DeployQuantIGIB trading strategies, backtested
iShares 5-10 Year Investment Grade Corporate Bond ETF: investment-grade corporate credit. Every DeployQuant template run on IGIB over 5.7 years of minute data, same engine, same window, sorted by return.
IGIB is the iShares 5-10 Year Investment Grade Corporate Bond ETF. It holds corporate bonds of investment-grade companies with maturities of five to ten years. From 2021-01-04 to 2026-10-02 it returned 1.26% in total, a CAGR of 0.22%, with annualized volatility of 6.29%. Holding it from the first session turned $10,000 into $10,121 with a maximum drawdown of 20.13%.
That is five and a half years of flat results with a 2022 hole in the middle. IGIB fell 13.97% in calendar 2022, gained 9.21% in 2023 and 9.56% in 2025, and is down 3.4% so far in 2026. Its deepest drawdown ran from 2021-08-03 to 2022-10-20 and took until 2025-06-26 to recover, 977 sessions in all.
Twelve templates were run on it. Six beat holding on CAGR, 11 had a shallower maximum drawdown, and 7 finished with a positive CAGR. Two never made a trade. The best, EMA 12/26, returned 2.35% a year with a drawdown of 5.33%, against 0.21% and 20.13% for holding. The numbers are small in dollar terms, since 2.35% a year on $10,000 ended at $11,424. What stands out is the drawdown. On a fund where the whole return was a rounding error, avoiding the 2022 fall was the entire contest.
| Strategy | CAGR | max DD | Sharpe | trades | win rate | final value |
|---|---|---|---|---|---|---|
| EMA 12/26 Trend | 2.4% | −5.3% | 0.58 | 20 | 35% | $11,424 |
| Golden Cross (SMA 50/200) | 1.8% | −5.6% | 0.47 | 3 | 67% | $11,105 |
| SMA 10/50 Trend | 1.7% | −6.6% | 0.44 | 16 | 44% | $11,037 |
| 200-Day SMA Regime Filter | 1.4% | −5.4% | 0.35 | 26 | 38% | $10,808 |
| RSI(2) Dip Snapback | 1.3% | −11.8% | 0.34 | 172 | 61% | $10,789 |
| 3-Month Momentum Switch | 0.3% | −5.0% | 0.13 | 4 | 50% | $10,147 |
| SMA-200 Trend + 15% Trailing Stop | 0.1% | −17.8% | 0.04 | 1 | 0% (+1 open) | $10,034 |
| 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 |
| Weekly Entry + 7% Target | −0.1% | −17.6% | 0.02 | 50 | 8% | $9,974 |
| First-to-Last Day of Month | −0.3% | −20.9% | -0.02 | 69 | 58% (+1 open) | $9,844 |
| RSI(14) Mean Reversion | −0.5% | −13.6% | -0.09 | 13 | 62% (+1 open) | $9,730 |
| Buy & hold IGIB | 0.2% | −20.1% | 0.07 | – | – | $10,121 |
The trend rules that stepped aside in 2022
The ranking by CAGR is EMA 12/26 at 2.35%, golden cross at 1.84%, SMA 10/50 at 1.73%, the 200-day regime filter at 1.36%, the RSI(2) snapback at 1.33%, 3-month momentum at 0.25%, trend plus trailing stop at 0.06%, then the dip buyer and momentum breakout at exactly 0%. Below zero are the weekly 7% target at -0.05%, the monthly cycle at -0.27% and RSI mean reversion at -0.48%.
The top four are all moving-average rules that sell when the average turns down. Their yearly numbers show where the gap came from. In 2022 EMA 12/26 returned 1.5% while IGIB lost 13.6%, and SMA 10/50 lost 2.7%. Golden cross was flat that year, since it was not invested. The 200-day filter lost 1.7%. On a bond fund that fell for most of 2022, a rule that was in cash for part of it kept most of the money. EMA 12/26 made 20 round trips, won 35%, and averaged 3.43% on wins against 0.75% on losses, with a profit factor of 2.36. The long hold times mattered: its three best trades were 6.19% over 99 days from 2023-11-08, 6% over 156 days from 2024-05-08 and 5.37% over 202 days from 2025-04-29.
Golden cross made 3 round trips. The first, 2021-10-19 to 2021-12-09, returned 0.02%. The second, 2023-01-25 to 2023-09-22, lost 2.36%. The third ran 967 days from 2023-12-26 to 2026-08-19 and gained 13.93%. That trade carried the template: a 1.84% CAGR from one winner. A bond fund that turns up and holds for years suits a slow cross, and IGIB did that from late 2023 into 2025 before slipping in 2026.
SMA 10/50 made 16 round trips, won 44% and returned 1.73% with a drawdown of 6.63%. The 200-day filter made 26 round trips and won 38%, with an average win of 1.59% and an average loss of 0.46%. Its longest losing streak was 8. IGIB crossed its 200-day average 52 times in this window, and the filter's many small stop-outs show it. Its 2026 record, with five wins in seven round trips, is better than 2021 with one win in seven.
Rules that sat out, and the weekly target
Two templates never traded. The dip buyer enters when the 20-day drawdown is worse than 10%, and IGIB never had one. Its profile shows 0 episodes of a 10% fall from a 20-day high, so the dip buyer's result is $10,000, a 0% CAGR and a 0% drawdown, and it is listed with no trades. The momentum breakout needs a 20-day gain above 10%, which IGIB never produced, and it too finished at $10,000. A bond fund with volatility of 6.29% and an average daily range of 0.37% does not make moves of that size over 20 sessions. Both rules therefore had a better drawdown than holding, and both are cash.
The weekly 7% target made 50 round trips and won only 8% of them, 4 winners. Its longest losing streak was 23 trades. It returned -0.05% with a drawdown of 17.61%. The three best winners are instructive. They returned 7.04%, 7.03% and 7.01%, and they took 241, 38 and 197 days. A template designed for a one-week cycle held its best winners for months, because the Thursday exit only sells losing positions and a bond fund rarely moves 7% quickly. The average hold was 37.8 days, with the longest at 395. The average win was 7.02% and the average loss 0.59%, which produced a profit factor of 0.99. Almost all 50 trades were small losses that ended at the exit rule.
In 2022 the template made 21 round trips and won 1. That was the year IGIB fell 13.97%, and the template lost 9.8%. The strategy's rule has no way to avoid buying every Monday in a falling market.
The monthly cycle was invested 95.2% of the time and behaved like holding. It returned -0.27% with a drawdown of 20.89%, a little worse than holding's 20.13%. It won 58% of 69 round trips, but the average loss of 1.82% was larger than the average win of 1.3%. RSI mean reversion won 62% of 13 trades and still lost 0.48%, because one trade, 2021-09-30 to 2022-05-27, lost 10.22% over 239 days. The average loss was 3% and the average win was 1.98%.
The RSI(2) snapback on a low-volatility fund
The RSI(2) snapback made 172 round trips, the most of any template, with a 61% win rate, a profit factor of 1.21 and a CAGR of 1.33%. The average win was 0.43% and the average loss 0.56%. On IGIB these amounts are tiny: the best trade was 2% and the worst was -3.1%. Its yearly results were 3.3% in 2021, -8.1% in 2022, 7.7% in 2023, -0.3% in 2024, 8.4% in 2025 and -2.4% so far in 2026. Its maximum drawdown was 11.79%, shallower than the fund's 20.13%. After RSI(2) fell below 10, the median forward 5-day return was 0.12% against a baseline of 0.02%, and the 20-day return was 0.14% against 0.22%. The 5-day edge over baseline is small, and it is the margin the 172 trades were working with, which is why costs matter so much here.
Drawdown windows of the trend rules
The deepest drawdowns of the winning rules did not come in 2022. EMA 12/26 had its worst fall, 5.33%, from 2023-02-02 to 2023-11-09, and it took until 2023-12-13 to recover. Its second, 4.99%, ran from 2024-10-01 to 2025-05-21. Both happened in years when IGIB itself was rising. A trend rule that exits a bond fund in 2022 can still be whipsawed when the fund moves sideways, and the 2023 drawdown shows that. The month-by-month table puts the best EMA month at 2023-01 with 4.2% and the worst at 2023-02 with -2.4%, so one reversal in February gave back a large part of January's gain.
Golden cross and SMA 10/50 show the same February. Golden cross lost 3.11% in 2023-02 and SMA 10/50 had its deepest drawdown, 6.63%, from 2023-02-02 to 2023-08-03. All three rules were long on 2023-02-02, the peak date for each drawdown, so the fund's early 2023 rally and reversal hit them together. They were holding the same exposure for the same reason, and the three results are not independent evidence.
The 200-day filter behaved differently. Its worst month was 2026-03 at -2.95%, and its best trades were its longest: 8.03% over 423 days from 2023-11-17 and 6.55% over 346 days from 2025-04-15. Its deepest drawdown, 5.44%, started on 2021-10-27 and lasted until 2023-11-15, a long stretch of small losses rather than one fall. The rule was long-term profitable only because those two holds were never interrupted.
3-month momentum was invested 21.2% of the time and made 4 trades. Its best was 1.82% over 106 days from 2024-07-18. A CAGR of 0.25% with a drawdown of 4.99% is the result of a rule that was mostly in cash while IGIB moved little.
How each strategy traded IGIB
| Strategy | Time in market | Avg hold (days) | Best trade | Worst trade | Profit factor | With 10 bps slippage |
|---|---|---|---|---|---|---|
| EMA 12/26 trend | 56.1% | 59 | 6.2% | −1.9% | 2.36 | 1.6% |
| golden cross | 59.9% | 419 | 13.9% | −2.4% | 5.79 | 1.7% |
| SMA 10/50 trend | 54.1% | 71 | 6.1% | −2.4% | 1.97 | 1.2% |
| 200-day regime filter | 57.1% | 47 | 8.0% | −1.3% | 2.12 | 0.5% |
| RSI(2) snapback | 42.5% | 5 | 2.0% | −3.1% | 1.21 | −4.4% |
| 3-month momentum | 21.2% | 111 | 1.8% | −1.0% | 2.25 | 0.1% |
| trend + trailing stop | 76.8% | 228 | −14.3% | −14.3% | – | 0.0% |
| dip buyer | 0.0% | – | – | – | – | 0.0% |
| momentum breakout | 0.0% | – | – | – | – | 0.0% |
| weekly 7% target | 93.0% | 38 | 7.0% | −2.1% | 0.99 | −1.7% |
| monthly cycle | 95.2% | 28 | 5.7% | −4.3% | 0.96 | −2.6% |
| RSI mean reversion | 41.4% | 61 | 4.7% | −10.2% | 1.00 | −0.9% |
Costs, hold times and the thin margin
The cost runs are the most useful part of this page. At 5 basis points per trade the RSI(2) snapback fell from 1.33% to -1.6%, and at 10 basis points to -4.44%, with a drawdown of 23.34%, deeper than the unfiltered fund's. A rule making 0.43% per winning trade cannot pay 10 basis points on each side of 172 round trips. The weekly target went from -0.05% to -0.87% and -1.68%, and the monthly cycle from -0.27% to -1.45% and -2.6%. The 200-day filter fell from 1.36% to 0.92% and 0.48%.
The slow rules lost little. Golden cross went from 1.84% to 1.78% and 1.74%. EMA 12/26 went from 2.35% to 2.0% and 1.65%. SMA 10/50 went from 1.73% to 1.45% and 1.18%. At 10 basis points the order is golden cross at 1.74%, EMA 12/26 at 1.65%, SMA 10/50 at 1.18%, the 200-day filter at 0.48% and 3-month momentum at 0.12%. Six templates stayed above zero after the heavier cost, and the RSI(2) snapback was not among them.
Time in market runs from 0% for the dip buyer and momentum breakout to 95.2% for the monthly cycle, and 76.8% for trend plus trailing stop. That last rule is the odd one. It made a single round trip, entered on 2021-10-28 and sold on 2022-06-13 for a loss of 14.3% over 228 days, and it re-entered on 2022-12-14. It was still in that second position at the end, up 17.02%. Its 17.82% drawdown comes from the first trade. The trailing stop sits 15% below the high-water mark, and the trade closed at a 14.3% loss.
The fund's liquidity is not a constraint. Average daily dollar volume was $90,382,863 and the median minute volume was 1,684 shares. The test does not measure real spreads.
Cost sensitivity of the fast rules
The cost table lines up with the trade counts. RSI(2) snapback had a longest winning streak of 11 and a longest losing streak of 8, and its best trade was only 2% over 3 days, from 2023-01-30. Its worst trades were 3.1% over 16 days from 2022-09-14 and 3.03% over 15 days from 2022-06-02. Both losses came in 2022, when buying each oversold reading on IGIB meant buying into a continuing fall. The deepest drawdown of the rule, 11.79%, started on 2021-12-30 and took until 2024-07-26 to recover.
Time in market separates the rules that handle costs from those that do not. The rules at 54% to 60% exposure held positions for weeks or years. The two highest-exposure rules, the weekly target at 93% and the monthly cycle at 95.2%, behaved like holding with extra trades on top, and the cost runs removed more from them than from the trend rules. The window has one flat start and one bond fall, so these cost results are a sample of one regime.
How IGIB behaved
| Measure | IGIB |
|---|---|
| Data in this test | 2021-01-04 to 2026-10-02 (1444 sessions) |
| Total return, buy and hold | 1.3% |
| Annualized volatility | 6.3% |
| Deepest drawdown | −20.6% (2021-08-03 to 2022-10-20) |
| Up days | 50.0% |
| Average daily range | 0.37% |
| Average overnight gap | 0.21% |
| Correlation to SPY | 0.35 |
| Correlation to QQQ | 0.34 |
| Correlation to TLT | 0.84 |
| Sessions above the 200-day average | 66.3% |
| Crossings of the 200-day average | 52 |
| Falls of 10% or more from a 20-day high | 0 |
Calendar years
| Year | Return |
|---|---|
| 2021 | −1.6% |
| 2022 | −14.0% |
| 2023 | 9.2% |
| 2024 | 3.5% |
| 2025 | 9.6% |
| 2026 (part) | −3.4% |
Biggest single days
| Best day | Move |
|---|---|
| 2022-11-10 | 2.7% |
| 2022-09-28 | 1.7% |
| 2022-06-15 | 1.5% |
| 2023-12-13 | 1.5% |
| 2023-11-14 | 1.3% |
| Worst day | Move |
|---|---|
| 2022-06-13 | −1.8% |
| 2022-09-26 | −1.5% |
| 2021-02-25 | −1.5% |
| 2025-04-07 | −1.4% |
| 2022-04-05 | −1.2% |
Average return by calendar month
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 0.6% | −0.7% | −0.4% | −0.7% | 0.6% | 0.2% | 1.1% | −0.2% | −1.4% | −1.0% | 2.6% | 0.4% |
Most and least correlated funds
| Most correlated | Least correlated | ||
|---|---|---|---|
| AGG | 0.96 | TBF | -0.84 |
| BND | 0.96 | KMLM | -0.45 |
| IEF | 0.92 | USDU | -0.44 |
| IEI | 0.89 | SDS | -0.35 |
| UST | 0.87 | SPDN | -0.35 |
What IGIB did, year by year
IGIB returned -1.62% in 2021, -13.97% in 2022, 9.21% in 2023, 3.52% in 2024, 9.56% in 2025 and -3.4% so far in 2026. Of the six years, three are negative. The 2022 loss is the largest. The fund fell from 2021-08-03 to 2022-10-20 for a drawdown of 20.62% and had not recovered by 2025-06-26. It started a second drawdown on 2026-02-27, and by 2026-09-30 it was down 4.78%. A third drawdown began on 2021-01-04 and reached 4% by 2021-03-19.
The largest up day was 2022-11-10 at 2.66%, then 2022-09-28 at 1.7%, 2022-06-15 at 1.47%, 2023-12-13 at 1.46% and 2023-11-14 at 1.32%. The worst were 2022-06-13 at -1.76%, 2022-09-26 at -1.53%, 2021-02-25 at -1.48%, 2025-04-07 at -1.43% and 2022-04-05 at -1.21%. No day moved 3%, and the daily range averaged 0.37%. Up days were 49.97% of sessions, with an average up day of 0.3% and an average down day of -0.31%.
The overnight log return was 17.9% and the intraday log return was -16.67%. Holding IGIB only during market hours would have lost money, and all the return came overnight. The facts do not explain why.
Seasonality, correlations and RSI
By calendar month, November averaged 2.58%, July 1.13%, May 0.57% and January 0.56%. September averaged -1.44%, October -0.96%, February -0.73% and April -0.71%. Each month has five or six observations, so each figure carries one or two years.
The fund was above its 200-day average on 66.27% of sessions and crossed it 52 times. After RSI(14) fell below 30, on 66 sessions, the median forward 5-day return was -0.24% and the 20-day return was -1.91%, against baselines of 0.02% and 0.22%. A low RSI reading on IGIB marked a continuing fall in this window, which is consistent with RSI mean reversion doing poorly here despite its 62% win rate. RSI(14) was above 70 on 71 sessions. The lag-1 daily autocorrelation was 0.01.
IGIB's correlation to TLT was 0.84, to SPY 0.35 and to QQQ 0.34. Its beta to TLT was 0.34, to SPY 0.14 and to QQQ 0.1. The most correlated funds were AGG and BND at 0.96, IEF at 0.92 and IEI at 0.89. The least correlated were TBF at -0.84, KMLM at -0.45 and USDU at -0.44.
The other bond funds
The RSI(2) snapback led on AGG at 1.57% against -0.78% for holding, on BND at 1.41% against -0.8%, on TLT at 0.96% against -8.23% and on IEF at 1.84% against -2.29%. On IEI trend plus trailing stop led with 1.43% against -0.36%. On SGOV golden cross matched holding at 3.22%. On IGIB the leader was a trend rule, EMA 12/26, and the RSI(2) snapback finished fifth. The pattern shows how much the choice of bond fund changes the answer, even within one asset class.
All of these results come from one window of 5.7 years that includes the 2022 bond decline. The headline run has no fees or slippage, uses $10,000 per fund and no margin, and fills on minute bars from daily decisions. The cost runs add 5 and 10 basis points. Returns of 1% to 2% a year are within the range that costs can erase, as the RSI(2) snapback shows.
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 IGIB?
Of the 12 templates tested on IGIB over 2021-01-04 to 2026-10-02, the strongest by CAGR was EMA 12/26 trend at 2.4% (max drawdown 5.3%), versus 0.2% 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 IGIB?
6 of 12 templates beat IGIB buy-and-hold (0.2% CAGR) on this window; 11 of 12 had a shallower maximum drawdown than holding (20.1%).
Which strategy was best on IGIB?
EMA 12/26 had the highest CAGR at 2.35%, with a maximum drawdown of 5.33%. Buy-and-hold returned 0.21% with a drawdown of 20.13%. Golden cross was second at 1.84%, and SMA 10/50 third at 1.73%.
Why did two strategies make no trades on IGIB?
The dip buyer needs a 20-day drawdown worse than 10%, and the momentum breakout needs a 20-day gain above 10%. IGIB had no 10% fall from a 20-day high in the window. Both finished at $10,000.
How much did IGIB fall in 2022?
IGIB lost 13.97% in calendar 2022. Its deepest drawdown was 20.62% from 2021-08-03 to 2022-10-20, and it recovered on 2025-06-26. EMA 12/26 gained 1.5% in 2022 by being out of the fund for part of the year.
Does the weekly 7% target work on a bond ETF like IGIB?
No. It returned -0.05% with a drawdown of 17.61%. It won 4 of 50 round trips and had a losing streak of 23. IGIB rarely moves 7% in a week, so winners took 38 to 241 days to reach the target.
How much do trading costs hurt strategies on IGIB?
The RSI(2) snapback went from 1.33% to -4.44% with 10 basis points per trade, on 172 round trips. Slow rules lost little: golden cross went from 1.84% to 1.74%. The test does not measure real spreads.
Is IGIB correlated with stocks?
Weakly. Its correlation to SPY was 0.35 and to QQQ 0.34, with betas of 0.14 and 0.1. Its correlation to TLT was 0.84, and to AGG and BND 0.96.
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.