DeployQuantIEI trading strategies, backtested
iShares 3-7 Year Treasury Bond ETF: shorter-duration Treasuries with milder swings. Every DeployQuant template run on IEI over 5.7 years of minute data, same engine, same window, sorted by return.
IEI holds US Treasuries with remaining maturities of three to seven years. It is a low-volatility fund, with annualized volatility of 4.57% in this window, and its price went nowhere. From 2021-01-04 to 2026-10-02 buy-and-hold returned negative 0.36% a year and turned $10,000 into $9,793. The maximum drawdown was 13.8%, from the first day of the window to 2022-10-20, and the fund did not get back to that peak until 2025-10-16.
On a bond fund that fell, sitting in cash cost little. Ten of the 12 DeployQuant templates beat holding on CAGR, and 11 had a shallower drawdown. Six of the 12 finished with a positive CAGR. The best was the trend with 15% trailing stop template at 1.43% a year with a drawdown of 5.2%, and the RSI(2) snapback template came next at 1.42%. The two that lost more than holding were the monthly cycle at negative 0.84% and 3-month momentum at negative 0.59%.
The numbers here are small. The top template ended at $10,850 from a $10,000 start after 5.74 years. Two of the templates, the dip buyer and the momentum breakout, never placed a trade because the fund never produced the signal they need. Some results rest on actual decisions. Others rest on a single position or on no trades at all.
All figures come from one window, daily decisions, minute-bar fills, and no margin. The headline run has no fees or slippage. For a fund this quiet, the cost runs matter more than the headline numbers, and they are covered below.
| Strategy | CAGR | max DD | Sharpe | trades | win rate | final value |
|---|---|---|---|---|---|---|
| SMA-200 Trend + 15% Trailing Stop | 1.4% | −5.2% | 0.42 | 0 | – (+1 open) | $10,850 |
| RSI(2) Dip Snapback | 1.4% | −6.9% | 0.48 | 172 | 66% | $10,843 |
| SMA 10/50 Trend | 1.2% | −3.2% | 0.44 | 16 | 50% | $10,731 |
| Golden Cross (SMA 50/200) | 1.1% | −5.5% | 0.40 | 2 | 50% | $10,644 |
| 200-Day SMA Regime Filter | 1.0% | −4.6% | 0.36 | 21 | 33% | $10,608 |
| EMA 12/26 Trend | 0.9% | −4.2% | 0.30 | 20 | 35% | $10,509 |
| Drawdown Dip Buyer + 8% Target | 0.0% | −0.0% | 0.00 | 0 | – | $10,000 |
| 20-Day Momentum + Trailing Stop | 0.0% | −0.0% | 0.00 | 0 | – | $10,000 |
| RSI(14) Mean Reversion | −0.2% | −8.7% | -0.05 | 16 | 69% (+1 open) | $9,884 |
| Weekly Entry + 7% Target | −0.3% | −11.8% | -0.04 | 53 | 6% (+1 open) | $9,853 |
| 3-Month Momentum Switch | −0.6% | −3.8% | -0.51 | 2 | 0% | $9,669 |
| First-to-Last Day of Month | −0.8% | −15.0% | -0.18 | 69 | 49% (+1 open) | $9,528 |
| Buy & hold IEI | −0.4% | −13.8% | -0.07 | – | – | $9,793 |
What the 12 templates did on a fund that fell in 2022
Most of the positive results trace back to one calendar year. IEI returned negative 9.54% in 2022, after negative 2.55% in 2021. It then returned 4.43% in 2023, 1.92% in 2024, 6.83% in 2025, and negative 2.48% in 2026 to date. A template that was in cash for 2022 beat holding by about 9 points that year, and the gap table shows exactly that: the trailing-stop template, golden cross, the 200-day filter, and 3-month momentum each show a 2022 gap of 9.3 points against holding.
The trailing-stop trend rule is the clearest case. It made no completed round trips. It entered on 2023-01-12, held through to the end of the data, and the open position was up 8.68%. Its 2021 and 2022 returns were 0.0% because it was out of the fund, and its 1.43% CAGR is that one position set against the earlier flat period. Its only drawdown of note, 5.2%, ran from 2023-05-04 to 2023-10-19. With a single position, the result says the 15% stop was never hit after the January 2023 entry. It says little else about the rule.
RSI(2) snapback is the opposite case. It made 172 round trips and won 66% of them, with an average win of 0.33% and an average loss of 0.50%. The profit factor was 1.29 and the Sharpe ratio was 0.48, the highest in the table. Its year path was 0.4% in 2021, negative 5.2% in 2022, 8.7% in 2023, 0.1% in 2024, 4.6% in 2025, and negative 0.1% in 2026. The worst trade lost 4.11% over 42 days, from 2022-08-18 to 2022-09-29, a long hold for a rule that averaged 5 days. Its best trades were in March 2023, including 2.1% from 2023-03-22 to 2023-03-24, during the best stretch for the fund in the whole window.
SMA 10/50 returned 1.24% with 16 round trips, a 50% win rate, a drawdown of 3.21%, and a profit factor of 2.43. Its average win was 1.56% against an average loss of 0.63%. All three of its 2022 trades lost money, but the largest was 0.72%, so the 2022 return was negative 1.7% against negative 9.3% for holding. The 200-day filter returned 1.03% with 21 round trips, a 33% win rate, and a drawdown of 4.62%. It was out of the fund for all of 2021 and 2022, and its best trade held 484 days from 2025-01-16 to 2026-05-15 for 6.47%. See the 200-day filter page for IEI.
Golden cross made 2 round trips. One lost 2.36% over 149 days in 2023, and the other held 897 days from 2024-01-02 to 2026-06-17 for 9.15%. The CAGR of 1.09% is that one long trade. The EMA 12/26 trend returned 0.87% with 20 round trips and a 35% win rate. For all five trend rules, the main source of the gap to holding was the 2022 decline they avoided, and the CAGRs fall in a narrow band from 0.87% to 1.43%.
The dip buyer and momentum breakout returned exactly 0.00% with 0 fills. The dip buyer enters after a 10% fall from a 20-day high, and IEI had 0 such events in the window, with a largest daily drop of 1.09%. The momentum breakout needs a 20-day return above 10%, which a fund with 4.57% annual volatility does not produce. Both show a gap to holding of 0.36 points, which is just the loss that holding suffered. They did not decide anything.
RSI(14) mean reversion returned negative 0.20% with 16 round trips, a 69% win rate, and a profit factor of 1.05. Its average win was 1.18% and its average loss was 2.40%. The worst trade held 240 days from 2021-09-29 to 2022-05-27 and lost 6.49%, entered on an oversold reading that proved early in a falling market.
The weekly 7% target returned negative 0.26% and was invested 92.6% of the time. It made 53 round trips and won 3, a win rate of 6%, with a losing streak of 28 trades. The 7% target is far from the fund's typical move: the best of its three wins gained 7.2% over 235 days. The average hold was 35.4 days and the average loss was 0.44%. Its drawdown of 11.8% followed the fund's.
The monthly cycle returned negative 0.84% and had a 15.0% drawdown, deeper than the 13.8% for holding. It was invested 95.2% of the time, with 69 round trips and a 49% win rate. Its worst trade was a loss of 3.51% in March 2022. 3-month momentum made 2 round trips, both losses of 1.42% and 2.00% in 2024, and returned negative 0.59%.
How each strategy traded IEI
| Strategy | Time in market | Avg hold (days) | Best trade | Worst trade | Profit factor | With 10 bps slippage |
|---|---|---|---|---|---|---|
| trend + trailing stop | 64.7% | – | – | – | – | 1.4% |
| RSI(2) snapback | 43.5% | 5 | 2.1% | −4.1% | 1.29 | −4.3% |
| SMA 10/50 trend | 49.4% | 65 | 3.6% | −1.0% | 2.43 | 0.7% |
| golden cross | 49.8% | 523 | 9.2% | −2.4% | 3.79 | 1.0% |
| 200-day regime filter | 51.0% | 51 | 6.5% | −0.8% | 2.37 | 0.3% |
| EMA 12/26 trend | 50.2% | 53 | 4.3% | −1.2% | 1.65 | 0.2% |
| dip buyer | 0.0% | – | – | – | – | 0.0% |
| momentum breakout | 0.0% | – | – | – | – | 0.0% |
| RSI mean reversion | 50.3% | 57 | 3.0% | −6.5% | 1.05 | −0.8% |
| weekly 7% target | 92.6% | 35 | 7.2% | −1.5% | 0.92 | −2.2% |
| 3-month momentum | 8.0% | 84 | −1.4% | −2.0% | – | −0.7% |
| monthly cycle | 95.2% | 28 | 2.8% | −3.5% | 0.85 | −3.1% |
Why costs matter more than the headline here
A bond fund with an average intraday range of 0.25% and an average daily move of about 0.2% leaves little room for a rule that trades often. The trading table shows the cost effect directly.
For the rules that trade rarely, the effect is negligible. The trailing-stop trend rule, with one fill, went from 1.43% to 1.41% at 10 basis points. Golden cross went from 1.09% to 1.01%. The dip buyer and momentum breakout, with no fills, stayed at 0.00%.
The 200-day filter and EMA 12/26 each have about 40 fills. The filter went from 1.03% to 0.68% at 5 basis points and 0.32% at 10. EMA 12/26 went from 0.87% to 0.52% to 0.18%. SMA 10/50 went from 1.24% to 0.96% to 0.69%. These rules stayed positive.
RSI(2) snapback did not. It went from 1.42% to negative 1.51% at 5 basis points and negative 4.33% at 10, and its maximum drawdown went from 6.87% to 11.14% and then 22.74%. It made 344 fills. The median trade gained 0.09%, close to the size of the 10 basis point assumption. The template that ranked second on the headline numbers had the worst cost result among the profitable ones. The weekly 7% target and the monthly cycle also lost more: the weekly went from negative 0.26% to negative 2.24% and the monthly from negative 0.84% to negative 3.15%.
The lesson from the table is that on IEI, trade count decides the cost result, and the profit factor does not. RSI(2) had a profit factor of 1.29 and a 66% win rate and still lost money after 10 basis points. The 200-day filter had a 33% win rate and a profit factor of 2.37 and stayed positive.
The fund's liquidity is adequate. IEI trades $172,230,207 a day on average, with a median minute volume of 1,292 shares. The cost runs apply a flat offset and do not model the spread on the days of the largest moves, such as 2022-11-10, when the fund gained 1.45%.
The other intermediate Treasury fund in the test, IEF, returned negative 2.29% on buy-and-hold and its best template, RSI(2) snapback, returned 1.84%. The same template was best on AGG at 1.57% and BND at 1.41%. Across the bond funds the pattern is consistent: the 2022 decline made cash the winning position, and the best template depended on how well it avoided that year.
What the individual trades did on IEI
The trade lists show that IEI's results come from a handful of positions, each with a known date. The golden cross made 2 round trips. It lost 2.36% over 149 days from 2023-03-20 at 105.12, then bought on 2024-01-02 at 106.25 and sold on 2026-06-17 at 115.97 for 9.15% over 897 days. That one hold is the whole 1.09% CAGR. The 200-day regime filter made 21 round trips and its largest was 6.47% over 484 days from 2025-01-16 at 108.24 to 2026-05-15. It won 2 of 9 in 2023 and 3 of 8 in 2026, and lost 0.85% over 26 days from 2023-01-12 and 0.8% over 15 days from 2023-07-13. The median trade lost 0.12% and the median hold was 3 days.
The SMA 10/50 and EMA 12/26 rules again chose almost the same winners. SMA 10/50 earned 3.64% over 148 days from 2024-05-16 and 3.15% over 235 days from 2025-06-05. EMA 12/26 earned 4.3% over 152 days from 2024-05-10 and 3.26% over 233 days from 2025-06-02. Both lost on all of their 2022 trades, with 3 losing trips for SMA 10/50 and 2 for EMA 12/26, and each had a best trade shorter than a year. SMA 10/50 won 2 of 2 in 2023 and 1 of 4 in 2026. Its profit factor of 2.43 and drawdown of 3.21% come from small losses, the largest being 1.04% over 13 days from 2024-12-10.
The RSI mean reversion rule lost 6.49% over 240 days from 2021-09-29 at 113.74 to 2022-05-27 and lost 2.79% from 2022-08-25. After that it won 2.99% from 2022-06-13, 2.39% from 2022-12-29 and 1.33% from 2023-02-15, then all 4 trades in 2025 and both in 2026. The average win of 1.18% against an average loss of 2.4% left a profit factor of 1.05 and a CAGR of negative 0.2%. The weekly 7% target won 6% of its 53 round trips. It lost all 11 trades in 2021 and all 17 in 2022. Its three winners were 7.2% over 235 days from 2025-01-13, 7% over 192 days from 2022-10-24 and 7% over 281 days from 2023-10-23, each held much longer than a week.
The 3-month momentum rule made 2 trades, 1.42% lost from 2023-12-28 and 2% lost from 2024-08-05, and was invested 8% of the time. The monthly cycle won 3 of 12 in 2022, 8 in 2024 and 10 in 2025, and its best month, 2.81% in March 2023, matches the fund's own best month of 2.83%. The RSI(2) snapback won 23 of 33 in 2023 and 23 of 28 in 2025, with a median trade of 0.09% and a median hold of 4 days. Its worst trade lost 4.11% over 42 days from 2022-08-18, which is why 172 trades made only 1.42% a year.
How IEI behaved
| Measure | IEI |
|---|---|
| Data in this test | 2021-01-04 to 2026-10-02 (1444 sessions) |
| Total return, buy and hold | −2.3% |
| Annualized volatility | 4.6% |
| Deepest drawdown | −14.2% (2021-01-04 to 2022-10-20) |
| Up days | 48.2% |
| Average daily range | 0.25% |
| Average overnight gap | 0.16% |
| Correlation to SPY | 0.08 |
| Correlation to QQQ | 0.09 |
| Correlation to TLT | 0.80 |
| Sessions above the 200-day average | 59.2% |
| Crossings of the 200-day average | 42 |
| Falls of 10% or more from a 20-day high | 0 |
Calendar years
| Year | Return |
|---|---|
| 2021 | −2.5% |
| 2022 | −9.5% |
| 2023 | 4.4% |
| 2024 | 1.9% |
| 2025 | 6.8% |
| 2026 (part) | −2.5% |
Biggest single days
| Best day | Move |
|---|---|
| 2022-11-10 | 1.4% |
| 2022-09-28 | 1.4% |
| 2023-03-13 | 1.2% |
| 2023-03-10 | 1.2% |
| 2023-03-15 | 1.1% |
| Worst day | Move |
|---|---|
| 2022-06-13 | −1.1% |
| 2024-04-10 | −1.0% |
| 2022-08-05 | −1.0% |
| 2022-08-02 | −0.9% |
| 2022-03-02 | −0.9% |
Average return by calendar month
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 0.3% | −0.3% | −0.3% | −0.2% | 0.1% | 0.0% | 0.7% | −0.0% | −1.0% | −0.7% | 1.3% | 0.1% |
Most and least correlated funds
| Most correlated | Least correlated | ||
|---|---|---|---|
| IEF | 0.97 | TBF | -0.80 |
| AGG | 0.94 | KMLM | -0.43 |
| BND | 0.94 | USDU | -0.39 |
| UST | 0.91 | CTA | -0.39 |
| IGIB | 0.89 | RINF | -0.32 |
How IEI behaves and what that means for the rules
IEI's daily moves are small. Up days were 48.2% of sessions, with an average up day of 0.22% and an average down day of negative 0.21%. The average intraday range was 0.25% and the average overnight gap was 0.16%. The best day was 2022-11-10 at 1.45%, and the worst was 2022-06-13 at negative 1.09%. A signal built on thresholds such as 10% or 7% rarely fires on a fund with moves this small.
The deepest drawdown was 14.21% on the fund's own price series, from 2021-01-04 to 2022-10-20, with recovery on 2025-10-16 after 1201 sessions. That is a long time for a fund with such low volatility. The drawdown ran through 2022, the year the fund lost 9.54%. A second drawdown of 3.88% began on 2026-02-27 and had not recovered by the end of the data.
The overnight and intraday split looks unusual. The overnight log return was 4.78% and the intraday log return was negative 6.95%, so the fund gained between close and open and lost during the session. The share figures in the table are negative and above 100% for that reason, since the total return was slightly negative. For rules that fill at the open, the open price already carries the overnight move.
Correlations show where the fund sits. It was correlated 0.97 with IEF, 0.94 with AGG and BND, 0.91 with UST, and 0.89 with IGIB. Its correlation to TLT was 0.80 and its beta to TLT was 0.24. Its correlation to SPY was 0.08 and its beta to SPY was 0.02. Among the funds in the test the least correlated were TBF at negative 0.80, KMLM at negative 0.43, and USDU, CTA, and RINF in the range of negative 0.39 to negative 0.32.
On oversold readings, RSI(14) was below 30 on 64 sessions. The median forward return was negative 0.11% over 5 days and negative 0.65% over 20 days, against baselines of negative 0.03% and 0.04%. Oversold readings on this fund were followed by results below baseline, which matches the negative CAGR of the RSI(14) template. RSI(2) was below 10 on 183 sessions, with medians of negative 0.04% over 5 days and negative 0.02% over 20, against the same baselines. That is no edge, and the profit factor of 1.29 on RSI(2) came from a high win rate on small gains, which the cost runs erased.
The fund closed above its 200-day average on 59.2% of sessions and crossed it 42 times. The 200-day filter made 21 round trips against 42 crossings. Most were small, with an average loss of 0.32% and an average win of 1.55%, and the profit factor of 2.37 came from the few long holds. In the calendar months, November averaged 1.32% and July 0.67%, while September averaged negative 0.98% and October negative 0.72%. Each month has 5 or 6 observations. The lag-1 autocorrelation was negative 0.01.
The category peers show the same window from other angles. IGIB, the investment-grade corporate fund, returned 0.21% on buy-and-hold and its best template, EMA 12/26 trend, returned 2.35%. TLT, the long Treasury fund, returned negative 8.23% on buy-and-hold, and its best template, RSI(2) snapback, returned 0.96%. SGOV, the short Treasury bill fund, returned 3.22% with buy-and-hold and golden cross matched holding. That 3.22% is above the best IEI template at 1.43%.
The test measures what these rules did with a fund that was flat over a window with a large rate-driven drawdown in the middle. The results do not predict the next rate cycle, and the headline run has no costs.
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Frequently asked questions
What was the best strategy for IEI?
Of the 12 templates tested on IEI over 2021-01-04 to 2026-10-02, the strongest by CAGR was trend + trailing stop at 1.4% (max drawdown 5.2%), versus −0.4% 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 IEI?
10 of 12 templates beat IEI buy-and-hold (−0.4% CAGR) on this window; 11 of 12 had a shallower maximum drawdown than holding (13.8%).
What is the best strategy for IEI?
By CAGR, the trend with 15% trailing stop at 1.43% from 2021-01-04 to 2026-10-02, with a drawdown of 5.2%. That result is a single open position. RSI(2) snapback was close at 1.42% with 172 round trips. Buy-and-hold returned negative 0.36%.
Did any strategy beat buy-and-hold on IEI?
Ten of the 12 templates beat holding on CAGR and 11 had a shallower drawdown. The monthly cycle at negative 0.84% and 3-month momentum at negative 0.59% did not. Most of the gain over holding came from being out of the fund in 2022, when it lost 9.54%.
Why did the dip buyer and momentum breakout make no trades on IEI?
Their entry signals never appeared. The dip buyer needs a 10% fall from a 20-day high, and IEI had none in the window. The momentum breakout needs a 20-day gain above 10%. Both returned 0.00%.
Does RSI(2) work on IEI after costs?
Not in this test. RSI(2) snapback returned 1.42% with no costs, negative 1.51% at 5 basis points, and negative 4.33% at 10 basis points. It made 344 fills and its median trade gained 0.09%.
How did IEI do in 2022?
It returned negative 9.54% over the calendar year and had a peak-to-trough drawdown of 14.21% ending on 2022-10-20. It recovered the peak on 2025-10-16. Templates that were out of the fund in 2022 beat holding by about 9.3 points that year.
How does the 200-day moving average do on IEI?
It returned 1.03% a year with 21 round trips, a 33% win rate, and a drawdown of 4.62%. It was out of the fund for 2021 and 2022. At 10 basis points of slippage the return fell to 0.32%.
Other bond 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.