DeployQuantROM trading strategies, backtested
ProShares Ultra Technology: 2x daily leveraged technology sector. Every DeployQuant template run on ROM over 5.7 years of minute data, same engine, same window, sorted by return.
ROM is ProShares Ultra Technology, a fund that aims for twice the daily move of a technology index. Over 2021-01-04 to 2026-10-02 it returned 381.08% in total, a 31.47% CAGR, with annualized volatility of 52.1%. Holding it from the first session turned $10,000 into $45,487, a 30.19% CAGR, but the maximum drawdown was 66.77%. The fund lost 63.8% in calendar 2022 and gained 130.37% in 2023.
Twelve templates were run on ROM. One matched or beat holding on CAGR: the weekly 7% target, with 30.27% against 30.19%, and a maximum drawdown of 35.94%. Eleven of the 12 had a shallower drawdown than holding, and all 12 finished with a positive CAGR. The monthly cycle was the exception on drawdown, at 69.43%.
The weekly target's lead on CAGR is 0.08 points, which is a tie. The drawdown is the real difference. On a fund that fell two-thirds from peak to trough, a rule that halves the loss and keeps the same annual return stands out from the other eleven.
| Strategy | CAGR | max DD | Sharpe | trades | win rate | final value |
|---|---|---|---|---|---|---|
| Weekly Entry + 7% Target | 30.3% | −35.9% | 0.87 | 210 | 44% | $45,651 |
| First-to-Last Day of Month | 27.0% | −69.4% | 0.74 | 69 | 57% (+1 open) | $39,447 |
| Drawdown Dip Buyer + 8% Target | 19.9% | −66.3% | 0.62 | 13 | 100% (+1 open) | $28,307 |
| RSI(2) Dip Snapback | 18.5% | −39.2% | 0.66 | 158 | 61% | $26,547 |
| 200-Day SMA Regime Filter | 18.0% | −42.2% | 0.66 | 18 | 33% (+1 open) | $25,855 |
| EMA 12/26 Trend | 17.9% | −42.5% | 0.66 | 23 | 39% (+1 open) | $25,750 |
| SMA-200 Trend + 15% Trailing Stop | 16.5% | −41.3% | 0.62 | 22 | 36% (+1 open) | $23,987 |
| SMA 10/50 Trend | 14.5% | −43.5% | 0.58 | 16 | 44% (+1 open) | $21,726 |
| 20-Day Momentum + Trailing Stop | 13.3% | −36.2% | 0.58 | 33 | 42% (+1 open) | $20,497 |
| RSI(14) Mean Reversion | 12.8% | −52.0% | 0.52 | 16 | 69% | $19,930 |
| Golden Cross (SMA 50/200) | 12.1% | −35.1% | 0.50 | 3 | 33% (+1 open) | $19,233 |
| 3-Month Momentum Switch | 8.4% | −50.3% | 0.41 | 21 | 38% (+1 open) | $15,930 |
| Buy & hold ROM | 30.2% | −66.8% | 0.79 | – | – | $45,487 |
The weekly target against the other eleven
The CAGR order is the weekly target at 30.27%, the monthly cycle at 27%, the dip buyer at 19.87%, the RSI(2) snapback at 18.54%, the 200-day regime filter at 17.99%, EMA 12/26 at 17.91%, trend plus trailing stop at 16.46%, SMA 10/50 at 14.47%, momentum breakout at 13.32%, RSI mean reversion at 12.76%, golden cross at 12.07%, and 3-month momentum at 8.45%. Ending equity ran from $45,651 for the weekly target down to $15,930 for 3-month momentum.
Every rule other than the top two sat well below holding. The next-best, the dip buyer, had a CAGR 10.32 points under holding. Sitting out is costly on a fund that compounded at 31.47% a year. ROM's best month for buy-and-hold was May 2026 at 42.01%, and its best single day was 2025-04-09 at 26.52%. A rule that is in cash on a day like that misses a 26.52% move.
The weekly target did not do that. It was invested 67.2% of the time, made 210 round trips, and won 44% of them. The average win was 7.56% and the average loss was 4.31%, with a profit factor of 1.37. Its average hold was 5.6 days and its longest was 31. On a fund with an average daily range of 3.41%, a 7% target sits within reach of a few days of movement, and the limit order filled often. That is the main contrast with the same template on a slow fund like XLF, where the same rule rarely found its target.
The weekly target's yearly results sit on the same side of holding as the market's direction. It returned 38% in 2021 against 81.7% for holding, 72.3% in 2023 against 125.8%, 16.7% in 2024 against 31.1%, and 38.8% in 2026 against 75%. It beat holding in 2022, losing 14.7% against 63%, and in 2025, gaining 44.2% against 35.5%. The 2022 gap in the template's favour was the largest of any year on the table. The tie comes from several years of lagging a rising fund, offset by two years of beating it, 2022 above all.
Why the 2022 numbers matter more than the headline
ROM peaked on 2021-12-27 and bottomed on 2022-11-03. Holding lost 66.77% over those 311 days and took until 2024-06-11 to recover. The weekly target's own drawdown from 2022-02-09 to 2022-11-09 was 35.94%, and it recovered by 2023-07-18.
Several other rules also did their best work in 2022. The 200-day regime filter lost 25.7% against 63% for holding. EMA 12/26 lost 30%, and trend plus trailing stop lost 25.7%. SMA 10/50 lost 40.4%. The RSI(2) snapback lost only 16.2%, and it beat holding in 2021 too, with 82.9% against 81.7%. Each of those rules lost less than holding in 2022 and then fell behind in 2023, when ROM rose 130.37% and the filters were slow to re-enter: the 200-day filter returned 60.4%, EMA 12/26 returned 80.7%, and SMA 10/50 returned 68%.
The weekly target made 72.3% in 2023, which is the same pattern in a milder form. It re-entered every Monday, so it did not wait for a signal, and it exited on a fixed schedule, so it did not wait for a stop. A rule with no signal lag keeps most of a V-shaped recovery. The 3-month momentum switch shows the opposite: it made 93% in 2023, but it lost 33.7% in 2022 and 26.6% in 2024.
The monthly cycle stayed invested 95.2% of the time and tracked the fund closely. It lost 65.8% in 2022 against 63% for holding and its drawdown of 69.43% was deeper than holding's. It beat holding in 2024 (47.3% against 31.1%) and in 2025 (45.6% against 35.5%). Its worst trades were the January and April 2022 months, at -21.27% and -21.36%, and its best was April 2026 at 40.49%. The trade list suggests that on a 2x fund, a fixed monthly schedule is close to holding with extra friction.
Trend and mean-reversion rules on a 2x fund
The trend rules on ROM had low win rates and big winners. EMA 12/26 won 39% of its 23 round trips but averaged 29.12% on wins against 8.67% on losses. Its best trade, 62.75%, ran from 2023-01-23 to 2023-08-10. Trend plus trailing stop won 36% with an average win of 26.95%, and its best trade was 64.13%, from 2026-04-09 to 2026-06-05, only 57 days. SMA 10/50 had a 44% win rate and a 50.47% best trade. The 200-day filter won 33% of 18 round trips, with an average win of 17.53%.
Those figures show the trend rules working as designed: a few large winners paid for a string of small losses. What they did not do is catch the whole move, and on a fund whose total return was 381.08%, catching most of it was the whole question. Golden cross made three round trips in the window. One lost 19.45% (2021-10-19 to 2022-03-07), one gained 78% over 724 days (2023-03-24 to 2025-03-17) and one lost 5.12%. A position opened on 2026-05-04 was up 42.89% at the end. Three trades gave a 12.07% CAGR and a 35.15% drawdown.
RSI mean reversion made 16 round trips and won 69% of them, with an average win of 14.04% and an average loss of 13.06%. It was invested only 29.8% of the time. The two long losers, 2022-04-19 to 2022-07-11 at -25.5% and 2022-08-31 to 2022-11-25 at -16.08%, took the drawdown to 52%. A mean-reversion rule that buys oversold readings on a fund that is falling 63.8% in a year buys early. The RSI(14) statistics in the profile section show the other side of that coin.
The dip buyer won all 13 of its round trips, at about 8% each, and still returned 19.87% with a 66.32% drawdown. The 2021-12-08 entry was held 917 days before it hit +8% on 2024-06-12, and that single position carried the whole 2022 drawdown. Thirteen wins at 8% cannot produce a drawdown that deep unless one of them sat through the fall, and the trade dates show that one did.
How each strategy traded ROM
| Strategy | Time in market | Avg hold (days) | Best trade | Worst trade | Profit factor | With 10 bps slippage |
|---|---|---|---|---|---|---|
| weekly 7% target | 67.2% | 6 | 11.5% | −14.4% | 1.37 | 25.3% |
| monthly cycle | 95.2% | 28 | 40.5% | −21.4% | 1.73 | 24.1% |
| dip buyer | 77.5% | 117 | 9.1% | 8.0% | – | 19.7% |
| RSI(2) snapback | 36.4% | 5 | 10.9% | −19.7% | 1.40 | 12.3% |
| 200-day regime filter | 60.9% | 61 | 32.1% | −9.4% | 1.64 | 17.3% |
| EMA 12/26 trend | 62.3% | 55 | 62.8% | −17.0% | 1.85 | 17.0% |
| trend + trailing stop | 61.7% | 56 | 64.1% | −13.9% | 1.52 | 15.6% |
| SMA 10/50 trend | 59.6% | 75 | 50.5% | −16.7% | 1.95 | 13.9% |
| momentum breakout | 48.2% | 30 | 38.4% | −10.2% | 1.42 | 12.1% |
| RSI mean reversion | 29.8% | 39 | 31.4% | −25.5% | 2.26 | 12.2% |
| golden cross | 60.9% | 376 | 78.0% | −19.4% | 2.36 | 11.9% |
| 3-month momentum | 58.9% | 59 | 63.4% | −16.0% | 1.44 | 7.7% |
Hold lengths, win rates and the cost of turnover
Time in market ran from 29.8% for RSI mean reversion to 95.2% for the monthly cycle. Hold lengths ran from 4.8 days for the RSI(2) snapback and 5.6 for the weekly target to 376 for golden cross. The weekly target's median hold was 3 days and its median trade lost 0.54%, so most trades were small losses and the template made its money on the winners.
The weekly target's worst three trades were 2022-10-31 to 2022-11-03 at -14.45%, 2022-05-09 to 2022-05-12 at -13.17% and 2022-09-12 to 2022-09-15 at -12.26%, each lasting 3 days, which fits the Thursday exit. A 2x fund can fall 14% between Monday and Thursday, and the exit rule has no price stop to catch it earlier. The best three were 11.48%, 10.6% and 10.53%, each lasting 1 or 2 days.
Costs separate the active rules. The weekly target fell from 30.27% to 27.64% with 5 basis points and to 25.26% with 10, while its drawdown rose to 38.76%. It made 210 round trips. The RSI(2) snapback fell from 18.54% to 15.39% and 12.33%. The monthly cycle fell from 27% to 25.52% and 24.06%. The slower rules hardly moved: golden cross went from 12.07% to 11.93%, and RSI mean reversion from 12.76% to 12.16%.
At 10 basis points the weekly target still leads at 25.26%, ahead of the monthly cycle at 24.06%, and the gap to holding at 30.19% is then clear. The tie at zero cost is a tie before costs. ROM's average daily dollar volume was $4,995,335 and its median minute volume was 329 shares. That is thin. A 2x fund this thinly traded can carry a wider spread than the 10 basis points in the test, and the test does not measure it.
Single weeks and single months
The best and worst trades show how the two cycle rules differ. The weekly target's biggest winner was 11.48% over a single day, 2022-12-12 to 2022-12-13, and its worst loss was 14.45% over three days from 2022-10-31. Each trade lasted days, so no single trade decided the 30.27% CAGR across 210 round trips. The monthly cycle was in the fund 95.2% of the time, and its best month-long trade, 40.49% in April 2026, sits against a worst of -21.36% in April 2022. Its drawdown of 69.43% started on 2021-12-27, the same day as the fund's own peak, and recovered on 2024-07-03.
How ROM behaved
| Measure | ROM |
|---|---|
| Data in this test | 2021-01-04 to 2026-10-02 (1444 sessions) |
| Total return, buy and hold | 381.1% |
| Annualized volatility | 52.1% |
| Deepest drawdown | −67.6% (2021-12-27 to 2022-11-03) |
| Up days | 55.9% |
| Average daily range | 3.41% |
| Average overnight gap | 1.41% |
| Correlation to SPY | 0.90 |
| Correlation to QQQ | 0.97 |
| Correlation to TLT | 0.07 |
| Sessions above the 200-day average | 70.7% |
| Crossings of the 200-day average | 36 |
| Falls of 10% or more from a 20-day high | 53 |
Calendar years
| Year | Return |
|---|---|
| 2021 | 83.7% |
| 2022 | −63.8% |
| 2023 | 130.4% |
| 2024 | 31.6% |
| 2025 | 35.9% |
| 2026 (part) | 75.6% |
Biggest single days
| Best day | Move |
|---|---|
| 2025-04-09 | 26.5% |
| 2022-11-10 | 17.4% |
| 2022-11-30 | 10.7% |
| 2026-07-30 | 10.7% |
| 2022-07-27 | 10.0% |
| Worst day | Move |
|---|---|
| 2025-04-03 | −13.6% |
| 2026-06-05 | −13.5% |
| 2025-04-04 | −13.0% |
| 2022-09-13 | −11.4% |
| 2025-01-27 | −10.4% |
Average return by calendar month
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 1.0% | −2.1% | 1.1% | 2.7% | 14.3% | 7.0% | 3.0% | 0.9% | −3.6% | 6.6% | 8.5% | −1.6% |
Most and least correlated funds
| Most correlated | Least correlated | ||
|---|---|---|---|
| TECL | 0.99 | TECS | -0.99 |
| XLK | 0.99 | REW | -0.99 |
| TQQQ | 0.97 | QID | -0.97 |
| QQQ | 0.97 | SQQQ | -0.97 |
| QQQM | 0.97 | PSQ | -0.97 |
Leverage and decay against XLK
| Year | ROM | XLK | 2× XLK, reset daily |
|---|---|---|---|
| 2021 | 83.7% | 37.0% | 80.8% |
| 2022 | −63.8% | −27.7% | −53.1% |
| 2023 | 130.4% | 56.0% | 135.1% |
| 2024 | 31.6% | 21.6% | 40.8% |
| 2025 | 35.9% | 24.6% | 44.3% |
| 2026 | 75.6% | 39.3% | 83.0% |
The last column compounds 2× XLK's daily return with no fees or financing: the return a perfect daily-reset fund would have had. It leaves out the fund's fees, its borrowing costs and the interest it earns on cash, which put a real fund below or above this line. A daily-reset fund does not aim for 2× the underlying's return over a year.
Over 2021-01-04 to 2026-10-02, ROM returned 381.1% while XLK returned 226.1% and a perfect daily-reset 2× version would have returned 641.6%. Its measured daily beta to XLK was 2.06.
Volatility, leverage and the 2x structure
ROM's annualized volatility was 52.1%. Its average up day was 2.32% and its average down day was -2.58%. Up days were 55.86% of sessions. The beta to SPY was 2.87 and to QQQ 2.27, with a correlation of 0.97 to QQQ and 0.9 to SPY. The fund moves like a strongly levered Nasdaq fund. It was 0.99 correlated with TECL and XLK, and -0.99 with TECS and REW.
Measured against XLK, the 2x fund's realized beta was 2.06 with an R-squared of 0.98. Over the common window XLK returned 226.13% in total, and two times that is 452.25%. ROM returned 381.08%. A fund rebalanced daily to exactly twice XLK's daily moves would have returned 641.65%. The facts file reports a gap of -71.17 points between ROM and a simple doubling of XLK's return. The data does not separate fees, differences between the holdings of the two funds and the compounding effect, so no part of that gap is assigned to a cause here.
By year, the fund returned 83.72% in 2021, -63.8% in 2022, 130.37% in 2023, 31.55% in 2024, 35.89% in 2025 and 75.63% so far in 2026. Against twice XLK, the gap was +9.73 points in 2021, -8.34 in 2022, +18.35 in 2023, -11.72 in 2024, -13.32 in 2025 and -2.98 in 2026. The gap was positive in 2021 and 2023 and negative in the other four years.
The worst days were 2025-04-03 at -13.63%, 2026-06-05 at -13.53%, 2025-04-04 at -13.03%, 2022-09-13 at -11.37% and 2025-01-27 at -10.42%. The best were 2025-04-09 at 26.52%, 2022-11-10 at 17.45%, 2022-11-30 at 10.73%, 2026-07-30 at 10.71% and 2022-07-27 at 10%. Two of the five worst days, 2025-04-03 and 2025-04-04, came within a week of the largest up day of the window. A weekly rule that holds from Monday to Thursday sits through days of that size.
Seasonality and RSI statistics
By calendar month, May averaged 14.25%, November 8.52%, June 6.97% and October 6.57%. February averaged -2.08%, September -3.56% and December -1.64%. Each month has five or six observations, and a single year such as the 42.01% May of 2026 pulls the average up.
RSI(14) closed below 30 on 15 sessions, and the median 5-day forward return after them was 8.06% against a baseline of 0.83%. The 20-day figure was 6.6% against 2.85%. RSI(2) closed below 10 on 140 sessions, with a median 5-day return of 1.54% and a 20-day return of 4.97%. Both beat the baseline, and the larger sample, the RSI(2) one, shows a smaller edge. The RSI(2) snapback template used it and returned 18.54% with 158 round trips and a 61% win rate, but a worst trade of -19.72% from 2025-02-21 to 2025-03-06 and a longest losing streak of 7.
The fund was above its 200-day average on 70.68% of sessions and crossed it 36 times. It fell 10% or more from a 20-day high in 53 separate episodes covering 377 days. The lag-1 autocorrelation was -0.04. Large falls occur often enough on ROM that a dip-buying rule has frequent triggers, and large rebounds follow, as the RSI figures show.
Other leveraged funds in the study
The RSI(2) snapback was the best template on TQQQ at 39.31% against 25.35% for holding, on QLD at 26.17% against 23.55%, on SSO at 24.56% against 21.92% and on SPUU at 24.12% against 22.48%. On SOXL golden cross led with 45.93% against 33.32%, and on TECL the monthly cycle led with 35.97% against 38.16%. On FAS the dip buyer reached 24.15% against 18.34%.
TQQQ correlates at 0.97 with ROM. The different winners across them show that a rule's result depends on the fund's own path, and that the 5.7-year window contains a small number of large events. This is one window, daily decisions, minute-bar fills, no fees in the headline run and no margin. The findings are descriptions of what happened in it.
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Frequently asked questions
What was the best strategy for ROM?
Of the 12 templates tested on ROM over 2021-01-04 to 2026-10-02, the strongest by CAGR was weekly 7% target at 30.3% (max drawdown 35.9%), versus 30.2% 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 ROM?
1 of 12 templates beat ROM buy-and-hold (30.2% CAGR) on this window; 11 of 12 had a shallower maximum drawdown than holding (66.8%).
Which strategy worked best on ROM?
The weekly 7% target returned 30.27% a year against 30.19% for buy-and-hold, with a maximum drawdown of 35.94% against 66.77%. The monthly cycle was second at 27%. Every other template finished well below holding.
How bad was the ROM drawdown in 2022?
ROM lost 63.8% in calendar 2022 and its deepest drawdown ran 66.77% from 2021-12-27 to 2022-11-03, recovering on 2024-06-11. The weekly 7% target lost 14.7% that year, and the 200-day regime filter lost 25.7%.
Do trend strategies work on a 2x technology ETF like ROM?
They reduced drawdowns but gave up return. EMA 12/26 returned 17.91% and SMA 10/50 returned 14.47%, against 30.19% for holding. Their big winners, up to 62.75%, were offset by lower win rates of 39% and 44%.
How much does ROM decay compared with XLK?
Over the window ROM returned 381.08% against 226.13% for XLK, and twice XLK's return is 452.25%. ROM's realized beta to XLK was 2.06 with an R-squared of 0.98. The data does not split the 71.17-point gap into fees, holdings differences and compounding.
Does ROM trade enough volume for these strategies?
ROM's average daily dollar volume was $4,995,335 and its median minute volume was 329 shares. That is thin, so real spreads may be wider than the 5 and 10 basis points in the cost runs. The weekly target still returned 25.26% at 10 basis points.
Is RSI useful on ROM?
After RSI(14) closed below 30, the median 5-day forward return was 8.06% against a baseline of 0.83%, from 15 sessions. The RSI(2) snapback returned 18.54% and RSI mean reversion returned 12.76%, both below holding.
Other leveraged 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.