DeployQuantWeekly Entry + 7% Target 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 | weekly 7% target | buy & hold |
|---|---|---|
| 2021 | 7.3% | 6.0% |
| 2022 | 23.5% | 29.6% |
| 2023 | −8.4% | −6.0% |
| 2024 | −3.4% | −1.2% |
| 2025 | −3.4% | −3.1% |
| 2026 | 24.3% | 19.6% |
Month by month
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2021 | 0.1% | 5.6% | −1.6% | 6.3% | −0.8% | −1.8% | −1.8% | 1.4% | 2.6% | 2.6% | −4.7% | −0.3% |
| 2022 | 4.9% | 5.5% | 0.6% | 9.3% | −0.3% | −1.3% | −2.1% | 5.6% | 6.7% | 1.6% | −9.3% | 1.6% |
| 2023 | −3.9% | 1.6% | −2.3% | 4.5% | −0.7% | −1.6% | 0.6% | 1.5% | 4.4% | −2.6% | −4.5% | −5.3% |
| 2024 | −4.4% | 2.4% | 2.3% | 4.9% | −4.4% | −2.7% | 1.8% | −2.0% | 0.5% | −2.5% | −1.8% | 3.0% |
| 2025 | −2.9% | −1.8% | 0.6% | −3.6% | 0.1% | 0.3% | −0.4% | 2.4% | 0.7% | −1.0% | 0.2% | 2.0% |
| 2026 | 0.3% | 2.8% | 8.1% | 4.3% | −2.6% | −3.9% | 6.1% | 3.7% | 3.7% | 0.1% | – | – |
Every trade
weekly 7% target on KMLM made 96 closed round trips and one position still open at the end of the test, an average hold of 17 days, an average winner of 7.40%, an average loser of −1.42%, a profit factor of 1.29, a longest losing streak of 16. It held a position at the close on 84.6% of trading days.
Best 10 round trips
| Entry | Entry price | Exit | Exit price | Return | Days held |
|---|---|---|---|---|---|
| 2022-02-07 | $23.76 | 2022-03-03 | $25.83 | 8.7% | 24 |
| 2021-08-20 | $21.75 | 2021-10-07 | $23.58 | 8.4% | 48 |
| 2026-02-17 | $26.42 | 2026-03-18 | $28.58 | 8.2% | 29 |
| 2021-12-20 | $22.18 | 2022-02-04 | $23.99 | 8.2% | 46 |
| 2022-04-25 | $28.22 | 2022-05-05 | $30.32 | 7.4% | 10 |
| 2021-01-12 | $20.83 | 2021-02-24 | $22.37 | 7.4% | 43 |
| 2026-08-10 | $28.64 | 2026-09-10 | $30.75 | 7.4% | 31 |
| 2025-08-04 | $24.84 | 2026-01-12 | $26.63 | 7.2% | 161 |
| 2022-04-04 | $26.72 | 2022-04-14 | $28.64 | 7.2% | 10 |
| 2025-06-23 | $24.06 | 2025-07-23 | $25.79 | 7.2% | 30 |
Worst 10 round trips
| Entry | Entry price | Exit | Exit price | Return | Days held |
|---|---|---|---|---|---|
| 2022-10-31 | $31.62 | 2022-11-10 | $29.90 | −5.4% | 10 |
| 2022-10-17 | $32.55 | 2022-10-27 | $30.85 | −5.2% | 10 |
| 2022-06-21 | $31.15 | 2022-06-23 | $29.92 | −4.0% | 2 |
| 2022-03-07 | $26.66 | 2022-03-10 | $25.74 | −3.5% | 3 |
| 2021-05-06 | $23.06 | 2021-06-23 | $22.32 | −3.2% | 48 |
| 2021-02-24 | $22.37 | 2021-03-31 | $21.66 | −3.2% | 35 |
| 2022-05-16 | $30.48 | 2022-05-19 | $29.53 | −3.1% | 3 |
| 2022-11-21 | $29.33 | 2022-11-23 | $28.42 | −3.1% | 2 |
| 2025-05-19 | $24.99 | 2025-06-18 | $24.22 | −3.1% | 30 |
| 2025-07-28 | $25.70 | 2025-07-31 | $24.92 | −3.0% | 3 |
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 |
|---|---|---|---|---|---|
| 2022-10-20 | 2025-06-18 | −31.3% | 972 | not yet | – |
| 2022-06-13 | 2022-07-06 | −11.7% | 23 | 2022-09-26 | 82 |
| 2021-05-12 | 2021-07-19 | −11.5% | 68 | 2021-10-11 | 84 |
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) | 6.1% | −31.3% | $14,068 | 0.54 |
| 5 basis points | 5.4% | −34.5% | $13,538 | 0.49 |
| 10 basis points | 3.1% | −39.6% | $11,950 | 0.32 |
Changing the parameters
| Version | CAGR | Max drawdown | Round trips | Win rate | Final value |
|---|---|---|---|---|---|
| Published rules | 6.1% | −31.3% | 96 | 21% | $14,068 |
| 5% target | 6.7% | −30.1% | 99 | 27% | $14,495 |
| 10% target | 6.4% | −31.0% | 70 | 17% | $14,257 |
| 15% target | 5.2% | −33.2% | 44 | 11% | $13,394 |
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
Buy at the first open of each week, rest a +7% profit target, and exit Thursday afternoon if the trade is losing.
- WHEN the first session of the week opens · IF not invested · THEN buy with 98% of the sleeve (once per week)
- WHILE invested · a managed limit order rests at entry price × 1.07
- WHEN it's 2:00pm on the week's second-to-last session · IF the position is losing · THEN sell everything
A weekly swing template: enter Monday, aim for +7%, and do not carry a loser into the weekend. The profit target rests at the broker as a real limit order the whole time (DeployQuant maintains it as a managed order). The Thursday-afternoon exit gives losing trades a time deadline instead of a price stop.
Good for: volatile assets that regularly swing 7% within a week, such as leveraged ETFs.
Watch out: the time-based exit realizes many small losses by design. The template needs the +7% winners to outnumber them, which the per-ETF results test directly.
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 weekly 7% target beat buy-and-hold on KMLM?
Over 2021-01-04 to 2026-10-02, weekly 7% target on KMLM returned 6.1% annualized vs 7.1% for buy-and-hold: it trailed buy-and-hold by 0.9% per year, with a maximum drawdown of 31.3% (buy-and-hold: 27.3%).
How many trades did it make?
96 completed round trips over 5.7 years (193 fills), with 21% of round trips closing profitably.
Why exit on Thursday?
It is a time deadline. The template does not hold a losing trade over the weekend gap. On holiday-shortened weeks the exit moves to the week's second-to-last session automatically.
Does the 7% target rest at the broker?
Yes. Deployed live, the target is a real GTC limit order that DeployQuant places and maintains.
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.