQ | 11.3% | 16.7% | −26.7% | 0.75 | 4 | 50% (+1 open) |
| TBF | 11.3% | 12.2% | −16.6% | 0.84 | 2 | 100% (+1 open) |
| SPUU | 11.0% | 22.5% | −39.6% | 0.61 | 8 | 50% (+1 open) |
| IOO | 10.6% | 16.7% | −19.7% | 0.86 | 2 | 50% (+1 open) |
| VOOG | 10.6% | 15.7% | −28.8% | 0.75 | 4 | 50% (+1 open) |
| EEM | 8.8% | 6.6% | −16.3% | 0.65 | 2 | 100% (+1 open) |
| VOX | 8.6% | 9.1% | −22.1% | 0.65 | 3 | 33% (+1 open) |
| QQQE | 6.8% | 9.8% | −22.1% | 0.56 | 2 | 50% (+1 open) |
| VV | 6.2% | 14.3% | −29.6% | 0.56 | 3 | 33% (+1 open) |
| VTV | 6.0% | 13.4% | −24.4% | 0.55 | 2 | 50% (+1 open) |
| VOO | 5.7% | 14.4% | −31.2% | 0.51 | 3 | 33% (+1 open) |
| CTA | 5.5% | 8.9% | −20.6% | 0.42 | 2 | 50% (+1 open) |
| SPY | 5.5% | 14.6% | −31.1% | 0.50 | 3 | 33% (+1 open) |
| USDU | 4.7% | 5.2% | −8.9% | 0.81 | 0 | – (+1 open) |
| RINF | 4.0% | 6.6% | −13.3% | 0.41 | 0 | – (+1 open) |
| VOOV | 3.6% | 12.6% | −26.5% | 0.37 | 3 | 33% (+1 open) |
| SGOV | 3.2% | 3.2% | −0.0% | 14.13 | 0 | – (+1 open) |
| XLF | 2.6% | 12.6% | −27.9% | 0.26 | 4 | 50% (+1 open) |
| QAI | 2.6% | 3.9% | −15.9% | 0.45 | 1 | 0% (+1 open) |
| FXE | 2.1% | −0.9% | −7.9% | 0.41 | 0 | – (+1 open) |
| UDN | 1.9% | −1.1% | −8.3% | 0.38 | 0 | – (+1 open) |
| XLP | 1.8% | 5.8% | −22.0% | 0.21 | 2 | 0% (+1 open) |
| IEI | 1.4% | −0.4% | −5.2% | 0.42 | 0 | – (+1 open) |
| IWM | 1.1% | 7.5% | −35.8% | 0.15 | 5 | 20% (+1 open) |
| KMLM | 1.1% | 7.1% | −27.0% | 0.16 | 3 | 33% (+1 open) |
| ALTY | 0.1% | 7.6% | −30.0% | 0.06 | 2 | 0% (+1 open) |
| IGIB | 0.1% | 0.2% | −17.8% | 0.04 | 1 | 0% (+1 open) |
| EEV | −0.9% | −16.1% | −54.6% | 0.09 | 11 | 36% |
| BND | −1.1% | −0.8% | −18.7% | -0.19 | 1 | 0% (+1 open) |
| AGG | −1.1% | −0.8% | −18.8% | -0.19 | 1 | 0% (+1 open) |
| IEF | −2.1% | −2.3% | −21.5% | -0.32 | 1 | 0% (+1 open) |
| XLY | −4.4% | 6.3% | −39.7% | -0.19 | 7 | 43% (+1 open) |
| SOXS | −4.9% | −48.3% | −64.5% | 0.08 | 29 | 34% |
| PSQ | −5.5% | −13.8% | −38.2% | -0.28 | 8 | 38% |
| TLT | −7.1% | −8.2% | −38.8% | -0.64 | 3 | 0% (+1 open) |
| REW | −7.1% | −36.1% | −50.2% | -0.08 | 20 | 20% |
| SPDN | −7.2% | −9.7% | −44.6% | -0.51 | 7 | 43% |
| QID | −7.6% | −29.5% | −46.1% | -0.13 | 18 | 28% |
| SH | −7.7% | −10.0% | −45.4% | -0.56 | 7 | 29% |
| UST | −8.7% | −8.5% | −41.4% | -0.78 | 5 | 0% |
| VXZ | −9.6% | −15.1% | −47.3% | -0.42 | 10 | 10% |
| VIXM | −10.2% | −16.1% | −47.3% | -0.43 | 10 | 10% |
| SDS | −10.8% | −21.6% | −56.4% | -0.39 | 15 | 27% |
| TECS | −11.0% | −46.7% | −54.1% | -0.13 | 29 | 28% |
| FAS | −11.1% | 18.3% | −68.6% | -0.18 | 28 | 39% |
| SQQQ | −12.1% | −42.3% | −71.3% | -0.14 | 32 | 41% |
| TMF | −12.9% | −31.2% | −62.5% | -0.63 | 9 | 22% |
| UVXY | −25.4% | −48.7% | −81.4% | -0.76 | 24 | 21% |
The top of the results table is led by TQQQ at a 25.03% CAGR with 29 round trips, a 45% win rate and a 43.94% maximum drawdown. Holding TQQQ over the same window returned 25.35%, so the template gave up a small amount of CAGR while taking 29 round trips. The TQQQ page for this template lists every trade.
CLSE is third at 18.72% against 19.49% for holding, with one round trip, a 100% win rate, a 14.54% drawdown and 80.2% exposure. One trade carried the whole result, and a single trade is a thin sample. The CLSE page shows it. SOXX returned 19.81% against 31.11% for holding, with 14 round trips and a 36.41% drawdown. SOXL returned 17.82% against 33.32% for holding and had an 81.96% maximum drawdown, because the stop fires after a fall of 15% on a fund that moves that much in days, and the next entry came back in at higher prices.
Broad index funds sit in the middle. QQQ returned 11.27% against 16.7% for holding with 4 round trips and a 26.72% drawdown. SPY returned 5.45% against 14.56% with 3 round trips, a 31.15% drawdown and a 33% win rate. The shallower drawdown count of 42 out of 59 does not make the template a low-drawdown rule on a fund like SPY, where its 31.15% drawdown equals the median across all 59 funds.
The bottom of the table is dominated by leveraged inverse and volatility products. UVXY lost 25.39% a year with an 81.39% drawdown, SQQQ lost 12.06% with a 71.35% drawdown and 32 round trips, and TMF lost 12.92%. Holding those funds lost more, so the template beat holding on all three, but a smaller loss is still a loss. FAS is the one leveraged fund that went the other way: the template lost 11.05% a year while holding FAS returned 18.34%, the widest gap in the wrong direction in the table, with 28 round trips and a 68.57% drawdown.
Some zero-trade rows need a note. USDU, RINF, FXE, UDN, IEI and SGOV all show 0 round trips. They entered once and were still holding at the end of the window, so no trade completed. Their CAGR is the fund's own return from the entry date onward, and for SGOV the template matched the fund exactly at 3.22%. The FXE page is one example, where the template returned 2.14% while holding returned −0.9%, and the template held the position through to the end of the window.
Results by fund type
| Fund type | ETFs | Median CAGR | Median buy & hold | Median max DD | Beat holding |
|---|---|---|---|---|---|
| Broad index ETFs | 12 | 6.8% | 14.4% | −26.8% | 1 of 12 |
| Sector ETFs | 6 | 8.6% | 12.6% | −32.5% | 0 of 6 |
| Leveraged ETFs | 10 | 14.4% | 23.6% | −43.9% | 1 of 10 |
| Inverse ETFs | 11 | −7.2% | −21.6% | −50.2% | 10 of 11 |
| Bond ETFs | 7 | −1.1% | −0.8% | −18.7% | 3 of 7 |
| Commodity ETFs | 1 | 13.1% | 13.7% | −30.4% | 0 of 1 |
| Currency ETFs | 3 | 2.1% | −0.9% | −8.3% | 2 of 3 |
| Volatility products | 3 | −10.2% | −16.1% | −47.3% | 3 of 3 |
| Alternative-strategy ETFs | 6 | 4.0% | 7.6% | −20.6% | 0 of 6 |
Grouping the 59 funds by type removes some of the noise in the ranking.
Broad index ETFs, 12 funds, had a median CAGR of 6.77% against 14.42% for holding, with a median drawdown of 26.76%. Only 1 of 12 beat holding, and that one was EEM at 8.85% against 6.58%, with 2 round trips and a 16.33% drawdown. Holding these funds returned more than the template on 11 of the 12.
Sector ETFs, 6 funds, had a median CAGR of 8.57% against 12.58%, and none of the 6 beat holding. The median drawdown was 32.53%. XLK returned 12.49% against 22.07% with 7 round trips. XLY is the worst of the group at −4.4% against a positive 6.27% for holding.
Leveraged ETFs, 10 funds, had a median CAGR of 14.4% against 23.55% and a median drawdown of 43.94%. One fund beat holding, which was TMF at −12.92% against −31.16%, a smaller loss. TQQQ and UST finished just behind their own holding returns. The group result is a lower return and the same kind of deep drawdown, because a 15% trail on a threefold fund still allows a fall that the fund itself delivers within a few weeks.
Inverse ETFs, 11 funds, had a median CAGR of −7.22% against −21.57%. The template beat holding on 10 of 11. Holding an inverse fund through a long rising market loses steadily, and the 200-day entry keeps the template out of most of it: SOXS shows 8.1% exposure and finished at −4.93% against −48.27% for holding. The median drawdown was still 50.17%, because the few trades that were taken were stopped out after sharp reversals.
Bond ETFs, 7 funds, had a median CAGR of −1.08% against −0.78%, with 3 of 7 ahead of holding and a median drawdown of 18.68%. TLT returned −7.11% against −8.23% with a 38.76% drawdown. Volatility products, 3 funds, returned a median of −10.18% against −16.06%, and the template beat holding on all 3 with a median drawdown of 47.33%. Currency ETFs, 3 funds, returned a median of 2.14% against −0.9% with an 8.28% median drawdown, and 2 of 3 beat holding. Alternative-strategy ETFs, 6 funds, returned 4% against 7.61% and none beat holding. The single commodity fund, IAU, returned 13.09% against 13.66% with 4 round trips and a 25% win rate.
Year by year, median across all ETFs
| Year | trend + trailing stop | Buy & hold | ETFs with a gain |
|---|---|---|---|
| 2021 | 0.0% | 4.1% | 27 of 59 |
| 2022 | −13.8% | −12.7% | 11 of 59 |
| 2023 | 4.6% | 8.9% | 38 of 59 |
| 2024 | 6.6% | 9.7% | 39 of 59 |
| 2025 | 6.7% | 11.1% | 44 of 59 |
| 2026 | 3.7% | 3.7% | 31 of 59 |
The median across ETFs by calendar year shows when the template helped and when it did not.
In 2021 the median template return was 0%, with 27 of 59 funds positive. Holding returned a positive median that year, so the template trailed it. The 200-day average needs 200 days of history before the first entry, which affects the start of the window.
In 2022 the median template return was −13.8% against −12.7% for holding, and only 11 of 59 funds finished the year with a gain. This is the year a trend filter is supposed to help, and in the median it did not. The stop caps each trade near 15% from its peak, but a fund that falls through the year can trigger a stop, rise back above its 200-day average and trigger again. The median result ended slightly below holding.
In 2023 the template returned a median 4.6% against 8.9% for holding, with 38 of 59 positive. In 2024 it returned 6.6% against 9.7% with 39 positive, and in 2025 it returned 6.7% against 11.1% with 44 positive. The pattern repeats three years in a row: the template trailed holding each time, and the gap is consistent with being out of the market after a stop-out while the fund recovered. In 2026 through 2026-10-02 the median template return was 3.7%, equal to holding at 3.7%, with 31 of 59 positive.
The template did not beat the median holding return in any complete calendar year in the table, and it tied in the partial year. A single window of this length cannot say whether that persists. It does show that over a window that included one decline and several advances, the cost of the trailing exit was larger than the benefit of the exit.
Changing the parameters
| Version | Median CAGR | Median max DD | Median round trips |
|---|---|---|---|
| Published rules | 2.6% | −31.1% | 4 |
| 10% trailing stop | 3.2% | −31.4% | 8 |
| 20% trailing stop | 4.0% | −34.5% | 2 |
| 25% trailing stop | 4.0% | −29.3% | 1 |
The parameter table reruns the template with a different trailing percentage, taking the median across the same funds.
The published 15% rules gave a median CAGR of 2.61% with a median drawdown of 31.15% and 4 median round trips. A 10% trail gave 3.22% with a 31.36% drawdown and 8 round trips. A 20% trail gave 3.97% with a 34.45% drawdown and 2 round trips. A 25% trail gave 3.97% with a 29.34% drawdown and 1 round trip.
Three things stand out. The published 15% setting has the lowest median CAGR of the four, so each of the three alternatives returned more in the median. A tighter 10% trail raised the median round trips to 8 but did not reduce the drawdown, which stayed near 31%. A wider 25% trail behaves more like holding, with 1 median round trip, and its drawdown of 29.34% is the shallowest of the four.
The table does not point to a best setting. The differences between 3.22%, 3.97% and 3.97% are small compared with the spread between funds, and each setting was tried on the same single window. Changing the trail percentage is a one-field edit in DeployQuant, and a parameter chosen after looking at a table like this one has been fitted to this window. The comparison with other strategies is on the compare pages: RSI mean reversion had a median CAGR of 2.98%, golden cross had 2.05%, the 200-day regime filter had 1.84%, and the weekly 7% target had 6.61%.
Frequently asked questions
What is the trend + trailing stop strategy?
Enter when price is above the 200-day average; exit only when a 15% trailing stop is hit. A hybrid of the regime filter and the trailing stop. The 200-day average decides when to get in, and a 15% trail from the position's high-water mark decides when to get out. Winners can run well past the point where a crossover would have exited, and the position gives back 15% from every peak.
Does trend + trailing stop beat buy-and-hold?
Across 59 ETFs backtested 2021-01-04 to 2026-10-02, it beat same-ETF buy-and-hold on 20 of 59 (34%). Median CAGR was 2.6% with a median max drawdown of 31.1%. Per-ETF results vary widely; the table lists every one.
Why 15% rather than 10%?
A wider trail survives routine corrections and gives back more at the end. Both numbers are one-field edits in DeployQuant, so you can backtest both and compare.
What are the rules of the SMA-200 trend plus 15% trailing stop template?
When the market opens and the sleeve is flat, it buys with 98% of the sleeve if yesterday's close was above the 200-day average. Once invested, a trailing stop follows 15% below the highest price since entry. The position is sold only when that stop is hit.
How did this strategy do across 59 ETFs?
The median CAGR was 2.61% with a median maximum drawdown of 31.15% and a median Sharpe of 0.41. It beat buy-and-hold of the same ETF on 20 of 59 funds and had a positive CAGR on 38. The window is 2021-01-04 to 2026-10-02 with no fees or slippage.
Does a 15% trailing stop protect against drawdowns?
It caps the loss on each trade near 15% from the peak, but the median maximum drawdown was 31.15%, with 42 of 59 funds showing a shallower drawdown than holding. On fast leveraged funds such as SOXL the template still had an 81.96% maximum drawdown, because repeated stop-outs and re-entries added up.
Which funds suited this strategy best?
Funds with long steady trends and few stop-outs, such as CLSE with one round trip and an 18.72% CAGR, and EEM, the one broad index fund that beat holding at 8.85% against 6.58%. Inverse funds also looked better than holding on 10 of 11, because the 200-day entry kept the template out of most of their decline.
What happens if I change the trailing stop to 10%, 20% or 25%?
The median CAGR was 3.22% at 10%, 3.97% at 20% and 3.97% at 25%, against 2.61% at 15%. The median round trips were 8, 2 and 1. The differences are small compared with the spread between funds, and all were measured on one window.
Can I trade this strategy live?
This template is backtest-only for now. You can build it from blocks, backtest it and change the parameters, but live deployment of trailing-stop templates is not available yet.
Why did the strategy fall behind buy-and-hold in 2023 to 2025?
In the median it returned 4.6%, 6.6% and 6.7% in those years against 8.9%, 9.7% and 11.1% for holding. The gap is consistent with the template being out of the market after a stop-out while funds recovered.
Compare with other strategies
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.