DeployQuantIWM trading strategies, backtested
iShares Russell 2000 ETF: US small caps, with higher beta and choppier trends than the S&P 500. Every DeployQuant template run on IWM over 5.7 years of minute data, same engine, same window, sorted by return.
IWM tracks the Russell 2000. Over the test window, 2021-01-04 to 2026-10-02, buying it on day one and holding made 7.50% a year, turned $10,000 into $15,145 and had a 31.34% max drawdown. SPY made 14.56% and VOO made 14.42% held over the same dates, so IWM is the weaker of the broad funds in this test. The small-cap index spent most of the window going sideways with large swings, and it took until November 2024 to recover the peak set in November 2021.
Twelve rule sets ran on IWM with the same engine, the same $10,000 and no margin. One of them beat buy-and-hold on CAGR: the RSI(2) snapback at 11.38%. Eight had a shallower drawdown than holding and ten had a positive CAGR. Two lost money, the SMA 10/50 trend at -1.20% and the 3-month momentum switch at -1.59%.
The headline run has no fees or slippage. Cost runs at 5 and 10 basis points per trade are listed for every template, and they change the order of the table.
| Strategy | CAGR | max DD | Sharpe | trades | win rate | final value |
|---|---|---|---|---|---|---|
| RSI(2) Dip Snapback | 11.4% | −22.8% | 0.83 | 172 | 67% (+1 open) | $18,562 |
| Weekly Entry + 7% Target | 6.6% | −26.3% | 0.45 | 144 | 24% | $14,444 |
| First-to-Last Day of Month | 6.5% | −36.9% | 0.42 | 69 | 57% (+1 open) | $14,339 |
| 200-Day SMA Regime Filter | 4.7% | −22.2% | 0.40 | 17 | 41% (+1 open) | $12,999 |
| Drawdown Dip Buyer + 8% Target | 3.1% | −25.9% | 0.26 | 2 | 100% | $11,900 |
| 20-Day Momentum + Trailing Stop | 1.4% | −24.1% | 0.17 | 7 | 29% (+1 open) | $10,801 |
| SMA-200 Trend + 15% Trailing Stop | 1.1% | −35.8% | 0.15 | 5 | 20% (+1 open) | $10,678 |
| Golden Cross (SMA 50/200) | 1.1% | −31.0% | 0.14 | 4 | 25% (+1 open) | $10,620 |
| RSI(14) Mean Reversion | 0.7% | −25.8% | 0.12 | 13 | 54% (+1 open) | $10,429 |
| EMA 12/26 Trend | 0.2% | −34.0% | 0.09 | 25 | 36% | $10,106 |
| SMA 10/50 Trend | −1.2% | −32.9% | -0.01 | 21 | 38% | $9,330 |
| 3-Month Momentum Switch | −1.6% | −26.8% | -0.06 | 20 | 40% | $9,123 |
| Buy & hold IWM | 7.5% | −31.3% | 0.46 | – | – | $15,145 |
Why only one template beat holding IWM
RSI(2) snapback is the only winner, and it won with a very different profile from holding. It made 172 round trips with a 67% win rate, spent 42.3% of days invested and held for an average of 5.2 days. Its max drawdown was 22.81%, against 31.34% for the fund. Its Sharpe was 0.83 against 0.46. The yearly table is uneven: 20.5% in 2021, 6.6% in 2022, then -0.2% in 2023 and 0.1% in 2024, then 26.1% in 2025. In 2022, when IWM lost 20.1% held, the template made money. In 2023 and 2024 it sat close to flat while the fund gained 16.4% and 11.1%. The template beat holding in 2021, 2022 and 2025 and lost to it in the other three years.
The fund's own statistics explain why this rule fits. IWM had 165 sessions with a 2-day RSI under 10. After those sessions the median 5-day forward return was 0.55% and the median 20-day forward return was 1.60%, against a baseline of 0.18% and 0.82% for all sessions. The edge is small per signal, and the lag-1 autocorrelation of daily returns is -0.02, close to zero. A rule that buys a short sharp fall and sells the rebound has no big trend to ride or fight. It collects small moves, 1.52% on the average win and -1.86% on the average loss, with a profit factor of 1.62.
The weekly 7% target came second at 6.61% with a very different shape. It won only 24% of its 144 round trips, but the average win was 7.12% against an average loss of -1.83%. It was invested 78.5% of the time and ended with $14,444 against $15,145 for holding, so it trailed by a small margin. Its 2025 return was 22.1%, the best single year in the set apart from RSI(2) at 26.1%.
The monthly cycle, which buys at the start of each month and sells at the end, made 6.48% with 95.2% exposure and a 36.88% max drawdown, the deepest of the top four. Its 2022 was -24.8%, worse than the fund's -20.1%, and 2022 is where it lost the most ground. Its best calendar years were 2024 and 2025, at 15.1% and 17.4%.
The trend and breakout templates sit at the bottom. The 200-day regime filter made 4.67% with a 22.16% drawdown and only 17 round trips, 41% of them winners, but with a profit factor of 1.83 because one trade, from 2023-12-01 to 2025-02-25, returned 22.80%. The golden cross made 1.05% and the trend plus trailing stop made 1.15%. Both had a max drawdown above 31%, which is close to holding, and a profit factor under 1. Both entered on 2021-10-19 and were stopped out in January 2022 at a loss, then took further losses in 2022 and 2023 before the gains that began in December 2023 and January 2024.
The pattern is that IWM paid for patience in 2023 to 2026 and rewarded short-term mean reversion throughout. Rules that wait for confirmation of a trend on IWM paid for the confirmation with whipsaws. EMA 12/26 and SMA 10/50 made 25 and 21 round trips with win rates of 36% and 38%, and their 2021 results were -19.4% and -20.4%, against a fund that gained 15.7% that year.
The 20-day momentum breakout made 1.35% with 7 round trips and a 29% win rate. Its two winners averaged 17.76% and its five losers averaged -5.23%, so it needed the big winners and had few of them in this window: one from 2023-11-28 to 2024-08-05 and one from 2025-05-08 to 2026-03-09. Its yearly results were -12.2% in 2021, -9.2% in 2024 and 21.6% in 2025. The 3-month momentum switch lost 1.59% with 20 round trips and a profit factor of 0.71, and its 2021 loss of 8.0% and 2024 loss of 4.1% came from switching in and out of a fund that was not trending. Both rule sets beat holding in 2022, when IWM fell, and trailed it in most other years.
Which months did the damage, and what is still open
December 2023 was the best month of the window for seven of the twelve templates: the monthly cycle made 13.78% in it, the trailing stop strategy 12.37%, the 200-day filter 12.32%, the EMA 12/26 trend 11.96%, the SMA 10/50 trend 11.88%, the momentum breakout 11.87% and the dip buyer 11.66%. Those rules were all invested for that month, so a single month supplied a large part of what the slow templates earned on IWM. April 2026 was the best month for the weekly target at 12.53% and the golden cross at 11.82%.
The worst months were scattered. January 2022 was the worst month for the monthly cycle at negative 12.76%, the golden cross at negative 10.06% and the RSI(14) rule at negative 9.39%. August 2024 was the worst for the momentum breakout at negative 11.35% and the 3-month momentum switch at negative 9.52%. December 2024 was the worst for the RSI(2) snapback at negative 7.65% and the 200-day filter at negative 8.26%. March 2023 was the worst for the trailing stop strategy at negative 9.69% and the SMA 10/50 trend at negative 7.95%. No two clusters share a cause in the data, which is part of why no rule avoided all of them.
The streak figures show how differently the rules lose. The weekly target lost 10 round trips in a row at its longest and never won more than 2 in a row. The EMA 12/26 trend also lost 10 in a row and won 4 at most. The monthly cycle won 10 in a row and lost at most 3. The RSI(2) snapback won 9 in a row and lost 7 in a row. A 7-trade losing run on a rule that makes 172 round trips is a stretch of weeks with no rebound, and the drawdown that followed it ran from 2024-08-30 to 2025-04-03 at 22.81%, with the recovery on 2025-10-27. Its worst trade, a 10.97% loss from 2025-02-21 to 2025-03-13, sits inside that drawdown.
Recovery dates separate the templates from the fund. Holding recovered its November 2021 peak on 2024-11-06. The golden cross, the trailing stop strategy and the EMA 12/26 trend did not recover until 2026-05-06. The SMA 10/50 trend and the 3-month momentum switch have no recovery date at all, so their 32.93% and 26.84% drawdowns were still open at the end of the data. The dip buyer recovered on 2024-07-16, ahead of the holder, with only 2 trades.
Several templates also finish the test holding a position, and the open trade carries part of the reported CAGR. The golden cross has been in since 2025-08-05 at an adjusted 217.27 and is up 29.57%, a larger gain than any of its closed trades, the best of which made 6.41%. The trailing stop strategy has been in since 2025-06-25 at 211.74 and is up 32.95%. The 200-day filter has been in since 2026-04-01 at 249.03 and is up 13.04%. The RSI(14) rule is the opposite case: it entered on 2026-09-02 at 290.61 and is down 3.13%. These open results are marks to the last close, not realised exits.
How each strategy traded IWM
| Strategy | Time in market | Avg hold (days) | Best trade | Worst trade | Profit factor | With 10 bps slippage |
|---|---|---|---|---|---|---|
| RSI(2) snapback | 42.3% | 5 | 6.7% | −11.0% | 1.62 | 5.0% |
| weekly 7% target | 78.5% | 10 | 8.3% | −6.4% | 1.22 | 2.6% |
| monthly cycle | 95.2% | 28 | 14.1% | −13.3% | 1.32 | 4.1% |
| 200-day regime filter | 54.5% | 57 | 22.8% | −4.6% | 1.83 | 4.0% |
| dip buyer | 56.8% | 596 | 10.7% | 8.1% | – | 3.0% |
| momentum breakout | 46.3% | 115 | 23.3% | −9.9% | 1.21 | 1.1% |
| trend + trailing stop | 62.8% | 171 | 17.9% | −13.5% | 0.39 | 1.0% |
| golden cross | 55.7% | 185 | 6.4% | −11.3% | 0.22 | 0.8% |
| RSI mean reversion | 38.3% | 60 | 9.8% | −10.5% | 1.21 | 0.2% |
| EMA 12/26 trend | 57.8% | 48 | 23.6% | −7.9% | 1.02 | −0.8% |
| SMA 10/50 trend | 56.3% | 56 | 12.3% | −8.0% | 0.83 | −1.9% |
| 3-month momentum | 46.9% | 49 | 8.2% | −9.8% | 0.71 | −2.3% |
What the trading table shows about costs
The last column of the trading table is the CAGR with 10 basis points of slippage on each trade. It separates the templates more than the headline numbers do.
RSI(2) snapback falls from 11.38% to 8.22% at 5 basis points and to 5.01% at 10. It is the highest-turnover template, with 345 fills, so every basis point is paid many times. It still beats the weekly 7% target at the same cost level, but the fund at 7.50% now beats it. At 10 basis points RSI(2) snapback ends with $13,238, below the $15,145 from holding. The result that put it first in the headline table does not survive that cost level in this test. The test does not say what real costs on IWM would be. IWM trades about $5,885,548,447 a day on average and the median minute carries 46,034 shares, so the fund is liquid, and the choice of 5 or 10 basis points is an assumption, not a measurement.
The weekly 7% target loses more: 6.61% falls to 4.75% and then 2.56%, with the max drawdown rising from 26.26% to 33.41%. Its 288 fills are costly because most trades are small losses cut on Thursday afternoon.
The low-turnover templates barely move. The 200-day regime filter goes from 4.67% to 4.31% to 4.00%. The golden cross goes from 1.05% to 0.99% to 0.82%. The dip buyer went from 3.08% to 3.06% to 3.05% with 4 fills. For these rules the cost assumption is almost irrelevant and the ranking is set by the entries and exits.
Hold times show the split. RSI(2) holds 5.2 days on average and the weekly template 10.4. The dip buyer averaged 595.5 days across two trades: one entered 2021-12-01 at an adjusted price of 209.24 and exited 2024-11-06 at 231.71 for 10.74% after 1071 days. The other entered 2025-03-05 and exited 2025-07-03 for 8.06%. A 100% win rate here means two trades, and the 25.93% max drawdown came from the first one sitting through the 2022 decline.
The best single trades are not the high-frequency ones. The 200-day filter made 22.80% in one position, the momentum breakout made 23.32% from 2025-05-08 to 2026-03-09, and EMA 12/26 made 23.55% from 2025-05-06 to 2025-11-13. The RSI(14) mean reversion template has a 54% win rate and a profit factor of 1.21 and still made only 0.73% because its average loss of -6.26% nearly cancelled its average win of 6.90%.
How IWM behaved
| Measure | IWM |
|---|---|
| Data in this test | 2021-01-04 to 2026-10-02 (1444 sessions) |
| Total return, buy and hold | 55.8% |
| Annualized volatility | 22.4% |
| Deepest drawdown | −31.9% (2021-11-08 to 2022-06-16) |
| Up days | 51.7% |
| Average daily range | 1.75% |
| Average overnight gap | 0.61% |
| Correlation to SPY | 0.84 |
| Correlation to QQQ | 0.75 |
| Correlation to TLT | 0.08 |
| Sessions above the 200-day average | 63.3% |
| Crossings of the 200-day average | 34 |
| Falls of 10% or more from a 20-day high | 26 |
Calendar years
| Year | Return |
|---|---|
| 2021 | 16.1% |
| 2022 | −20.5% |
| 2023 | 16.9% |
| 2024 | 11.3% |
| 2025 | 12.7% |
| 2026 (part) | 15.1% |
Biggest single days
| Best day | Move |
|---|---|
| 2025-04-09 | 8.6% |
| 2022-11-10 | 6.1% |
| 2024-11-06 | 5.8% |
| 2023-11-14 | 5.5% |
| 2021-01-06 | 4.1% |
| Worst day | Move |
|---|---|
| 2025-04-03 | −6.5% |
| 2022-06-13 | −4.7% |
| 2022-06-16 | −4.6% |
| 2025-04-04 | −4.5% |
| 2024-12-18 | −4.4% |
Average return by calendar month
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 0.8% | 1.1% | −1.7% | −1.2% | 2.4% | 1.6% | 3.6% | 0.3% | −3.3% | 1.8% | 3.8% | −0.2% |
Most and least correlated funds
| Most correlated | Least correlated | ||
|---|---|---|---|
| VV | 0.84 | SH | -0.84 |
| SSO | 0.84 | SDS | -0.84 |
| SPY | 0.84 | SPDN | -0.84 |
| VOO | 0.84 | SQQQ | -0.75 |
| QQQE | 0.83 | QID | -0.75 |
What IWM's own behaviour says about the results
IWM's annualized volatility was 22.35%, and 51.7% of sessions were up days. The average up day was 1.09% and the average down day was -1.08%, which is almost symmetric. The average daily range was 1.75%. That is a fund that moves a lot and nets little, and it matches the 8.03% CAGR of the price series over 1444 sessions.
The drawdown record is the main reason trend rules struggled. The deepest fall, 31.92%, ran from 2021-11-08 to 2022-06-16 and the fund did not recover until 2024-11-06. The longest drawdown lasted 752 sessions. A second fall of 27.00% from 2024-11-25 to 2025-04-08 recovered by 2025-09-11. A trend rule that exits after a 2022 breakdown and re-enters after the recovery has to get both timings right, and the data shows the 2023 whipsaw cost the golden cross 12.8% in that year alone.
The calendar returns are 16.12% in 2021, -20.50% in 2022, 16.85% in 2023, 11.35% in 2024, 12.68% in 2025 and 15.12% in 2026 to date. Only one year is negative, but it is large enough to hold the multi-year result down.
The overnight split is unusual. Overnight log return was 69.84% and the intraday log return was -27.57%. The overnight share of return is 165.24% and the intraday share is -65.24%. IWM's total gain came from the gap between the close and the next open, and trading from open to close lost ground. The average overnight gap was 0.61%. This matters for templates that enter at the open and exit by the close, and it is one reason a strategy that holds overnight, like the monthly cycle at 95.2% exposure, did better than one that is flat at night. This is a description of one window and the split could reverse in another one.
The biggest single days cluster around known events. The best was 8.55% on 2025-04-09, and the worst was -6.47% on 2025-04-03. Both sit inside the 27.00% drawdown. RSI(2) snapback bought 2025-04-07 at an adjusted 170.91 and sold 2025-04-10 at 182.35 for 6.69%, its best trade. The 2022-06-13 and 2022-06-16 days, at -4.73% and -4.62%, mark the low of the 31.92% fall.
Seasonality in the monthly averages is thin, with 5 or 6 observations per calendar month. July averaged 3.65% and November 3.82%, while September averaged -3.27% and March -1.74%. With so few years the numbers are descriptive and should not be read as a pattern. Day-of-week averages are close to zero, at 0.13% for Monday and 0.00% on Thursday.
IWM has a correlation of 0.84 with SPY and 0.75 with QQQ, and a beta of 1.14 to SPY. The correlation to TLT is 0.08. Among peers the closest are VV, SPY and VOO, and the least correlated are inverse funds such as SH and SDS at -0.84. The 200-day average was crossed 34 times in the window, and the fund spent 63.29% of sessions above it. Thirty-four crossings in under six years is a lot, and it explains the low win rates for the trend rules.
Among the broad index funds, QQQ held at 16.70% and SPY at 14.56%, against 7.50% for IWM. The best template on those two funds was the weekly 7% target. On IWM it was RSI(2). The RSI(14) below 30 signal fired on 33 sessions with a median 20-day forward return of 0.22%, below the baseline of 0.82%, and the RSI(14) mean reversion template reflects that with a CAGR of 0.73%. A slower oversold signal had no edge on this fund in the window, while the faster 2-day signal did.
How the weekday, drawdown and day-count figures fit together
The weekday averages are close to flat. Monday averaged 0.13%, Tuesday 0.02%, Wednesday 0.02%, Thursday 0% and Friday 0.03%. The Monday figure is the only one above a few hundredths, and it comes from the same overnight gaps that account for the whole return in the table above.
IWM had 26 falls of 10% or more from a 20-day high, spread over 67 sessions. IOO had 10 such falls over 19 sessions, so sharp drops were far more frequent on IWM. The comparison shows up in the template results: a rule that is flat during those falls and long afterwards gains on IWM, and the RSI(2) snapback is the one that does so. The 5-day median after an RSI(2) reading below 10 was 0.55%, against a baseline of 0.18%, and the 20-day median was 1.60% against 0.82%. Those gaps are small per signal, and a cost of 5 basis points on each fill takes a visible share of them, which is why the return fell from 11.38% to 8.22% in the cost run.
The RSI(14) evidence runs the other way. After 33 sessions below 30, the median 5-day return was 1.78%, above the baseline of 0.18%, but the median 20-day return was 0.22%, below the baseline of 0.82%. The short horizon looks fine and the longer one does not, and the RSI(14) template holds for an average of 59.8 days, which is the horizon where the signal had no edge here.
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Frequently asked questions
What was the best strategy for IWM?
Of the 12 templates tested on IWM over 2021-01-04 to 2026-10-02, the strongest by CAGR was RSI(2) snapback at 11.4% (max drawdown 22.8%), versus 7.5% 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 IWM?
1 of 12 templates beat IWM buy-and-hold (7.5% CAGR) on this window; 8 of 12 had a shallower maximum drawdown than holding (31.3%).
What was the best strategy for IWM?
RSI(2) snapback, at 11.38% CAGR with a 22.81% max drawdown, against 7.50% and 31.34% for buy-and-hold. It made 172 round trips with a 67% win rate. With 10 basis points of slippage it fell to 5.01%, which is below holding.
Did any strategy beat buying and holding IWM?
One of twelve did on CAGR, the RSI(2) snapback. Eight had a shallower max drawdown than the fund's 31.34%, and ten had a positive CAGR. The weekly 7% target came closest after it at 6.61%.
Why did trend-following rules do badly on IWM?
The fund crossed its 200-day average 34 times in the window and fell 31.92% from November 2021 to June 2022. The golden cross made 1.05% and the SMA 10/50 trend made -1.20%, with win rates of 25% and 38%.
How much did costs change the IWM results?
High-turnover rules lost most. RSI(2) snapback went from 11.38% to 8.22% at 5 basis points and 5.01% at 10. The weekly 7% target went from 6.61% to 2.56%. The dip buyer barely moved, from 3.08% to 3.05%.
How volatile is IWM?
Annualized volatility was 22.35% over 1444 sessions, with an average daily range of 1.75%. The fund had 26 falls of 10% or more from a 20-day high. Its correlation to SPY was 0.84.
Is IWM a good fit for mean reversion rules?
In this window the 2-day RSI version worked and the 14-day version did not. After RSI(2) fell under 10 the median 5-day forward return was 0.55%, against a baseline of 0.18%. After RSI(14) fell under 30 the median 20-day return was 0.22%, against 0.82%.
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.