DeployQuantIAU trading strategies, backtested
iShares Gold Trust: physical gold exposure, a common crisis hedge. Every DeployQuant template run on IAU over 5.7 years of minute data, same engine, same window, sorted by return.
IAU is the iShares Gold Trust, a fund holding physical gold. In the 2021-01-04 to 2026-10-02 window it returned 110.28% in total on its own price series, a CAGR of 13.82% with annualized volatility of 18.26%. Buy-and-hold in the strategy engine, from $10,000 with no fees, ended at $20,857 with a CAGR of 13.66%, a Sharpe ratio of 0.8 and a max drawdown of 26.16%.
Twelve rule sets ran on it. Eleven finished with a positive CAGR and one did not, the dip buyer at 0.78% negative. Only the weekly 7% target beat buy-and-hold on CAGR, at 16.35%, and ten of the twelve had a shallower drawdown than holding. The trend rules came close to holding: the trend plus trailing stop at 13.09%, the 200-day regime filter at 12.98% and the EMA 12/26 at 12.5%.
Gold's record in this window is back-loaded. The fund lost 6.12% in 2021 and 0.57% in 2022, then returned 12.83% in 2023, 26.84% in 2024 and 63.89% in 2025. 2026 is down 3.96% in the part covered. That shape decides which rules do well. A rule has to be invested for the 2025 move to match holding, and the rules that wait for confirmation or take profits early give some of it up. The headline figures carry no fees or slippage. Trailing-stop templates are backtest-only for now, so their rows describe simulated history.
| Strategy | CAGR | max DD | Sharpe | trades | win rate | final value |
|---|---|---|---|---|---|---|
| Weekly Entry + 7% Target | 16.4% | −27.7% | 1.05 | 103 | 27% (+1 open) | $23,856 |
| SMA-200 Trend + 15% Trailing Stop | 13.1% | −30.4% | 0.84 | 4 | 25% (+1 open) | $20,264 |
| 200-Day SMA Regime Filter | 13.0% | −20.0% | 0.87 | 22 | 23% | $20,152 |
| EMA 12/26 Trend | 12.5% | −15.0% | 0.89 | 23 | 48% | $19,666 |
| First-to-Last Day of Month | 11.8% | −26.1% | 0.74 | 69 | 54% (+1 open) | $19,026 |
| Golden Cross (SMA 50/200) | 10.8% | −25.9% | 0.74 | 4 | 50% | $18,014 |
| SMA 10/50 Trend | 10.8% | −23.4% | 0.78 | 16 | 44% | $17,972 |
| 3-Month Momentum Switch | 8.5% | −21.7% | 0.63 | 9 | 56% (+1 open) | $15,983 |
| 20-Day Momentum + Trailing Stop | 7.1% | −18.5% | 0.58 | 6 | 50% | $14,798 |
| RSI(14) Mean Reversion | 5.0% | −15.7% | 0.53 | 17 | 82% (+1 open) | $13,225 |
| RSI(2) Dip Snapback | 4.7% | −20.1% | 0.49 | 169 | 65% | $13,043 |
| Drawdown Dip Buyer + 8% Target | −0.8% | −24.9% | -0.04 | 2 | 100% (+1 open) | $9,558 |
| Buy & hold IAU | 13.7% | −26.2% | 0.80 | – | – | $20,857 |
Twelve rule sets against a fund that rose in a few large steps
The weekly 7% target was the only rule to finish ahead of holding. It made 103 round trips and won 27% of them, with an average win of 7.3% and an average loss of 1.43%, a profit factor of 1.85. It was invested 85.4% of the time and returned 71.2% in 2025 against 62.9% for holding. It also led in 2023 and 2026, and trailed in 2021, 2022 and 2024. Its max drawdown of 27.66% began on 2026-02-27 and had not recovered by the end of the window, which is a little deeper than the drawdown for holding.
The trend rules sit just below holding on CAGR with a much higher profit factor. The trend plus trailing stop made 4 round trips with an average win of 162% and a profit factor of 4.19, and its drawdown of 30.44% was deeper than holding. The 200-day regime filter returned 12.98% with a 20.02% drawdown. It won 23% of 22 trades, with an average loss of 0.84% and an average win of 25.34%, a profit factor of 8.19. The EMA 12/26 returned 12.5% with the shallowest drawdown of any rule near the top, at 14.97%, and a win rate of 48% over 23 trades. The golden cross returned 10.79% and the SMA 10/50 returned 10.75% with a 23.44% drawdown.
The monthly cycle returned 11.85% with exposure of 95.2%, 69 round trips and a 54% win rate. It is almost holding with a monthly reset, and it lost 1.81 points of CAGR against holding. The 3-month momentum returned 8.51% on 9 round trips with a profit factor of 5.18, and the momentum breakout returned 7.06% with an 18.54% drawdown.
The 2025 column shows how much of the ranking is one year. The trend plus trailing stop returned 62.9% that year, the 200-day regime filter 62.8%, the SMA 10/50 57.1%, the EMA 12/26 54.1% and the momentum breakout 48.5%, while the 3-month momentum returned 38%, the RSI(2) snapback 18% and the RSI mean reversion 4.4%. Only the weekly 7% target, at 71.2%, finished that year above the fund's 63.89%. Every rule that lagged holding over the full window gave up most of its ground in 2025, and none of the lagging rules made it back in 2026, a partial year in which the fund fell 3.96%. The fund's other years were quiet, so a small number of entries and exits in 2023 and 2024 set the final ranking.
The three lowest were the RSI mean reversion, the RSI(2) snapback and the dip buyer. The RSI mean reversion won 82% of 17 trades and still returned only 4.99%, because its average loss of 5.78% was larger than its average win of 3.63% and it was invested 41% of the time. Its drawdown of 15.68% was the second shallowest of the twelve, behind the EMA 12/26. The RSI(2) snapback returned 4.74% over 169 round trips with a 65% win rate. The dip buyer did nothing until late 2025, with a 0% return in each year from 2021 to 2024, then made 2 trades of 8.95% and 9.33% and a third, still open at the end, that left it with a CAGR of 0.78% negative.
How each strategy traded IAU
| Strategy | Time in market | Avg hold (days) | Best trade | Worst trade | Profit factor | With 10 bps slippage |
|---|---|---|---|---|---|---|
| weekly 7% target | 85.4% | 16 | 9.1% | −9.6% | 1.85 | 13.4% |
| trend + trailing stop | 75.0% | 384 | 162.0% | −10.9% | 4.19 | 12.9% |
| 200-day regime filter | 67.2% | 65 | 119.8% | −2.2% | 8.19 | 12.2% |
| EMA 12/26 trend | 59.3% | 54 | 38.2% | −3.4% | 5.49 | 11.6% |
| monthly cycle | 95.2% | 28 | 16.3% | −14.2% | 1.72 | 9.3% |
| golden cross | 66.1% | 348 | 96.5% | −6.0% | 10.89 | 10.7% |
| SMA 10/50 trend | 58.8% | 77 | 30.3% | −5.9% | 4.42 | 10.2% |
| 3-month momentum | 55.7% | 129 | 27.9% | −7.7% | 5.18 | 8.2% |
| momentum breakout | 48.1% | 168 | 64.7% | −7.8% | 3.28 | 6.8% |
| RSI mean reversion | 41.0% | 50 | 6.7% | −7.2% | 2.84 | 4.4% |
| RSI(2) snapback | 37.1% | 5 | 3.7% | −13.0% | 1.25 | −1.1% |
| dip buyer | 13.5% | 29 | 9.3% | 8.9% | – | −0.8% |
The trades that made the gold results
A few long holds produced most of the return in the trend rules. The trend plus trailing stop held one position from 2022-12-02 to 2026-01-30, a hold of 1,155 days, for a gain of 162%. The 200-day regime filter held from 2023-11-14 to 2026-06-08 for a gain of 119.83%, a hold of 937 days. The golden cross held from 2023-12-04 to 2026-07-01 for 96.46%, a hold of 940 days, and the momentum breakout held from 2024-04-16 to 2025-10-28 for 64.73%. These prices are adjusted for splits and dividends. Each of those rules made its money from one entry, and its other trades were small.
The median trade shows the same split. The 200-day regime filter's median was a loss of 0.66% and the EMA 12/26's was a loss of 0.12%, while their averages were driven by a few winners. The monthly cycle's median trade was a gain of 0.99% over 29 days. The RSI mean reversion's median was a gain of 3.55% over 50 days, the highest median among the rules that traded 17 or more times.
The weekly target's best trades were 9.13% from 2026-01-26 to 2026-01-29 and 8.61% from 2026-07-20 to 2026-08-07. Its worst was 9.55% negative from 2026-03-09 to 2026-03-19, followed by 7.45% negative from 2026-06-15 to 2026-06-25. In 2025 it won 9 of 16 trades, and in 2021 it won 1 of 19. A rule that waits for a 7% gain in a week needs a fund that is moving, and gold was flat through 2021 and 2022 and ran hard in 2025.
The RSI(2) snapback's worst trade was a loss of 12.96% from 2026-03-13 to 2026-03-26, a 13-day hold, against a typical hold of 4.6 days. The monthly cycle lost 14.19% in March 2026 and 9.77% in June 2026. Both rules gave back part of their gains in the 2026 pullback. The fund's worst day was 2026-01-30 at 10.09% negative, one day after the 2026-01-29 peak.
The cost runs show the fast rules paying for their trade counts. The RSI(2) snapback went from 4.74% to 1.76% at 5 basis points and to 1.11% negative at 10. The weekly target went from 16.35% to 15.07% and 13.45%, which is still ahead of holding's 13.66% at 5 basis points and slightly behind it at 10. The monthly cycle moved from 11.85% to 10.53% and 9.25%. The slow rules lost very little. The golden cross went from 10.79% to 10.75% and 10.67%, and the trend plus trailing stop from 13.09% to 13.03% and 12.95%.
How the individual rules traded gold
The two moving-average rules on IAU picked the same three trades within a few days of each other. The EMA 12/26 rule bought on 2025-08-25 at 63.41 and sold on 2026-03-20 at 87.61 for 38.16% over 207 days. The SMA 10/50 rule bought on 2025-08-27 at 63.7 and sold on 2026-03-23 at 82.97 for 30.25% over 208 days. Earlier in 2025 they entered on 2025-01-13 and 2025-01-15 and earned 24.35% and 25.19%, over 178 and 203 days. The EMA rule's gain was larger because it entered at a lower price and exited at a higher one.
Both rules lost small amounts when gold was flat. The same 18-day trade from 2021-08-30 lost 3.4% for each. SMA 10/50 won none of its 3 trades in 2021, then 3 of 4 in 2024 and 1 of 2 in 2025. EMA 12/26 won 3 of 6 in 2023 and 3 of 5 in 2024. The median trade lost 0.12% for the EMA rule and 0.1% for the SMA rule, and the profit factors of 5.49 and 4.42 came from the large winners. The SMA rule's worst trade, a 5.94% loss over 48 days from 2026-08-12 at 83.08, belongs to the 2026 decline.
The 3-month momentum rule lost on its first 3 trades in 2021 and 2022: 5.55% from 2021-05-19 and 7.66% from 2022-02-24. Then it won its next trades, starting with 27.87% over 387 days from 2023-11-29. The momentum breakout rule was the opposite in length. It made 6 round trips and one lasted 560 days, from 2024-04-16 at 44.97 to 2025-10-28 at 74.07, for 64.73%. An 8-day trade in January 2026 gained 3.33% and ended on 2026-01-30, the fund's worst day.
The RSI mean reversion rule won 3 of 4 trades in 2021, 3 of 4 in 2022, all 3 in 2023, both in 2024 and both in 2025. It lost 7.18% over 62 days from 2021-01-26 and 5.36% over 97 days from 2026-05-05. The 4.99% CAGR is low next to its win rate of 82% because it was invested 41% of the time and its average loss of 5.78% was larger than its average win of 3.63%. It held a new position from 2026-09-15 at 80.63 with a 3.32% loss at the end of the data.
The RSI(2) snapback won 19 of 31 trades in 2021, 24 of 32 in 2023 and 17 of 23 in 2025. The 2026 count was 12 of 24, and that year included the 12.96% loss over 13 days from 2026-03-13 at 96.1. Median trade return was 0.37% and the median hold was 4 days. The dip buyer closed 2 trades near 9%, and a third, entered on 2026-02-23 at 97.3, was still open at the end of the data and 19.89% under water. That is the cost of a rule with no stop.
How IAU behaved
| Measure | IAU |
|---|---|
| Data in this test | 2021-01-04 to 2026-10-02 (1444 sessions) |
| Total return, buy and hold | 110.3% |
| Annualized volatility | 18.3% |
| Deepest drawdown | −26.4% (2026-01-29 to 2026-07-16) |
| Up days | 53.3% |
| Average daily range | 0.98% |
| Average overnight gap | 0.61% |
| Correlation to SPY | 0.16 |
| Correlation to QQQ | 0.16 |
| Correlation to TLT | 0.21 |
| Sessions above the 200-day average | 78.0% |
| Crossings of the 200-day average | 44 |
| Falls of 10% or more from a 20-day high | 7 |
Calendar years
| Year | Return |
|---|---|
| 2021 | −6.1% |
| 2022 | −0.6% |
| 2023 | 12.8% |
| 2024 | 26.8% |
| 2025 | 63.9% |
| 2026 (part) | −4.0% |
Biggest single days
| Best day | Move |
|---|---|
| 2026-02-03 | 6.2% |
| 2026-08-05 | 4.1% |
| 2026-01-28 | 3.9% |
| 2026-08-19 | 3.8% |
| 2026-01-20 | 3.8% |
| Worst day | Move |
|---|---|
| 2026-01-30 | −10.1% |
| 2025-10-21 | −6.2% |
| 2026-03-03 | −4.4% |
| 2025-12-29 | −4.4% |
| 2026-03-19 | −4.2% |
Average return by calendar month
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 4.4% | 0.9% | 2.5% | 1.6% | 0.5% | −3.7% | 1.3% | 2.1% | −0.1% | 3.0% | 2.5% | 1.7% |
Most and least correlated funds
| Most correlated | Least correlated | ||
|---|---|---|---|
| UDN | 0.44 | USDU | -0.44 |
| FXE | 0.40 | EEV | -0.34 |
| QAI | 0.34 | TBF | -0.21 |
| EEM | 0.34 | SOXS | -0.19 |
| IEI | 0.33 | TECS | -0.16 |
How gold moved and what it means for the rules
IAU rose on 53.29% of sessions. The average up day was 0.83% and the average down day was 0.83% negative. The average intraday range was 0.98%, and the average overnight gap was 0.61%. Lag-1 autocorrelation was 0.02 negative, effectively zero. There were 7 separate cases of a 10% fall within 20 days, covering 20 trading days, which is few for a fund with annualized volatility of 18.26%.
The fund's one large drawdown in the window ran from 2026-01-29 to 2026-07-16 at 26.36%, and it had not recovered by 2026-10-02. It lasted 436 sessions in the longest-drawdown count. Earlier declines were shallower. The trend plus trailing stop had a drawdown of 14.81% from 2022-03-08 to a 2022-12-05 trough that recovered by 2024-03-04. All of the rules had their deepest drawdowns in 2026 or in the 2022 decline.
The fund's overnight log return was 81.29% and its intraday log return was 6.66% negative, an overnight share of 108.93%. Gold earned all of its return between the close and the next open in this window and lost a little during the day. The rules that exit intraday on a profit target give up part of that, and the rules that hold through are invested for it. The weekly target's exposure of 85.4% is consistent with its lead over holding.
The strongest months by average were January at 4.39%, October at 3.02% and March at 2.54%. June was the only clearly negative month at 3.72% negative. Each month has 5 or 6 observations, so these figures describe the window. The best day was 2026-02-03 at 6.23%, and the next best were 2026-08-05 at 4.13% and 2026-01-28 at 3.87%. Worst days after 2026-01-30 were 2025-10-21 at 6.17% negative, 2026-03-03 at 4.42% negative and 2025-12-29 at 4.36% negative. The largest moves in both directions are clustered in the last 12 months of the window.
Gold's link to equities is weak. Its correlation to SPY is 0.16 and to QQQ is 0.16, with betas of 0.18 and 0.13, and its correlation to TLT is 0.21. The most correlated funds are UDN at 0.44, FXE at 0.4, QAI at 0.34, EEM at 0.34 and IEI at 0.33, all lower than the correlations seen between equity funds. That low correlation matches the fund's description as a crisis hedge, and it is also why signals built for equity funds fit it unevenly.
The fund was above its 200-day average on 77.99% of sessions and crossed it 44 times. A high share above the average is what let the 200-day filter and the trend rules stay invested through the long run-up, and the 44 crossings are why those rules also made many short, small losses. The 200-day filter made 11 round trips in 2022 and won 3 of them.
On oversold readings, RSI(14) fell below 30 on 45 sessions, with a median forward 5-day return of 0.64% and a median 20-day return of 2.8%, above the baselines of 0.31% and 1.01%. RSI(2) below 10 occurred on 152 sessions with a median forward 5-day return of 0.18% and a 20-day median of 1.59%. The slow reading had the stronger edge, which fits the RSI mean reversion's 82% win rate, and the short reading's 5-day median of 0.18% is below the baseline of 0.31%, which fits the RSI(2) snapback's modest 4.74%. Even so, both rules trailed holding by a wide margin, because a rule invested 37% to 41% of the time missed part of the 2025 move.
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
What was the best strategy for IAU?
Of the 12 templates tested on IAU over 2021-01-04 to 2026-10-02, the strongest by CAGR was weekly 7% target at 16.4% (max drawdown 27.7%), versus 13.7% for buy-and-hold. The best result in hindsight is not a forecast. Check drawdowns and trade counts before drawing conclusions.
Did any strategy beat buying and holding IAU?
1 of 12 templates beat IAU buy-and-hold (13.7% CAGR) on this window; 10 of 12 had a shallower maximum drawdown than holding (26.2%).
Which strategy did best on IAU?
The weekly 7% target, with a CAGR of 16.35% against 13.66% for buy-and-hold. It made 103 round trips and was invested 85.4% of the time. It was the only one of twelve rule sets to beat holding on CAGR.
Did trend rules work on gold?
They came close. The trend plus trailing stop returned 13.09%, the 200-day regime filter 12.98% and the EMA 12/26 12.5%, against 13.66% for holding. Each made most of its return from one or two long holds, such as 162% over 1,155 days for the trend plus trailing stop.
How did IAU do each year?
The fund returned 6.12% negative in 2021, 0.57% negative in 2022, 12.83% in 2023, 26.84% in 2024 and 63.89% in 2025. 2026 is 3.96% negative in the part of the year covered through 2026-10-02.
How deep was the IAU drawdown?
The largest drawdown on the fund's price series was 26.36%, from the 2026-01-29 peak to the 2026-07-16 trough, with no recovery by the end of the window. Buy-and-hold in the engine showed a max drawdown of 26.16%.
Is the RSI mean reversion rule good on IAU?
It won 82% of 17 trades and had a 15.68% drawdown, but its CAGR was 4.99%. It was invested 41% of the time and missed much of the 2025 rally. Its average loss was larger than its average win.
Do trading costs matter for gold rules?
For the fast rules they do. The RSI(2) snapback fell from 4.74% to 1.11% negative at 10 basis points and the weekly target from 16.35% to 13.45%. The golden cross barely moved, from 10.79% to 10.67%.
What does the test not cover?
It covers one window, 2021-01-04 to 2026-10-02, and gold's gains are concentrated in 2024 and 2025. The headline run has no fees or slippage, and the results are hypothetical, not a forecast.
Other commodity etfs
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.