DeployQuantQAI trading strategies, backtested
NYLI Hedge Multi-Strategy Tracker ETF: replicates a basket of hedge-fund strategies. Every DeployQuant template run on QAI over 5.7 years of minute data, same engine, same window, sorted by return.
QAI is the NYLI Hedge Multi-Strategy Tracker ETF, a fund that replicates a basket of hedge-fund strategies. It is a low-volatility fund. From 2021-01-04 to 2026-10-02 it returned 25.27% in total, a CAGR of 4% on its own price series, with annualized volatility of 6.52% and a max drawdown of 14.94%. Buy-and-hold in the strategy engine, from $10,000 with no fees, ended at $12,451 with a CAGR of 3.89%, a Sharpe ratio of 0.64 and a max drawdown of 14.65%.
Twelve rule sets ran on it. Ten finished with a positive CAGR and two finished at exactly 0%, because they never entered a trade: the momentum breakout and the dip buyer. Three beat buy-and-hold on CAGR, all by less than half a point: the golden cross at 4.28%, the 200-day regime filter at 4.26% and the weekly 7% target at 4.21%. Nine of the twelve had a shallower drawdown than holding.
The gaps between rules are small on this fund. The positive CAGRs run from 4.28% down to 2.11%, and the CAGR for holding sits near the top of that range. For that reason the ranking tells a reader less than the shape of each rule: how often it traded, how much of the time it was invested, and how deep its drawdown was. The 2022 loss of 8.77% and the 15% peak-to-trough decline are the only large events in the data, and most of the rules differ in how they handled that one year. The headline runs carry no fees or slippage. The momentum breakout row describes a backtest-only template and says it never traded, so no claim about live use follows from it.
| Strategy | CAGR | max DD | Sharpe | trades | win rate | final value |
|---|---|---|---|---|---|---|
| Golden Cross (SMA 50/200) | 4.3% | −7.6% | 0.89 | 1 | 100% (+1 open) | $12,719 |
| 200-Day SMA Regime Filter | 4.3% | −6.0% | 0.94 | 7 | 29% (+1 open) | $12,704 |
| Weekly Entry + 7% Target | 4.2% | −15.8% | 0.72 | 48 | 15% (+1 open) | $12,672 |
| RSI(2) Dip Snapback | 3.4% | −6.8% | 0.78 | 152 | 65% (+1 open) | $12,140 |
| First-to-Last Day of Month | 3.3% | −16.1% | 0.52 | 69 | 52% (+1 open) | $12,036 |
| EMA 12/26 Trend | 2.8% | −7.3% | 0.64 | 20 | 45% | $11,694 |
| SMA-200 Trend + 15% Trailing Stop | 2.6% | −15.9% | 0.45 | 1 | 0% (+1 open) | $11,596 |
| RSI(14) Mean Reversion | 2.1% | −7.6% | 0.51 | 15 | 73% | $11,302 |
| SMA 10/50 Trend | 2.1% | −8.1% | 0.52 | 18 | 39% | $11,283 |
| 3-Month Momentum Switch | 2.1% | −5.0% | 0.61 | 4 | 50% | $11,276 |
| 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 |
| Buy & hold QAI | 3.9% | −14.7% | 0.64 | – | – | $12,451 |
What each rule did on a low-volatility fund
The golden cross made 1 closed round trip and held one position for 831 days, from 2023-01-19 to 2025-04-29, for a gain of 13.77%. It was invested 61.8% of the time and had a max drawdown of 7.63%, a Sharpe ratio of 0.89 and a CAGR of 4.28%. It was flat in 2021 and 2022, so it sat out the 2022 decline entirely, and it beat holding in both of those years. A second position was open at the end of the window.
The 200-day regime filter returned 4.26% with a 6.02% drawdown and the best Sharpe ratio of the group at 0.94. It made 7 round trips and won 29% of them, with an average win of 7.55% and an average loss of 1.18%, a profit factor of 2.41. Its best trade gained 12% from 2023-10-31 to 2025-03-11. The weekly 7% target returned 4.21% on 48 round trips with a 15% win rate, an average win of 7.98% and an average loss of 0.73%. It was invested 93.2% of the time, so its 15.8% drawdown looks like holding, and its drawdown ran from 2021-02-17 to 2022-10-11, matching the fund's own.
The short-horizon rule did what its profile suggests on a quiet fund. The RSI(2) snapback returned 3.43% over 152 round trips with a 65% win rate, an average win of 0.53% and an average loss of 0.61%. It was invested 36.8% of the time and its drawdown was 6.84%. The RSI mean reversion won 73% of 15 trades but returned only 2.15% because it was invested 34.1% of the time.
The monthly cycle returned 3.28% with a 16.07% drawdown, deeper than holding, on 69 round trips with a 52% win rate. The EMA 12/26 returned 2.76% with a 7.35% drawdown, and the SMA 10/50 returned 2.12% with an 8.05% drawdown. Neither won a trade in 2021. The 3-month momentum returned 2.11% with the shallowest drawdown of any rule that traded, at 5%, and a profit factor of 6.46 on 4 round trips. The trend plus trailing stop returned 2.61% and was the only rule to beat holding in none of the six years. Its one closed trade lost 14.65% from 2021-10-20 to 2022-10-31, and its drawdown was 15.95%, deeper than holding. This template is backtest-only for now.
The momentum breakout and the dip buyer both show a CAGR of 0%, an exposure of 0% and no trades. Their entry conditions were never met on QAI. Both look like safe rules in the table, with no drawdown, and they say nothing about the fund apart from the fact that it did not make the large moves those rules wait for. A rule that never trades has a Sharpe ratio of 0, which is below that of every rule that traded.
Months, streaks and the trades still open
April 2026 was the best month for holding QAI at 4.52%, and five templates had the same month as their best: the trailing stop strategy at 4.53%, the 3-month momentum switch at 4.52%, the 200-day filter at 4.51%, the weekly target at 4.51% and the golden cross at 4.5%. The match is close because those rules were all invested in the fund that month. The two rules that traded most in 2022 took their best month then: the monthly cycle made 7.6% in November 2022 and the EMA 12/26 trend 3.39%. The RSI(2) snapback's best month was June 2026 at 2.73%, the smallest best month of any rule that traded.
The worst months were September 2022 for holding at negative 3.91%, the trailing stop strategy at the same figure and the RSI(14) rule at negative 2.9%, and June 2022 for the monthly cycle at negative 3.59%, the weekly target at negative 3.92% and the RSI(2) snapback at negative 3.02%. Worst months this shallow show how little room a rule has to lose on this fund. The largest loss on a single trade was the trailing stop strategy's only closed trade, 14.65% from 2021-10-20 to 2022-10-31.
The streaks match the win rates. The weekly target lost 21 round trips in a row at its longest and won at most 2 in a row. The EMA 12/26 trend lost 8 in a row and the SMA 10/50 trend 6, and the monthly cycle lost 6 in a row against 5 wins. The RSI(2) snapback won 11 in a row and lost 4, and the RSI(14) rule won 8 in a row and lost 2. The two rules that buy weakness had the best streaks, which fits a fund with 24 sessions below 30 on the 14-day RSI and a positive median return after them.
Several rules end the window holding a trade, and the open gain is part of the CAGR. The trailing stop strategy has been in since 2022-12-02 at an adjusted 26.62 and is up 36.14%. The 200-day filter has been in since 2025-05-05 at 30.88 and is up 17.36%. The golden cross has been in since 2025-06-24 at 32.25 and is up 12.37%, while its one closed trade made 13.77%. The weekly target, the RSI(2) snapback and the monthly cycle opened positions in September and October 2026 and are within a point of flat.
The gaps to holding by year show where rules gave up ground. The 3-month momentum switch and the golden cross beat holding by 8.6 points in 2022, the 3-month switch then trailed by 11 points in 2023 and 6.6 in 2024. The EMA 12/26 trend beat holding by 9 points in 2022 and trailed in every other year. The RSI(2) snapback beat it in 2021, 2022 and 2026 and trailed in 2023, 2024 and 2025 by 5.5, 3.5 and 7.3 points. Rules that stayed out of the fund for part of 2023 to 2025 fell behind in those years, since QAI gained 10.25%, 6.75% and 8.13% in them with few sharp days to avoid.
How each strategy traded QAI
| Strategy | Time in market | Avg hold (days) | Best trade | Worst trade | Profit factor | With 10 bps slippage |
|---|---|---|---|---|---|---|
| golden cross | 61.8% | 831 | 13.8% | 13.8% | – | 4.2% |
| 200-day regime filter | 65.2% | 122 | 12.0% | −2.9% | 2.41 | 4.0% |
| weekly 7% target | 93.2% | 38 | 13.5% | −7.5% | 1.88 | 2.1% |
| RSI(2) snapback | 36.8% | 5 | 3.0% | −2.8% | 1.65 | −1.8% |
| monthly cycle | 95.2% | 28 | 7.8% | −3.7% | 1.54 | 0.9% |
| EMA 12/26 trend | 62.3% | 66 | 5.5% | −1.7% | 2.67 | 2.1% |
| trend + trailing stop | 84.5% | 376 | −14.7% | −14.7% | – | 2.6% |
| RSI mean reversion | 34.1% | 48 | 3.5% | −2.9% | 2.94 | 1.6% |
| SMA 10/50 trend | 60.9% | 71 | 6.4% | −2.4% | 2.30 | 1.5% |
| 3-month momentum | 34.0% | 179 | 14.0% | −1.3% | 6.46 | 2.0% |
| dip buyer | 0.0% | – | – | – | – | 0.0% |
| momentum breakout | 0.0% | – | – | – | – | 0.0% |
Trades, costs and thin liquidity
QAI trades about $3,152,202 a day on average, and its median minute volume is 317 shares. That is thin compared with the large index funds in this study, and the backtest fills at minute-bar prices. The cost runs for the fast rules are therefore more relevant here than the headline run.
The RSI(2) snapback went from 3.43% to 0.78% at 5 basis points and to 1.81% negative at 10. The weekly target went from 4.21% to 3.24% and 2.12%. The monthly cycle went from 3.28% to 2.07% and 0.86%. At 5 basis points none of these three beat holding's 3.89%, and at 10 the monthly cycle fell below 1%. The slow rules were nearly untouched. The golden cross moved from 4.28% to 4.26% and 4.23%, the 200-day filter from 4.26% to 4.13% and 3.99%, and the trend plus trailing stop from 2.61% to 2.58% and 2.56%. The ranking at the top of the table is therefore the ranking after costs as well, and the fast rules' small profits per trade are what the spread removes.
The median trades are small. The RSI(2) snapback's median was a gain of 0.23% over 4 days and the monthly cycle's was 0.03%. The RSI mean reversion's median was a gain of 1.35% over 41 days. The 200-day filter's median was a loss of 0.45% and the SMA 10/50's was a loss of 0.33%. Best trades were modest, apart from the long holds: 13.98% for the 3-month momentum from 2025-07-09 to 2026-09-01, and 13.52% for the weekly target from 2022-10-17 to 2022-12-27. The worst trade for the weekly target was 7.53% negative from 2022-12-27 to 2022-12-29, which began on the day its best trade ended.
The weekly target shows how a rule that needs a 7% weekly gain behaves on a fund that moves 0.31% on an average up day. It won 15% of its trades. In 2021 it won none of 9, and in 2023 it made one trade, a win of 7.15% over 2023-01-03 to 2023-11-29, which was a hold of many months. That trade held until the target was reached, which is why the average hold was 38 days against a typical week for this template. The rule's profit factor of 1.88 comes from the size of those rare wins.
How QAI behaved
| Measure | QAI |
|---|---|
| Data in this test | 2021-01-04 to 2026-10-02 (1444 sessions) |
| Total return, buy and hold | 25.3% |
| Annualized volatility | 6.5% |
| Deepest drawdown | −14.9% (2021-02-17 to 2022-10-14) |
| Up days | 51.4% |
| Average daily range | 0.53% |
| Average overnight gap | 0.27% |
| Correlation to SPY | 0.82 |
| Correlation to QQQ | 0.80 |
| Correlation to TLT | 0.18 |
| Sessions above the 200-day average | 75.7% |
| Crossings of the 200-day average | 15 |
| Falls of 10% or more from a 20-day high | 0 |
Calendar years
| Year | Return |
|---|---|
| 2021 | −0.2% |
| 2022 | −8.8% |
| 2023 | 10.3% |
| 2024 | 6.8% |
| 2025 | 8.1% |
| 2026 (part) | 8.2% |
Biggest single days
| Best day | Move |
|---|---|
| 2025-04-09 | 3.2% |
| 2022-11-10 | 1.9% |
| 2023-04-04 | 1.3% |
| 2022-03-16 | 1.3% |
| 2022-10-21 | 1.3% |
| Worst day | Move |
|---|---|
| 2025-04-04 | −2.7% |
| 2022-06-13 | −2.3% |
| 2026-06-05 | −1.8% |
| 2025-04-03 | −1.6% |
| 2025-04-10 | −1.5% |
Average return by calendar month
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 0.9% | 0.2% | −0.5% | 0.2% | 0.8% | 0.3% | 0.6% | 0.3% | −0.6% | 0.3% | 1.6% | 0.3% |
Most and least correlated funds
| Most correlated | Least correlated | ||
|---|---|---|---|
| QQQE | 0.84 | SDS | -0.82 |
| VV | 0.83 | SH | -0.82 |
| SPY | 0.82 | SPDN | -0.82 |
| SSO | 0.82 | QID | -0.80 |
| VOO | 0.82 | SQQQ | -0.80 |
How QAI moved
QAI rose on 51.35% of sessions. The average up day was 0.31% and the average down day was 0.32% negative. The average intraday range was 0.53% and the average overnight gap was 0.27%. Calendar-year returns were 0.24% negative in 2021, 8.77% negative in 2022, 10.25% in 2023, 6.75% in 2024, 8.13% in 2025 and 8.15% in 2026 for the part of the year covered. The drawdown ran from a peak on 2021-02-17 to a trough on 2022-10-14 and recovered on 2024-03-12, and the longest underwater stretch was 770 sessions.
The fund never fell 10% within 20 days. The count of drawdown events of that kind is 0. This is the main reason the stop-based and dip-based templates did little: a 10% trailing stop, a 15% trailing stop or a deep drawdown trigger are all sized for funds that move more. The best day was 2025-04-09 at 3.17%, and the worst was 2025-04-04 at 2.72% negative. The next worst days were 2022-06-13 at 2.27% negative and 2026-06-05 at 1.78% negative.
The overnight and intraday split is the reverse of most funds. The overnight log return was 48.34% negative and the intraday log return was 70.66%, so the intraday share of the return was 316.57% and the overnight share was 216.57% negative. QAI's gains in this window came during the trading day and it lost value between the close and the next open. Rules that exit before the close and re-enter at the next open would have avoided the overnight loss in this data, and the short-hold rules did hold a smaller share of nights, with the RSI(2) snapback invested 36.8% of the time. The split is unusual enough that a reader should treat it as a property of this fund's price record and not as a rule.
The fund's correlation to SPY was 0.82 and to QQQ 0.8, with betas of 0.33 and 0.23. Its correlation to TLT was 0.18. The most correlated funds are QQQE at 0.84, VV at 0.83, SPY, SSO and VOO at 0.82. The fund therefore moves with equities at roughly a third of their amplitude. In 2022 it lost 8.77%, and in each year from 2023 to 2026 it returned between 6.75% and 10.25%, which is a narrow band compared with the equity funds it correlates with.
The fund was above its 200-day average on 75.74% of sessions and crossed it only 15 times. That explains why the 200-day filter and the golden cross, with 7 and 1 closed round trips, worked here, while rules built on shorter averages took more small losses. The EMA 12/26 won none of its 5 trades in 2021 and none of its 3 trades in 2022.
On oversold readings, RSI(14) fell below 30 on 24 sessions, with a median forward 5-day return of 0.67% and a median 20-day return of 0.86%, above the baselines of 0.16% and 0.45%. RSI(2) below 10 occurred on 154 sessions, with medians of 0.29% at 5 days and 0.66% at 20. Both readings were followed by better-than-baseline results, which agrees with the RSI(2) snapback's 65% win rate and the RSI mean reversion's 73%, but the sizes are small: a median of 0.29% is under a third of a percent.
The daily numbers explain why costs matter more than signals. An average move of about 0.3% a day, set against a spread that may be several basis points, leaves a thin margin for a rule that trades 152 times in 5.7 years. The slow rules that trade a handful of times avoid that problem and also give up the small gains that the fund's steady drift offers.
Month-of-year averages are small as well. November averaged 1.58% and January 0.93%, and March at 0.46% negative and September at 0.63% negative were the weakest, each with 5 or 6 observations. Other alternative-strategy funds in the set had buy-and-hold CAGRs of 6.63% for RINF, 8.9% for CTA, 7.07% for KMLM, 19.49% for CLSE and 7.61% for ALTY. QAI's 3.89% is the lowest of the group. The best rule on CTA was the monthly cycle at 13.3%, on CLSE the weekly target at 21.66%, and on KMLM the monthly cycle at 8.06%.
Drawdown record and weekday averages
Holding's deepest drawdown was 14.65%, from 2021-02-17 to 2022-10-14, and the fund did not recover until 2024-03-12, 515 days after the trough. Two later drawdowns were far smaller: 7.63% from 2025-02-18 to 2025-04-08, recovered on 2025-06-26, and 3.65% from 2026-02-25 to 2026-03-30, recovered on 2026-04-13. The worst day of the window, negative 2.72% on 2025-04-04, sits inside the 7.63% fall, and the best day, 3.17% on 2025-04-09, came three sessions later.
The weekday averages are almost zero: Monday 0.02%, Tuesday 0.01%, Wednesday 0.04%, Thursday 0.01% and Friday 0%. Lag-1 autocorrelation was negative 0.05. Against KMLM and RINF, the other alternative-strategy funds on these pages, QAI held for 3.89% and its best rule made 4.28%, while KMLM held for 7.07% and RINF for 6.63%. QAI's holding return was below that of every fund in the peer table.
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Frequently asked questions
What was the best strategy for QAI?
Of the 12 templates tested on QAI over 2021-01-04 to 2026-10-02, the strongest by CAGR was golden cross at 4.3% (max drawdown 7.6%), versus 3.9% 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 QAI?
3 of 12 templates beat QAI buy-and-hold (3.9% CAGR) on this window; 9 of 12 had a shallower maximum drawdown than holding (14.7%).
Which strategy did best on QAI?
The golden cross, at a CAGR of 4.28% against 3.89% for buy-and-hold. It made 1 closed round trip, was invested 61.8% of the time and had a max drawdown of 7.63%. The 200-day regime filter was close at 4.26%.
Why did two strategies show 0% on QAI?
The momentum breakout and the dip buyer never entered a trade on QAI, so their exposure was 0% and their CAGR was 0%. Their entry conditions were not met in the window. The fund's volatility was 6.52% a year and it never fell 10% within 20 days.
How much did QAI fall in 2022?
The 2022 calendar-year return was 8.77% negative. The drawdown ran from 2021-02-17 to 2022-10-14 at 14.94%, and recovery came on 2024-03-12 after 770 sessions.
Do trading costs matter on QAI?
For fast rules, yes. The RSI(2) snapback fell from 3.43% to 0.78% at 5 basis points and to 1.81% negative at 10. The golden cross moved from 4.28% to 4.23% at 10 basis points.
Is QAI liquid enough to trade these rules?
It averages about $3,152,202 of dollar volume a day and a median of 317 shares a minute. The backtest fills on minute bars with no slippage in the headline run, so the real cost of the fast rules may be higher than the cost runs show.
Does QAI follow the stock market?
Partly. Its correlation to SPY was 0.82 and its beta was 0.33, so it moved with equities at about a third of their amplitude. It lost 8.77% in 2022 and gained between 6.75% and 10.25% in each of 2023, 2024, 2025 and 2026.
What are the limits of this test?
One window of 5.7 years from 2021-01-04 to 2026-10-02, with daily-decision rules and no fees in the headline run. The differences between rules are small, and the results are hypothetical.
Other alternative-strategy 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.