DeployQuantRINF trading strategies, backtested
ProShares Inflation Expectations ETF: tracks 30-year breakeven inflation expectations. Every DeployQuant template run on RINF over 5.7 years of minute data, same engine, same window, sorted by return.
RINF is a ProShares fund that tracks 30-year breakeven inflation expectations. It is a niche product, and it trades thinly: an average of $433,360 per day and a median of 300 shares per minute. From 2021-01-04 to 2026-10-02 buy-and-hold returned 6.63% a year, turned $10,000 into $14,460, and had a maximum drawdown of 13.3% and a Sharpe ratio of 0.59.
On RINF, 1 of the 12 templates beat holding on CAGR. That one is RSI(2) snapback at 8.52%, with a Sharpe ratio of 1.10 and a drawdown of 10.6%. Six of the 12 had a shallower drawdown, and 7 had a positive CAGR. The weekly 7% target, at 6.57%, was 0.06 points short of holding. The other templates finished between 6.34% and negative 2.27%.
The spread inside the table is wide for a fund with 12.4% volatility. Rules built on RSI readings did well, and rules built on moving average crossings did poorly. The 200-day filter returned negative 2.11% with 37 round trips, and the fund crossed its 200-day average 74 times while spending 82.3% of sessions above it.
The test used $10,000 per run, minute-bar fills, daily decisions, and no fees or slippage in the headline run. The data for RINF covers 1428 sessions in the window.
| Strategy | CAGR | max DD | Sharpe | trades | win rate | final value |
|---|---|---|---|---|---|---|
| RSI(2) Dip Snapback | 8.5% | −10.6% | 1.10 | 166 | 69% | $15,989 |
| Weekly Entry + 7% Target | 6.6% | −14.3% | 0.62 | 57 | 23% (+1 open) | $14,409 |
| RSI(14) Mean Reversion | 6.3% | −9.8% | 0.93 | 15 | 93% | $14,229 |
| First-to-Last Day of Month | 5.2% | −14.9% | 0.49 | 69 | 57% (+1 open) | $13,368 |
| SMA-200 Trend + 15% Trailing Stop | 4.0% | −13.3% | 0.41 | 0 | – (+1 open) | $12,526 |
| Golden Cross (SMA 50/200) | 2.4% | −13.3% | 0.28 | 4 | 50% (+1 open) | $11,446 |
| Drawdown Dip Buyer + 8% Target | 1.3% | −2.8% | 0.52 | 1 | 100% | $10,783 |
| EMA 12/26 Trend | −0.2% | −16.1% | 0.02 | 30 | 40% (+1 open) | $9,873 |
| 3-Month Momentum Switch | −0.4% | −12.8% | -0.00 | 10 | 50% | $9,786 |
| 200-Day SMA Regime Filter | −2.1% | −21.4% | -0.16 | 37 | 32% (+1 open) | $8,848 |
| SMA 10/50 Trend | −2.1% | −23.9% | -0.19 | 25 | 36% (+1 open) | $8,844 |
| 20-Day Momentum + Trailing Stop | −2.3% | −17.1% | -0.32 | 2 | 0% | $8,764 |
| Buy & hold RINF | 6.6% | −13.3% | 0.59 | – | – | $14,460 |
Mean reversion won, trend rules lost, and why the trade lists show it
RINF returned 15.05% in 2021, 8.98% in 2022, 0.21% in 2023, 9.89% in 2024, 1.48% in 2025, and 3.78% in 2026 to date. It had two nearly flat years, 2023 and 2025. Its deepest drawdown was 13.54%, from 2022-10-24 to 2023-02-03, recovered on 2023-10-18. The rules that bought short pullbacks did best.
RSI(2) snapback made 166 round trips and won 69%, with an average win of 0.87% and an average loss of 0.90%. The profit factor was 1.94. It was invested 39.1% of the time. Its 2022 return was 24.0%, against 8.8% for holding, and it beat holding in 2022, 2023, 2025, and 2026 but trailed in 2021 by 4.7 points and in 2024 by 4.2 points. Its best trades were short holds in spring 2022, including 3.46% from 2022-04-26 to 2022-04-29. Its worst was a loss of 5.25% over 7 days from 2022-06-29 to 2022-07-06, in the same month as the fund's 10.05% drawdown.
RSI(14) mean reversion made 15 round trips and won 14, a win rate of 93%, with a profit factor of 13.91. It returned 6.34% with a drawdown of 9.76%, and its one loss was 2.60% from 2023-11-15 to 2024-01-17. Its best trade gained 6.30% over 23 days from 2022-09-27 to 2022-10-20. Fourteen wins out of 15 is a small sample, and the rule was invested only 31.3% of the time, so the result is a pattern of buying oversold readings and getting paid for waiting. On this fund RSI(14) fell below 30 on only 10 sessions, and the median forward return was 1.42% over 5 days and 2.99% over 20 days, against baselines of 0.15% and 0.57%.
The weekly 7% target returned 6.57%, with 57 round trips and a 23% win rate. Its average win was 7.16% and its average loss was 1.24%, and the profit factor was 1.63. It was invested 91.5% of the time, with an average hold of 30.8 days. Its best trade was 7.65% from 2022-10-03 to 2022-10-14, a month in which the fund returned 13.45% on buy-and-hold. Its drawdown of 14.3% was slightly deeper than the 13.3% for holding.
The monthly cycle returned 5.19% with a 57% win rate and a profit factor of 1.50. It was invested 95.2% of the time and had a drawdown of 14.9%. Its best single trade gained 12.82% in October 2022. That month is also the best month for holding at 13.45%, so the monthly rule captured most of the biggest move in the data. It beat holding only in 2023, by 2.9 points.
The trend rules produced the low end. The trailing-stop rule returned 4.00% with a single position, opened on 2021-10-22 and up 25.81% at the end, and a drawdown of 13.3% that matches holding. Its result is one trade, held through the whole 2022 and 2023 period without the 15% stop being hit. Golden cross made 4 round trips and returned 2.38%, with a 50% win rate and a best trade of 7.28% over 461 days from 2021-10-22 to 2023-01-26.
EMA 12/26 returned negative 0.22% with 30 round trips, a win rate of 40%, and a profit factor of 0.89. 3-month momentum returned negative 0.38% with 10 round trips. The 200-day filter returned negative 2.11% with 37 round trips, 12 wins, and a profit factor of 0.49. SMA 10/50 returned negative 2.12% with 25 round trips and a drawdown of 23.9%, and its 2022 return was negative 14.0% in a year when the fund gained 8.8%. The 200-day filter page lists those 37 trades. The momentum breakout made 2 round trips, both losses of 4.53% and 8.48% in 2022, and returned negative 2.27%.
The dip buyer made one trade, a gain of 8.01% over 67 days from 2022-07-01 to 2022-09-06, and returned 1.32% with exposure of 3.2%. One trade does not describe a rule. The template needs a 10% fall from a 20-day high, which occurred in this fund once in the window.
The gap between the two groups shows up in the crossings. The 74 crossings of the 200-day average show how often that happened, and the trade lists for the 200-day filter and SMA 10/50 show 11 and 6 round trips in 2022 with only 2 and 1 wins.
October 2022, the streaks and the trades still open
October 2022 decided more of this page than any other month. It was the best month for holding RINF at 13.45%, and for the trailing stop strategy at 13.42%, the golden cross at 13.42%, the monthly cycle at 12.54%, the weekly target at 11.99%, the RSI(14) rule at 10.27% and the 200-day filter at 9.8%. The RSI(2) snapback's best month was also October 2022, at 6.83%. September 2022 was the worst month for holding at negative 6.11%, the trailing stop strategy at negative 6.09%, the golden cross at the same figure, the 200-day filter and the SMA 10/50 trend at negative 5.74% and the monthly cycle at negative 5.57%. The fund rose more in October than it fell in September, so a rule's result for the window depends heavily on whether it was invested through that one rise.
The RSI(2) snapback's worst month, June 2022 at negative 6.84%, holds its worst trade, a loss of 5.25% from 2022-06-29 to 2022-07-06. The weekly target's worst month came in January 2023 at negative 6.77%, together with the RSI(14) rule's worst month at negative 4.73%.
The streaks fit the win rates in the trading table. The RSI(2) snapback won 9 round trips in a row and lost 4 in a row at most. The RSI(14) rule won 8 in a row and lost 1. The monthly cycle won 6 in a row and lost 3. The weekly target lost 7 in a row at its longest and won at most 2, and the SMA 10/50 trend lost 6 in a row. The golden cross, the dip buyer and the trailing stop strategy have too few closed trades for a streak to mean anything.
Holding recovered its October 2022 peak on 2023-10-18, 257 days after the trough. A later drawdown of 9.46% began on 2023-10-19, hit its low on 2023-12-27 and did not recover until 2025-01-07, 377 days after the low. Many of the trend rules never recovered inside the window: the EMA 12/26 trend's 16.15% drawdown from 2021-05-17, the 200-day filter's 21.43% from 2022-06-06, the SMA 10/50 trend's 23.92% from 2022-04-21 and the 3-month momentum switch's 12.8% from 2022-06-06 all have no recovery date.
Several rules finish the test holding a position. The golden cross has been in since 2024-10-15 at an adjusted 30.54 and is up 6.94%. The 200-day filter has been in since 2026-04-06 at 31.6 and is up 3.35%. The EMA 12/26 trend entered on 2026-07-15 at 32.09 and the SMA 10/50 trend on 2026-07-30 at 32.43, up 1.78% and 0.71%. The monthly cycle entered on 2026-10-01 at 32.73 and is down 0.21%. These are marks to the last close.
The yearly gaps to holding show where each group lost ground. The RSI(2) snapback led holding by 15.2 points in 2022 and trailed by 4.7 in 2021 and 4.2 in 2024. The trend rules trailed in 2022 by between 10.4 and 22.8 points: the EMA 12/26 trend by 10.4, the 3-month switch by 12.4, the 200-day filter by 18.3, the momentum breakout by 21.2 and the SMA 10/50 trend by 22.8. In 2021, when RINF gained 15.05%, every rule trailed holding except the weekly target, ahead by 1.7 points.
How each strategy traded RINF
| Strategy | Time in market | Avg hold (days) | Best trade | Worst trade | Profit factor | With 10 bps slippage |
|---|---|---|---|---|---|---|
| RSI(2) snapback | 39.1% | 5 | 3.5% | −5.3% | 1.94 | 2.5% |
| weekly 7% target | 91.5% | 31 | 7.7% | −4.7% | 1.63 | 3.8% |
| RSI mean reversion | 31.3% | 44 | 6.3% | −2.6% | 13.91 | 5.8% |
| monthly cycle | 95.2% | 28 | 12.8% | −5.7% | 1.50 | 2.7% |
| trend + trailing stop | 86.0% | – | – | – | – | 4.0% |
| golden cross | 74.5% | 213 | 7.3% | −1.3% | 3.75 | 2.2% |
| dip buyer | 3.2% | 67 | 8.0% | 8.0% | – | 1.4% |
| EMA 12/26 trend | 63.3% | 41 | 6.7% | −4.5% | 0.89 | −1.3% |
| 3-month momentum | 35.4% | 73 | 2.1% | −2.1% | 0.69 | −0.7% |
| 200-day regime filter | 70.7% | 35 | 6.2% | −4.8% | 0.49 | −3.4% |
| SMA 10/50 trend | 60.4% | 48 | 5.7% | −7.1% | 0.57 | −3.0% |
| momentum breakout | 7.9% | 82 | −4.5% | −8.5% | – | −2.3% |
Costs and liquidity on a thinly traded fund
RINF's trading numbers need more caution than any other fund in this set. It traded an average of $433,360 per day, with a median minute volume of 300 shares. A $10,000 position is a small share of that, but the 5 and 10 basis point cost runs apply a flat offset and do not model the spread of a fund this thin. The fills in the headline run assume the minute bar's price. Read the table with that in mind.
Within that limit, the cost runs sort the templates by trade count.
RSI(2) snapback was the most sensitive. It made 332 fills and returned 8.52% with no cost, 5.49% at 5 basis points, and 2.55% at 10 basis points. Its drawdown went from 10.6% to 11.4% to 12.2%. At 5 basis points it already trailed holding, and at 10 it trailed by a wide margin. The average trade gained 0.30% at the median, which is why the margin is thin.
The weekly 7% target went from 6.57% to 5.65% to 3.82%, with 115 fills. The monthly cycle went from 5.19% to 3.95% to 2.73%, with 139 fills. The 200-day filter went from negative 2.11% to negative 2.73% and negative 3.36%. EMA 12/26 went from negative 0.22% to negative 0.74% and negative 1.25%.
The low-turnover rules barely moved. RSI(14) mean reversion went from 6.34% to 6.07% to 5.80%, the smallest drop for a template with 30 fills and a positive return. Golden cross went from 2.38% to 2.23%. The trailing-stop rule stayed at 4.00% to 3.99%. The dip buyer went from 1.32% to 1.41% at 10 basis points, which is a higher number than the no-cost run. One trade with two fills does not support a cost conclusion, and the small change reflects fill timing in a single position.
At 10 basis points RSI(14) mean reversion is first in the table at 5.80%, ahead of the trailing-stop rule at 3.99% and the weekly 7% target at 3.82%. It made 15 round trips, so it pays for little trading.
The time in market column shows how much of the window each rule held. The weekly and monthly rules were in for 91.5% and 95.2% of the time, which makes them close to a hold with periodic cash. RSI(2) snapback was in for 39.1%, RSI(14) for 31.3%, and 3-month momentum for 35.4%. A rule that was out most of the time and still matched holding had a lower exposure to the fund's drawdowns. RSI(14)'s 9.76% drawdown and RSI(2)'s 10.64% were both below the 13.32% for holding.
Two other alternative-strategy funds in the test give context. KMLM returned 7.07% on buy-and-hold and its best template, the monthly cycle, returned 8.06%. CTA returned 8.9% on buy-and-hold and the monthly cycle returned 13.3%. On ALTY the weekly 7% target returned 8.42% against 7.61%.
How RINF behaved
| Measure | RINF |
|---|---|
| Data in this test | 2021-01-04 to 2026-10-02 (1428 sessions) |
| Total return, buy and hold | 45.4% |
| Annualized volatility | 12.4% |
| Deepest drawdown | −13.5% (2022-10-24 to 2023-02-03) |
| Up days | 51.9% |
| Average daily range | 0.61% |
| Average overnight gap | 0.36% |
| Correlation to SPY | 0.13 |
| Correlation to QQQ | 0.09 |
| Correlation to TLT | -0.40 |
| Sessions above the 200-day average | 82.3% |
| Crossings of the 200-day average | 74 |
| Falls of 10% or more from a 20-day high | 1 |
Calendar years
| Year | Return |
|---|---|
| 2021 | 15.1% |
| 2022 | 9.0% |
| 2023 | 0.2% |
| 2024 | 9.9% |
| 2025 | 1.5% |
| 2026 (part) | 3.8% |
Biggest single days
| Best day | Move |
|---|---|
| 2022-03-02 | 4.3% |
| 2022-04-14 | 4.0% |
| 2022-03-08 | 3.8% |
| 2022-11-30 | 3.3% |
| 2022-04-21 | 3.2% |
| Worst day | Move |
|---|---|
| 2022-10-25 | −3.2% |
| 2022-05-19 | −3.1% |
| 2022-06-29 | −2.9% |
| 2022-05-02 | −2.9% |
| 2021-10-29 | −2.9% |
Average return by calendar month
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|
| −0.6% | 1.3% | 1.6% | 1.2% | 1.0% | −1.2% | 1.0% | 0.4% | −0.1% | 4.1% | −1.5% | −0.4% |
Most and least correlated funds
| Most correlated | Least correlated | ||
|---|---|---|---|
| TBF | 0.41 | TMF | -0.40 |
| KMLM | 0.23 | TLT | -0.40 |
| XLF | 0.16 | IEF | -0.37 |
| FAS | 0.15 | UST | -0.36 |
| VTV | 0.15 | BND | -0.35 |
How RINF moves and why it differs from stocks and bonds
RINF's annualized volatility was 12.41%, and its deepest drawdown was 13.54%. Up days were 51.9% of sessions, with an average up day of 0.55% and an average down day of negative 0.56%. The average intraday range was 0.61% and the average overnight gap was 0.36%. The lag-1 autocorrelation was 0.00, so one day's move carried no information about the next.
The overnight and intraday split is unusual. The overnight log return was 76.2% and the intraday log return was negative 38.62%. The fund gained in the hours between close and open and lost during the session, so the share figures read 202.78% overnight and negative 102.78% intraday. For rules that fill at the open, the order meets a price that already includes the overnight move.
The correlations are low. RINF's correlation to SPY was 0.13 and its beta was 0.09. Its correlation to TLT was negative 0.40 and its beta to TLT was negative 0.33. The funds most correlated with it were TBF at 0.41, KMLM at 0.23, XLF at 0.16, and FAS and VTV at 0.15. The least correlated were TMF and TLT at negative 0.40, IEF at negative 0.37, UST at negative 0.36, and BND at negative 0.35. RINF moved against the long Treasury funds in this window. In 2022 it returned 8.98%.
The fund's best days were 2022-03-02 at 4.35%, 2022-04-14 at 4.02%, and 2022-03-08 at 3.80%. The worst were 2022-10-25 at negative 3.16%, 2022-05-19 at negative 3.11%, and 2022-06-29 at negative 2.92%. Most of the largest moves in the data fall in 2022, and the best month for holding was October 2022 at 13.45%. The worst month was September 2022 at negative 6.11%.
By calendar month, October averaged 4.10% across 5 observations, with the October 2022 gain contributing most of it. March averaged 1.61%, February 1.29%, and April 1.19%. November averaged negative 1.50%, June negative 1.23%, and January negative 0.62%. Each month has 5 or 6 observations, so these describe this window.
The fund closed above its 200-day average on 82.3% of sessions and crossed it 74 times, which is a high count for a fund that spent most of its time above the line. Crossings that frequent mean a long-average rule is switched on and off by small moves around the line. The 200-day filter's 37 round trips, a 32% win rate and an average hold of 35.1 days are the result. RSI(2) fell below 10 on 139 sessions with a median 5-day forward return of 0.29% and a median 20-day return of 1.23%, against baselines of 0.15% and 0.57%. The edge over baseline is small in absolute terms but positive for both horizons, which fits the best result in the table.
The fund had one fall of 10% or more from a 20-day high, lasting one day. That is the single event that triggered the dip buyer's one trade.
The other alternative-strategy funds give a range. CLSE returned 19.49% on buy-and-hold and its best template returned 21.66%. QAI returned 3.89% and its best, golden cross, returned 4.28%. On each of these funds the best template finished above holding, as it did on RINF.
The test is one window of 5.74 years with a fund that has little volume. The numbers show what the rules did on that price history, with flat cost offsets, and they are not a forecast.
Weekday and signal figures
The 14-day RSI fell below 30 on only 10 sessions in this data, which is why the RSI(14) rule made just 15 round trips. The 2-day RSI fell below 10 on 139 sessions, and that rule traded 166 times. After the RSI(14) signals the median 20-day return was 2.99% against a baseline of 0.57%, and after the RSI(2) signals the median 5-day return was 0.29% against 0.15%. The slow signal had the larger edge per trade and the fast one fired far more often. The weekday averages are flat: Monday 0.09%, Tuesday negative 0.04%, Wednesday 0.01%, Thursday 0.01% and Friday 0.08%, with a lag-1 autocorrelation of 0.
On peers, CTA held for 8.9% and ALTY for 7.61%, both above RINF's own holding result of 6.63%. The monthly cycle was the best template on CTA at 13.3%, and the weekly target on ALTY at 8.42%. On RINF the RSI(2) snapback led with 8.52%.
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Frequently asked questions
What was the best strategy for RINF?
Of the 12 templates tested on RINF over 2021-01-04 to 2026-10-02, the strongest by CAGR was RSI(2) snapback at 8.5% (max drawdown 10.6%), versus 6.6% 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 RINF?
1 of 12 templates beat RINF buy-and-hold (6.6% CAGR) on this window; 6 of 12 had a shallower maximum drawdown than holding (13.3%).
What is the best strategy for RINF?
By CAGR, RSI(2) snapback at 8.52% from 2021-01-04 to 2026-10-02, with a Sharpe ratio of 1.10 and a drawdown of 10.6%. Buy-and-hold returned 6.63%. At 10 basis points of slippage the template fell to 2.55%.
Did any strategy beat buy-and-hold on RINF?
One did. RSI(2) snapback returned 8.52% against 6.63% for holding. The weekly 7% target came within 0.06 points at 6.57%. Six of the 12 templates had a shallower drawdown than holding.
Why did moving-average rules do badly on RINF?
RINF crossed its 200-day average 74 times while spending 82.3% of sessions above it. The 200-day filter made 37 round trips and returned negative 2.11%. SMA 10/50 returned negative 2.12% and lost 14.0% in 2022 when the fund gained 8.8%.
How did RINF behave in 2022?
It returned 8.98% for the calendar year, while buy-and-hold in the test returned 8.8%. Its correlation to TLT was negative 0.40. October 2022 was its best month at 13.45% and September 2022 its worst at negative 6.11%.
Is RINF liquid enough to backtest reliably?
It is thin. The fund traded an average of $433,360 a day with a median minute volume of 300 shares. The cost runs add a flat 5 or 10 basis points and do not model spread, so the high-turnover results carry more uncertainty.
Which RINF strategy held up best after costs?
RSI(14) mean reversion moved from 6.34% to 5.80% at 10 basis points, with 30 fills and a 93% win rate. RSI(2) snapback fell from 8.52% to 2.55%. The weekly 7% target fell from 6.57% to 3.82%.
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.