Managed futures trend: 10 Backtests
Data last updated
Trend rules in the style of managed-futures funds, applied to the assets tested here.
0 of 10 strategies finished ahead of the benchmark on the raw number, and 0 had an unadjusted p-value under 0.05. None cleared the correction for trying 1,774 tests in total (a q-value below 0.10), so no result here is a confirmed edge. Scored 2026-10-31, using data up to 2025-03-15.
Strategies here tested on crypto, ETFs, US stocks. See the full family index, the full method and every result, or download the raw registry (JSON).
Results
| Rule | Market | Vs benchmark | Sample | p-value | Corrected q | Receipt |
|---|---|---|---|---|---|---|
| Risk-parity core + trend overlay filter receipt Source: AQR 'Trend-Following Overlays' research notes; Dalio All Weather concept | ETFs | −1.5 pts/yr | 162 rebalances | 1.000 | 1.000 | On-site receipt |
| Time-series momentum on commodity ETF basket (GLD, SLV, DBC, USO) receipt Source: Miffre & Rallo 2007 JBFA; broad CTA commodity trend literature | ETFs | −1.8 pts/yr | 177 rebalances | 1.000 | 1.000 | On-site receipt |
| Time-series momentum on commodity ETF basket (GLD, SLV, DBC, USO) (wide US stocks) receipt Source: Miffre & Rallo 2007 JBFA; broad CTA commodity trend literature | US stocks | −2.2 pts/yr | 90 rebalances | 1.000 | 1.000 | On-site receipt |
| Absolute (time-series) momentum filter on single asset (12-1 month) receipt Source: Jegadeesh & Titman 1993 JF; Antonacci 2014 | ETFs | −2.9 pts/yr | 755 trades | 1.000 | 1.000 | On-site receipt |
| Time-series momentum (Moskowitz/Ooi/Pedersen 12-month) receipt Source: Moskowitz, Ooi, Pedersen (2012) JFE | ETFs | −3.7 pts/yr | 225 rebalances | 1.000 | 1.000 | On-site receipt |
| VAA canary defensive rotation receipt Source: Keller & Keuning 2017 (Vigilant Asset Allocation) | ETFs | −4.3 pts/yr | 96 rebalances | 1.000 | 1.000 | On-site receipt |
| Time-series momentum (Moskowitz/Ooi/Pedersen 12-month) (wide US stocks) receipt Source: Moskowitz, Ooi, Pedersen (2012) JFE | US stocks | −4.8 pts/yr | 87 rebalances | 1.000 | 1.000 | On-site receipt |
| Price channel breakout with ATR trailing stop (managed-futures style) receipt Source: Public CTA methodology descriptions (Man AHL, Winton whitepapers) | ETFs | −8.4 pts/yr | 1,227 trades | 1.000 | 1.000 | On-site receipt |
| Donchian channel breakout (20/10, classic Turtle) receipt Source: Curtis Faith 'Way of the Turtle' 2007 | crypto | −19.5 pts/yr | 1,013 trades | 1.000 | 1.000 | On-site receipt Full test: Donchian / Turtle Breakout |
| 24h momentum filtered by rising open interest receipt Source: OI-confirmed momentum, crypto derivatives-desk heuristic (2022-2024 practitioner writeups) | crypto | −129.6 pts/yr | 18,940 trades | 1.000 | 1.000 | On-site receipt Full test: Funding Rate and Open Interest |
- Risk-parity core + trend overlay filter
ETFs · −1.5 pts/yr · 162 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- AQR 'Trend-Following Overlays' research notes; Dalio All Weather concept
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Time-series momentum on commodity ETF basket (GLD, SLV, DBC, USO)
ETFs · −1.8 pts/yr · 177 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Miffre & Rallo 2007 JBFA; broad CTA commodity trend literature
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Time-series momentum on commodity ETF basket (GLD, SLV, DBC, USO) (wide US stocks)
US stocks · −2.2 pts/yr · 90 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Miffre & Rallo 2007 JBFA; broad CTA commodity trend literature
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Absolute (time-series) momentum filter on single asset (12-1 month)
ETFs · −2.9 pts/yr · 755 trades · corrected q 1.000
Source, p-value and result file
- Source
- Jegadeesh & Titman 1993 JF; Antonacci 2014
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Time-series momentum (Moskowitz/Ooi/Pedersen 12-month)
ETFs · −3.7 pts/yr · 225 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Moskowitz, Ooi, Pedersen (2012) JFE
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- VAA canary defensive rotation
ETFs · −4.3 pts/yr · 96 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Keller & Keuning 2017 (Vigilant Asset Allocation)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Time-series momentum (Moskowitz/Ooi/Pedersen 12-month) (wide US stocks)
US stocks · −4.8 pts/yr · 87 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Moskowitz, Ooi, Pedersen (2012) JFE
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Price channel breakout with ATR trailing stop (managed-futures style)
ETFs · −8.4 pts/yr · 1,227 trades · corrected q 1.000
Source, p-value and result file
- Source
- Public CTA methodology descriptions (Man AHL, Winton whitepapers)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Donchian channel breakout (20/10, classic Turtle)
crypto · −19.5 pts/yr · 1,013 trades · corrected q 1.000
Full test: Donchian / Turtle Breakout
Source, p-value and result file
- Source
- Curtis Faith 'Way of the Turtle' 2007
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- 24h momentum filtered by rising open interest
crypto · −129.6 pts/yr · 18,940 trades · corrected q 1.000
Full test: Funding Rate and Open Interest
Source, p-value and result file
- Source
- OI-confirmed momentum, crypto derivatives-desk heuristic (2022-2024 practitioner writeups)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
How to read these results
"Vs benchmark" is the strategy's annualized return minus an equal-weight benchmark, rebalanced daily, on the same assets and days. Strategies are charged trading costs; the benchmark pays none. Ahead is not a confirmed edge: the p-value is the unadjusted chance of a gap this large by luck, and the corrected q allows for how many strategies were tried, because testing hundreds of ideas throws up lucky winners. Every strategy saw only data up to the same cutoff date. The receipt is the frozen result file for that rule.
"Sample" is trades for rules that enter and exit a position, and rebalances for portfolio rules. A rebalance is a scheduled date on which a portfolio rule re-ranks and held at least one position. It is the sample size for portfolio rules. A holdings change is a rebalance where what the portfolio held, or its weights, differed from the previous one. Only these cost money to trade. The two are different counts and are never swapped. Definitions.