DeployQuantIOO trading strategies, backtested
iShares Global 100 ETF: 100 of the largest multinational companies in one ticker. Every DeployQuant template run on IOO over 5.7 years of minute data, same engine, same window, sorted by return.
IOO holds 100 of the largest multinational companies in one ticker. This page tests all 12 DeployQuant strategy templates on it from 2021-01-04 to 2026-10-02, each starting from $10,000. Buy-and-hold turned the $10,000 into $24,298, a 16.72% annualized return with a 23.03% maximum drawdown and a Sharpe ratio of 1.05. No template matched that return. The best, the monthly cycle, returned 15.8% a year and ended at $23,216. All 12 finished with a positive return and all 12 had a shallower maximum drawdown than holding.
That second count is the feature of this page. On SPY, 10 of 12 templates cut the drawdown. On IOO the figure is 12, and the cuts are large: the RSI(2) snapback fell 11.7% at its worst and the dip buyer fell 10.81%, against 23.03% for the holder.
The fund also has a trait the larger index funds lack: it trades thinly. Its average daily dollar volume in this data was $12,315,232 and its median minute volume was 306 shares. For a test that fills on minute bars, that makes the fill prices less certain than they are on the larger funds.
The test is one window of 5.7 years with one bear market. It makes no claim about other periods.
| Strategy | CAGR | max DD | Sharpe | trades | win rate | final value |
|---|---|---|---|---|---|---|
| First-to-Last Day of Month | 15.8% | −21.1% | 1.02 | 69 | 68% (+1 open) | $23,216 |
| Weekly Entry + 7% Target | 14.9% | −21.4% | 1.04 | 82 | 30% (+1 open) | $22,199 |
| RSI(2) Dip Snapback | 14.0% | −11.7% | 1.24 | 169 | 71% (+1 open) | $21,261 |
| Golden Cross (SMA 50/200) | 12.4% | −18.8% | 0.98 | 2 | 100% (+1 open) | $19,554 |
| 200-Day SMA Regime Filter | 11.2% | −16.5% | 1.00 | 15 | 33% (+1 open) | $18,396 |
| EMA 12/26 Trend | 10.9% | −15.8% | 0.99 | 22 | 45% (+1 open) | $18,116 |
| SMA-200 Trend + 15% Trailing Stop | 10.6% | −19.7% | 0.86 | 2 | 50% (+1 open) | $17,864 |
| SMA 10/50 Trend | 9.2% | −22.0% | 0.87 | 17 | 53% (+1 open) | $16,538 |
| 3-Month Momentum Switch | 8.4% | −15.5% | 0.84 | 11 | 55% (+1 open) | $15,918 |
| Drawdown Dip Buyer + 8% Target | 8.3% | −10.8% | 1.03 | 6 | 100% | $15,786 |
| 20-Day Momentum + Trailing Stop | 7.3% | −19.6% | 0.72 | 4 | 50% (+1 open) | $15,029 |
| RSI(14) Mean Reversion | 4.5% | −18.8% | 0.43 | 13 | 85% | $12,844 |
| Buy & hold IOO | 16.7% | −23.0% | 1.05 | – | – | $24,298 |
How the ranking breaks down
The top three are the monthly cycle at 15.8%, the weekly 7% target at 14.9% and the RSI(2) snapback at 14.04%. The first two are the nearly fully invested rules. The monthly cycle held a position 95.2% of the time and the weekly target 86.6%. They made 69 and 82 round trips and stayed close to the fund because they were in it almost every day. The monthly cycle beat holding in 2024 and 2025 and the weekly target beat it in 2022, 2024, 2025 and 2026, the most calendar years of any template. Neither beat it over the full window.
The weekly target has the opposite profile to the snapback. It made 82 round trips, won 30% of them, and averaged a 7.13% gain on winners against a 1.59% loss on losers, with a profit factor of 2.09. Its best trade was 8.04%, from 2023-10-30 to 2023-11-14, and its worst was a 5.78% loss from 2022-05-23 to 2022-06-16. The 7% target caps the winners at a few points above 7%, so the rule relies on its small losses staying small. The monthly cycle buys on the first session of each month and sells on the last. Its best trade, 10.84% in April 2026, and its worst, an 8.3% loss in June 2022, are single-month moves. Its drawdown of 21.11% came in 2025, from 2025-02-20 to 2025-04-08, and its 2022 drawdown was 20.69%.
The RSI(2) snapback is the quality result. It returned 14.04% with an 11.7% drawdown and a Sharpe ratio of 1.24, the highest in the table and above buy-and-hold's 1.05. It made 170 trades, 120 of them winners for a 71% win rate, with an average hold of 4.6 days and exposure of 36.4%. The average winner was 1.15% and the average loser 1.21%, so the edge comes from the win rate. Its worst trade was a 5.34% loss from 2022-06-10 to 2022-06-16.
The trend rules sit in the middle. The golden cross returned 12.39%, the 200-day regime filter 11.2%, the EMA 12/26 trend 10.9%, and the trend plus trailing stop 10.63%. The golden cross is the most extreme: 2 round trips, both winners. The first, from 2021-10-19 to 2022-04-20, made 1.95%. The second, from 2023-01-30 to 2025-04-16, held 807 days and made 39.36%. A third position was opened on 2025-06-24 at $103.87 and stood 39.49% above entry at the last close. Two closed trades say little about the rule. The rule exited on 2022-04-20, re-entered on 2023-01-30 and held to 2025-04-16.
The weaker group is the SMA 10/50 trend at 9.16%, the 3-month momentum switch at 8.43%, the dip buyer at 8.28%, the momentum breakout at 7.35% and the RSI(14) mean reversion at 4.46%. The SMA 10/50 rule had the deepest drawdown of the 12 at 22.01%, close to the holder's 23.03%. The RSI(14) rule had an 85% win rate over 13 round trips and still returned the least. It held a position 27.9% of days, and its average loser of 6.22% was larger than its average winner of 3.58%.
Final values follow the same order. The golden cross ended at $19,554, the 200-day filter at $18,396, the EMA 12/26 trend at $18,116 and the trailing stop strategy at $17,864. The SMA 10/50 trend ended at $16,538, the 3-month momentum switch at $15,918, the dip buyer at $15,786 and the momentum breakout at $15,029. The RSI(14) mean reversion ended at $12,844. The first year is a drag on every trend rule: the golden cross, the 200-day filter and the trailing stop strategy each show 6% for 2021, against 26.5% for holding, because the 200-day average takes until October 2021 to form and the sleeves were in cash until then.
The dip buyer deserves its own note. It made 6 round trips, all winners at about 8%, held a position 9.1% of the time, and had a Sharpe ratio of 1.03 and a drawdown of 10.81%. It earned its 8.28% a year while holding a position on 9.1% of days.
The 2022 bear market
IOO lost 16% in 2022 on a buy-and-hold basis. Its deepest drawdown was 23.03%, from 2022-01-04 to 2022-09-30, and it regained that high on 2023-07-13. The RSI(2) snapback finished 2022 with a gain of 3.1%. The dip buyer finished with a gain of 25.4%, from 3 round trips, all winners, among them an 8.05% trade from 2022-09-27 to 2022-11-11 and an 8.01% trade from 2022-05-12 to 2022-08-11. It is the largest single-year gain over holding in the table, 41.4 points, and it came in the one year when holding lost money.
The golden cross lost 3.8%, the RSI(14) rule lost 6.6%, the 3-month momentum switch lost 11.6%, the EMA 12/26 trend lost 12.5% and the 200-day filter lost 13.6%. The weekly target lost 15.2%, the monthly cycle 17.5%, the trailing stop strategy 18.1% and the momentum breakout 18.6%. The SMA 10/50 trend lost 19.9%, worse than holding, with 4 round trips and no winners in 2022. Rules that kept trading through the decline lost about what holding lost. Rules that sat out lost less, and only the two that bought washouts made money.
2025 reverses the picture. IOO's holding return was 26.5%. The momentum breakout returned 31.4%, the weekly target 30.4%, the SMA 10/50 trend 29.8% and the monthly cycle 29.7%, all above holding. The EMA 12/26 trend returned 27.8%. The golden cross returned 10.3% and the 200-day filter 19.5%. The golden cross sold on 2025-04-16 and bought again on 2025-06-24, and the 200-day filter sold on 2025-03-11 and bought again on 2025-05-13. IOO's best day of the window was 9.75% on 2025-04-09, and its worst days were 5.77% on 2025-04-04 and 4.78% on 2025-04-03.
In this data, exits helped in the slow 2022 decline and cost return after the sharp April 2025 reversal.
Best and worst months, and the streaks behind the win rates
April 2026 was IOO's best month for holding at 11.62%, and most templates had their best month in the same calendar month: the weekly target made 11.3%, the golden cross 11.56%, the trailing stop strategy 11.5% and the monthly cycle 10.57%. September 2022 was the worst month for holding at negative 9.3%. Few templates took their worst month there. June 2022 was the worst month for the monthly cycle at negative 8.11%, the weekly target at negative 9.09%, the RSI(2) snapback at negative 6.22% and the dip buyer at negative 7.55%. Only the RSI(14) rule, at negative 9.29%, had September 2022 as its worst month.
The two mean reversion rules that made money in the bear market took their best months from falls. The dip buyer's best month was April 2025 at 13.83%, and the RSI(2) snapback's was October 2022 at 8.48%. Both are months that followed a drop, which is what those rules are built to buy.
The streak figures explain the win rates in the trading table. The RSI(2) snapback won 19 round trips in a row at its longest and lost 3 in a row at most. The dip buyer won all 6 of its round trips. The weekly target is the reverse: its longest losing streak was 8 round trips and its longest winning streak 3, which is what a 30% win rate with large winners looks like in sequence. The monthly cycle's streaks were 8 wins and 3 losses. The 200-day filter lost 5 trades in a row at one point and still finished with a profit factor of 4.07, because the wins were long holds and the losses were small.
The other holder drawdowns are worth comparing against the templates. Holding fell 18.84% from 2025-02-20 to 2025-04-08 and recovered on 2025-06-10. The RSI(2) snapback had a 10.28% drawdown over almost the same dates and recovered on 2025-05-27, ahead of the holder. The golden cross fell 18.79% in that spell and did not recover until 2025-09-22, because it sold after the fall and bought back late. The 2022 drawdown shows the same lag. The 200-day filter and the EMA 12/26 trend recovered on 2023-07-18, five days after the holder's 2023-07-13, and the weekly target on the same date. The momentum breakout and the trailing stop strategy recovered on 2023-11-20, and the SMA 10/50 trend only on 2024-03-07. A shallower drawdown did not mean a faster recovery in this data.
The RSI(2) snapback's gaps to holding by year show where its lower return came from. It beat holding in 2021 and 2022, then trailed in 2023 by 19.3 points and in 2025 by 13.7 points. The rule earns in falling or choppy years and gives back ground when the fund trends up, because it is invested 36.4% of the time.
How each strategy traded IOO
| Strategy | Time in market | Avg hold (days) | Best trade | Worst trade | Profit factor | With 10 bps slippage |
|---|---|---|---|---|---|---|
| monthly cycle | 95.2% | 28 | 10.8% | −8.3% | 2.32 | 13.1% |
| weekly 7% target | 86.6% | 21 | 8.0% | −5.8% | 2.09 | 12.9% |
| RSI(2) snapback | 36.4% | 5 | 4.6% | −5.3% | 2.28 | 7.6% |
| golden cross | 69.5% | 495 | 39.4% | 1.9% | – | 12.3% |
| 200-day regime filter | 69.1% | 85 | 33.8% | −3.7% | 4.07 | 10.6% |
| EMA 12/26 trend | 71.6% | 66 | 30.8% | −4.5% | 3.42 | 10.1% |
| trend + trailing stop | 74.6% | 530 | 35.6% | −8.7% | 3.77 | 10.6% |
| SMA 10/50 trend | 69.3% | 82 | 30.7% | −7.5% | 3.42 | 8.5% |
| 3-month momentum | 62.7% | 106 | 20.7% | −5.0% | 3.16 | 8.0% |
| dip buyer | 9.1% | 31 | 8.6% | 8.0% | – | 8.6% |
| momentum breakout | 56.2% | 254 | 36.9% | −9.6% | 3.21 | 7.2% |
| RSI mean reversion | 27.9% | 45 | 5.6% | −7.9% | 3.11 | 4.0% |
Trading style, costs and liquidity
The trading table spans an average hold of 4.6 days for the RSI(2) snapback to 529.5 days for the trailing stop strategy, which made 2 round trips. Profit factors run from 2.09 on the weekly target to 4.07 on the 200-day filter, with the golden cross and dip buyer undefined because they had no losing trades. Best trades follow hold length: 39.36% for the golden cross, 36.89% for the momentum breakout over 630 days from 2022-11-14 to 2024-08-05, and 35.62% for the trailing stop strategy over 855 days.
The cost runs add slippage on every fill. The RSI(2) snapback, with 339 fills, went from 14.04% to 10.78% at 5 basis points and 7.64% at 10, and its Sharpe ratio fell from 1.24 to 0.977 and then 0.716. The monthly cycle went from 15.8% to 14.43% and then 13.07%. The weekly target went from 14.9% to 14.1% and 12.88%. At 10 basis points the order of the top three becomes monthly cycle, weekly target, then the golden cross at 12.29%, with the RSI(2) snapback in tenth place behind the 200-day filter at 10.6% and the EMA 12/26 trend at 10.05%.
The slow rules barely moved. The golden cross went from 12.39% to 12.32% and 12.29%. The trailing stop strategy went from 10.63% to 10.61% and 10.58%. The dip buyer is the oddity: its return rose from 8.28% to 8.31% at 5 basis points and 8.58% at 10. The summary figures do not show why. With 6 trades the change is small and reads as noise, not as costs helping.
Liquidity needs a separate comment. IOO's median minute volume was 306 shares and its average daily dollar volume $12,315,232. The engine fills on minute bars, and a minute bar with a few hundred shares can fill a small order but would take a larger one in pieces. The $10,000 sleeve in this test is small enough for that, and the cost runs at 5 and 10 basis points are the available stress. A fund this thin may also quote wider spreads than the minute bars show. Rules with 339 fills depend on those spreads far more than a rule with 5.
How IOO behaved
| Measure | IOO |
|---|---|
| Data in this test | 2021-01-04 to 2026-10-02 (1444 sessions) |
| Total return, buy and hold | 151.1% |
| Annualized volatility | 16.6% |
| Deepest drawdown | −23.5% (2022-01-04 to 2022-09-30) |
| Up days | 53.8% |
| Average daily range | 1.10% |
| Average overnight gap | 0.47% |
| Correlation to SPY | 0.96 |
| Correlation to QQQ | 0.93 |
| Correlation to TLT | 0.07 |
| Sessions above the 200-day average | 80.2% |
| Crossings of the 200-day average | 30 |
| Falls of 10% or more from a 20-day high | 10 |
Calendar years
| Year | Return |
|---|---|
| 2021 | 27.1% |
| 2022 | −16.3% |
| 2023 | 27.8% |
| 2024 | 26.5% |
| 2025 | 26.9% |
| 2026 (part) | 15.0% |
Biggest single days
| Best day | Move |
|---|---|
| 2025-04-09 | 9.8% |
| 2022-11-10 | 5.3% |
| 2026-03-31 | 3.4% |
| 2025-05-12 | 3.3% |
| 2022-10-04 | 3.2% |
| Worst day | Move |
|---|---|
| 2025-04-04 | −5.8% |
| 2025-04-03 | −4.8% |
| 2022-09-13 | −4.3% |
| 2022-05-18 | −3.6% |
| 2022-05-05 | −3.6% |
Average return by calendar month
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 1.7% | −0.1% | 0.9% | 1.6% | 3.6% | 1.0% | 3.3% | 0.5% | −2.2% | 3.0% | 3.7% | 0.8% |
Most and least correlated funds
| Most correlated | Least correlated | ||
|---|---|---|---|
| VOO | 0.96 | SDS | -0.96 |
| SPY | 0.96 | SH | -0.96 |
| SSO | 0.96 | SPDN | -0.96 |
| VV | 0.96 | QID | -0.93 |
| SPUU | 0.96 | SQQQ | -0.93 |
What IOO's own statistics explain
IOO returned 151.07% over 1444 sessions, with annualized volatility of 16.65%. Its deepest drawdown was 23.49% and its longest drawdown lasted 380 sessions. It was up on 53.78% of days, the average up day was 0.77% and the average down day 0.76%, and the lag-1 autocorrelation was negative 0.03. Daily moves carried almost no memory from one day to the next.
The RSI evidence is specific. The 2-period RSI fell below 10 on 141 sessions. After those sessions the median 5-day forward return was 0.89% against a baseline of 0.45%, and the median 20-day forward return was 2.54% against 1.78%. The RSI(14) fell below 30 on only 12 sessions, with a median 5-day return of 3.62% and a median 20-day return of 6.32%. Twelve sessions is a small sample, which fits the RSI(14) rule's low exposure and thin results. The 141-session sample for RSI(2) is larger and is where the 71% win rate came from.
The fund closed above its 200-day average on 80.24% of sessions and crossed it 30 times. It had 10 falls of 10% or more from a 20-day high, over 19 sessions, which makes sharp drops rare.
Overnight gaps averaged 0.47% and made up 58.05% of the fund's log return, with 41.95% earned in-session. Beta to SPY was 0.98 and the correlation 0.96, and beta to QQQ was 0.69 with a correlation of 0.93. VOO, SSO and VV all had a correlation of 0.96 to IOO. For comparison, QQQ held for 16.7%, close to IOO's 16.72%, while SPY held for 14.56% and its best template returned 13.88%.
By calendar month, May averaged 3.62%, July 3.25%, October 3.03% and November 3.7%, and September averaged negative 2.19%, from 5 or 6 observations each. Those averages are anecdotes at this sample size.
The limits are the standard ones for this set: 5.7 years, a single bear market, no costs in the headline runs, and daily decisions. IOO's thin volume adds one more, since the fills are modelled on minute bars and a live order in a fund this quiet could do worse.
Weekdays and the peer funds
The weekday averages are flat. Monday and Wednesday each averaged 0.12%, Tuesday 0.04%, Thursday 0.03% and Friday 0.05%. None of these gives a rule anything to trade, which matches the lag-1 autocorrelation near zero.
Against its category, IOO sits between the S&P 500 funds and the Nasdaq-100 funds. SPY held for 14.56% and VOO for 14.42%, while QQQ held for 16.7% and QQQM for 16.74%. IOO's 16.72% is level with the Nasdaq funds, though its volatility of 16.65% is the figure that shows it is a different fund. On every one of those peers the best template trailed the holder, as it did on IOO. On QQQ the best was the weekly 7% target at 16.52%, and on QQQM it was the same rule at 16.64%. The weekly target was the best rule on three of the four peers shown and the RSI(2) snapback was best on VOO at 14.08%.
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 IOO?
Of the 12 templates tested on IOO over 2021-01-04 to 2026-10-02, the strongest by CAGR was monthly cycle at 15.8% (max drawdown 21.1%), versus 16.7% 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 IOO?
0 of 12 templates beat IOO buy-and-hold (16.7% CAGR) on this window; 12 of 12 had a shallower maximum drawdown than holding (23.0%).
Which strategy worked best on IOO?
The monthly cycle had the highest return at 15.8% a year and ended at $23,216. The RSI(2) snapback had the highest Sharpe ratio, 1.24, and an 11.7% drawdown. Buy-and-hold returned 16.72%, and no template beat it.
Did any strategy beat buy-and-hold on IOO?
No template beat holding over the full window. All 12 had a shallower maximum drawdown than holding's 23.03%. The weekly 7% target beat holding in four calendar years: 2022, 2024, 2025 and 2026.
How did the dip buyer do on IOO?
It made 6 round trips, all winners at about 8%, and held a position 9.1% of the time. It returned 8.28% a year with a 10.81% drawdown and gained 25.4% in 2022.
How did IOO's strategies handle 2022?
IOO lost 16% in 2022 on a buy-and-hold basis. The RSI(2) snapback gained 3.1% and the dip buyer gained 25.4%. The golden cross lost 3.8%, and the SMA 10/50 trend lost 19.9%.
Do trading costs matter on IOO?
They matter for busy rules. At 10 basis points per fill the RSI(2) snapback fell from 14.04% to 7.64% a year. The golden cross moved from 12.39% to 12.29%.
Is IOO liquid enough for these tests?
IOO's median minute volume was 306 shares and its average daily dollar volume $12,315,232. The test fills a $10,000 sleeve on minute bars, and a live order in a thin fund could do worse than the modelled fills.
Other broad index 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.