DeployQuantSH trading strategies, backtested
ProShares Short S&P500: -1x daily S&P 500, a simple index hedge. Every DeployQuant template run on SH over 5.7 years of minute data, same engine, same window, sorted by return.
SH is ProShares Short S&P 500, a fund that targets the opposite of the S&P 500's daily move. In this test, 2021-01-04 to 2026-10-02, the S&P 500 rose and SH lost money: holding returned negative 10.00% a year, turned $10,000 into $5,460, and sat in one drawdown of 47.18% that started on the first day of the data and had not recovered by 2026-08-13.
All 12 templates beat holding SH on CAGR, and all 12 had a shallower drawdown. None of them made money. Every one finished with a negative CAGR, from negative 0.53% for RSI(2) snapback to negative 9.07% for the weekly 7% target.
The page shows what rules can and cannot do with a fund that falls over time. A template that sits out most of a decline loses less than holding, and the table below measures how much less. A short fund pays off in sharp market drops, and the window has two, 2022 and a brief fall in April 2025. The headline runs have no fees or slippage. The cost runs make the comparison worse for the templates that trade often.
| Strategy | CAGR | max DD | Sharpe | trades | win rate | final value |
|---|---|---|---|---|---|---|
| RSI(2) Dip Snapback | −0.5% | −24.7% | -0.01 | 171 | 54% | $9,701 |
| Drawdown Dip Buyer + 8% Target | −1.9% | −24.4% | -0.25 | 2 | 100% (+1 open) | $8,978 |
| 20-Day Momentum + Trailing Stop | −2.2% | −17.9% | -0.23 | 4 | 25% | $8,787 |
| Golden Cross (SMA 50/200) | −2.3% | −28.6% | -0.17 | 6 | 33% | $8,743 |
| SMA 10/50 Trend | −2.7% | −22.8% | -0.17 | 15 | 20% | $8,557 |
| EMA 12/26 Trend | −3.9% | −24.6% | -0.28 | 20 | 25% (+1 open) | $7,955 |
| RSI(14) Mean Reversion | −4.3% | −29.5% | -0.37 | 14 | 43% (+1 open) | $7,788 |
| 3-Month Momentum Switch | −4.8% | −29.5% | -0.42 | 8 | 25% | $7,524 |
| 200-Day SMA Regime Filter | −4.9% | −31.2% | -0.38 | 25 | 20% | $7,507 |
| SMA-200 Trend + 15% Trailing Stop | −7.7% | −45.4% | -0.56 | 7 | 29% | $6,300 |
| First-to-Last Day of Month | −8.9% | −42.9% | -0.54 | 69 | 35% (+1 open) | $5,845 |
| Weekly Entry + 7% Target | −9.1% | −45.4% | -0.59 | 139 | 9% (+1 open) | $5,794 |
| Buy & hold SH | −10.0% | −47.2% | -0.60 | – | – | $5,460 |
Losing less than holding, ranked
Buy-and-hold SH had a Sharpe of negative 0.60. The best template Sharpe was RSI(2) snapback at negative 0.01, which is zero for practical purposes. Every other template had a negative Sharpe from negative 0.17 to negative 0.59.
RSI(2) snapback made 171 round trips and won 54% of them. It was invested 46.8% of the time with an average hold of 5.7 days. Its average win was 1.15% and its average loss was 1.37%, so its profit factor was 0.97, just under break-even. It returned 22.8% in 2022 and lost in 2021, 2023, 2024 and 2026, by 6.1%, 2.4%, 8.0% and 6.9%. The drawdown of 24.69% started 2023-06-07 and had not recovered by 2026-08-04. A template that is close to flat on a fund that lost half its value is ahead of holding by 9.47 points of CAGR. It is not a profitable result.
The dip buyer made 2 closed trades, both hitting the 8% target in 2022: 8.39% from 2022-03-30 to 2022-04-25 and 8.00% from 2022-08-11 to 2022-09-01. It then bought again on 2025-04-28 at an adjusted 42.02 and was down 23.54% at the end of the window. The 100% win rate on closed trades is overturned by the open position. Its CAGR of negative 1.86% includes that open loss.
The momentum template and the golden cross share a shape. 20-day momentum with a trailing stop made 4 trades and was invested 8.9% of the time, with a CAGR of negative 2.23%. The golden cross made 6 trades and returned negative 2.31%. Its best trade made 8.92% from 2022-04-13 to 2023-01-20, and its worst lost 20.91% from 2025-04-07 to 2025-07-02. That entry was on 2025-04-07, two sessions before the market's best day of the window, 2025-04-09.
The trend templates, SMA 10/50 at negative 2.68% and EMA 12/26 at negative 3.91%, won 20% and 25% of their trades. SMA 10/50 made 15 round trips with 3 winners, and EMA 12/26 made 20 with 5. Both made money in 2022, 7.9% and 1.1%, and lost in the other years. Their profit factors were 0.52 and 0.33.
RSI(14) mean reversion returned negative 4.26% with 14 round trips and was invested 66.8% of the time. It lost 15.12% on a trade held 202 days from 2025-04-30 to 2025-11-18, and 13.81% on one held 238 days from 2021-01-26 to 2021-09-21. Buying an oversold short fund means buying after it has fallen, and on a fund that falls most of the time that is usually the start of more decline.
3-month momentum at negative 4.83% and the 200-day filter at negative 4.87% were invested 16.9% and 18.9% of the time. The 200-day filter made 25 round trips and won 5, with an average win of 0.76% and an average loss of 1.64%. The 3-month momentum template had a profit factor of 0.12. In 2022 both lost money, 13.8% and 13.5%, because the rules waited for confirmation after the first leg of the decline and entered the fund as the market turned.
The weakest three were the trend plus trailing stop template at negative 7.73%, the monthly cycle at negative 8.93%, and the weekly 7% target at negative 9.07%. The weekly template won 9% of its 139 round trips, with a longest losing streak of 26. Its average win was 7.54% and its average loss was 1.13%. The 9% hit rate was too low for that payoff. It was invested 80.7% of the time, which is close to holding, and its result is close to holding's. The monthly cycle was invested 95.2% of the time and lost 8.93%.
The ranking follows exposure. The templates that were invested least lost least, and the ones that were invested most had a CAGR close to holding.
How each strategy traded SH
| Strategy | Time in market | Avg hold (days) | Best trade | Worst trade | Profit factor | With 10 bps slippage |
|---|---|---|---|---|---|---|
| RSI(2) snapback | 46.8% | 6 | 5.6% | −8.6% | 0.97 | −6.2% |
| dip buyer | 27.2% | 24 | 8.4% | 8.0% | – | −1.9% |
| momentum breakout | 8.9% | 46 | 3.2% | −8.9% | 0.20 | −2.4% |
| golden cross | 19.4% | 68 | 8.9% | −20.9% | 0.48 | −2.5% |
| SMA 10/50 trend | 29.6% | 41 | 7.7% | −4.8% | 0.52 | −3.2% |
| EMA 12/26 trend | 29.6% | 31 | 4.2% | −3.9% | 0.33 | −4.6% |
| RSI mean reversion | 66.8% | 96 | 6.7% | −15.1% | 0.48 | −4.7% |
| 3-month momentum | 16.9% | 44 | 3.1% | −8.5% | 0.12 | −5.1% |
| 200-day regime filter | 18.9% | 16 | 1.1% | −3.8% | 0.12 | −5.7% |
| trend + trailing stop | 43.0% | 129 | 1.1% | −13.6% | 0.02 | −8.0% |
| monthly cycle | 95.2% | 28 | 9.3% | −8.0% | 0.63 | −11.0% |
| weekly 7% target | 80.7% | 11 | 10.1% | −7.7% | 0.63 | −14.5% |
Costs, hold times and the trades that mattered
The cost runs turn small differences into losses. RSI(2) snapback fell from negative 0.53% to negative 3.39% at 5 basis points and negative 6.16% at 10, with the drawdown rising to 36.84%. It made 342 fills. At 10 basis points it ended at $6,940 from $10,000. That moved it behind the golden cross at negative 2.52%, the 200-day filter at negative 5.69% and the SMA 10/50 template at negative 3.16%.
The weekly 7% target fell from negative 9.07% to negative 11.60% and negative 14.51% with 279 fills, and its drawdown went to 60.51%. At 10 basis points it was worse than holding SH at negative 10.00%. The monthly cycle fell from negative 8.93% to negative 11.04% and was also behind holding. Those two were the only templates that finished below holding in a cost run. The templates with a handful of trades, the dip buyer at negative 1.88%, momentum at negative 2.36% and the golden cross at negative 2.52%, barely moved.
At 10 basis points the order was the dip buyer at negative 1.88%, momentum at negative 2.36%, the golden cross at negative 2.52%, SMA 10/50 at negative 3.16%, EMA 12/26 at negative 4.58%, and then RSI(14) mean reversion at negative 4.72%. The quiet templates took the top places because they did little.
Average holds ran from 5.7 days for RSI(2) snapback to 129.4 days for the trailing-stop template, with the weekly template at 10.6 and the monthly cycle at 28.4. The trailing-stop template made 7 round trips and won 2. Its two wins were 1.15% and 0.02%, and its losses were 13.64% from 2025-05-02 to 2025-09-22, 11.09% from 2022-12-07 to 2023-07-18, and 10.65% from 2023-09-27 to 2024-01-29. Its profit factor was 0.02 and its drawdown was 45.42%, nearly as deep as holding. The trailing stop sits below the price, and on a fund that drifts down it is hit every time. It cannot produce a better result by exiting early when the fund falls most of the time and bounces briefly.
Long holds did worse here because the one good year was followed by losing years. SH returned 17.91% in 2022 and lost in each of the other five calendar years. A template that entered in 2022 and held into 2023 gave the gain back: the trailing-stop template made 2.0% in 2022 and lost 20.4% in 2023.
The highest profit factor was RSI(2) snapback at 0.97. The rest were between 0.02 and 0.63, which means gross losses exceeded gross wins in every case. Even a quick exit on a 2-day RSI recovery held a fund whose drift was negative.
The sample is also small for most templates. With 2 to 7 trades, a single outcome decides the CAGR. The RSI(2) and weekly templates have over 100 trades each and so give a more stable read, and both show a negative result with costs.
The months that decided the long-exposure templates
Buy-and-hold SH had one month above 9%, September 2022 at 9.73%, and its worst month was April 2026 at -8.81%. The templates that stayed in the fund most inherited those two months almost unchanged. The monthly cycle made 9.26% from 2022-06-01 to 2022-06-30, 8.29% in March 2025 and 7.86% in September 2022, and its three worst trades were whole months: -7.98% in April 2026, -7.58% in July 2022 and -7.37% in November 2023. A template that holds each month from first to last open cannot separate the good months from the bad ones. Its 35% win rate and 0.63 profit factor describe the fund's month-to-month swings.
The weekly 7% target shows the effect of a fixed profit target. Its best trade made 10.09% from 2024-07-15 to 2024-08-05, above the 7% mark. Its worst trade lost 7.69% from 2025-04-07 to 2025-04-10, the same April 2025 reversal that hurt the golden cross and the momentum template. With a 9% win rate, most of its 139 round trips were losses, and winners such as the 9.05% trade from 2022-06-06 to 2022-06-13 had to cover them.
The trend templates had one good stretch, in the autumn of 2022. SMA 10/50 made 7.73% from 2022-09-09 to 2022-11-03, its best trade, and its best month was September 2022 at 11.87%. Its worst month was October 2022 at -7.64%, one month later. EMA 12/26 shows the same pairing at 9.22% and -6.11%. In both cases the best and worst months sit next to each other, so a rule that caught the rally also took the reversal.
The two RSI rules produced the other large single outcomes. RSI(2) snapback made 5.57% from 2025-04-02 to 2025-04-04, a two-day hold that caught the April 2025 spike, and lost 8.58% from 2026-04-02 to 2026-04-22 in the month the fund had its worst result. Its best month was April 2022 at 6.89% and its worst was April 2026 at -8.30%. A fund with 16.40% annualized volatility can move more than 8% in a month in either direction, and the rule had no filter for that.
How SH behaved
| Measure | SH |
|---|---|
| Data in this test | 2021-01-04 to 2026-10-02 (1444 sessions) |
| Total return, buy and hold | −47.4% |
| Annualized volatility | 16.4% |
| Deepest drawdown | −48.2% (2021-01-04 to 2026-08-13) |
| Up days | 45.5% |
| Average daily range | 1.16% |
| Average overnight gap | 0.44% |
| Correlation to SPY | -1.00 |
| Correlation to QQQ | -0.94 |
| Correlation to TLT | -0.07 |
| Sessions above the 200-day average | 21.9% |
| Crossings of the 200-day average | 50 |
| Falls of 10% or more from a 20-day high | 6 |
Calendar years
| Year | Return |
|---|---|
| 2021 | −25.2% |
| 2022 | 17.9% |
| 2023 | −14.8% |
| 2024 | −13.4% |
| 2025 | −11.4% |
| 2026 (part) | −8.7% |
Biggest single days
| Best day | Move |
|---|---|
| 2025-04-04 | 6.0% |
| 2025-04-03 | 4.8% |
| 2022-09-13 | 4.4% |
| 2022-05-18 | 3.9% |
| 2022-06-13 | 3.8% |
| Worst day | Move |
|---|---|
| 2025-04-09 | −9.3% |
| 2022-11-10 | −5.5% |
| 2025-05-12 | −3.3% |
| 2022-06-24 | −3.1% |
| 2022-11-30 | −3.1% |
Average return by calendar month
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|
| −0.9% | 0.2% | −0.5% | −0.3% | −2.6% | −0.9% | −2.5% | −0.3% | 2.8% | −2.4% | −3.5% | 0.3% |
Most and least correlated funds
| Most correlated | Least correlated | ||
|---|---|---|---|
| SDS | 1.00 | SSO | -1.00 |
| SPDN | 1.00 | SPY | -1.00 |
| SQQQ | 0.94 | VOO | -1.00 |
| QID | 0.94 | VV | -1.00 |
| PSQ | 0.94 | SPUU | -0.99 |
Leverage and decay against SPY
| Year | SH | SPY | -1× SPY, reset daily |
|---|---|---|---|
| 2021 | −25.2% | 30.5% | −24.6% |
| 2022 | 17.9% | −18.2% | 15.3% |
| 2023 | −14.8% | 26.2% | −22.1% |
| 2024 | −13.4% | 24.9% | −21.2% |
| 2025 | −11.4% | 17.7% | −17.9% |
| 2026 | −8.7% | 13.8% | −13.2% |
The last column compounds -1× SPY'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 -1× the underlying's return over a year.
Over 2021-01-04 to 2026-10-02, SH returned −47.4% while SPY returned 125.3% and a perfect daily-reset -1× version would have returned −62.0%. Its measured daily beta to SPY was -1.00.
How SH behaved in this window
SH is the mirror of the S&P 500. Its correlation to SPY was negative 1.00, to QQQ negative 0.94, and to TLT negative 0.07, with a beta of negative 1.00 to SPY. The funds most correlated with it were SDS and SPDN at 1.00 and SQQQ, QID and PSQ at 0.94. The least correlated were SSO, SPY, VOO and VV at negative 1.00 and SPUU at negative 0.99. Annualized volatility was 16.40%, close to the S&P 500 funds. SH rose on 45.46% of days. The average up day was 0.77% and the average down day was negative 0.75%.
The calendar years were negative 25.19% in 2021, 17.91% in 2022, negative 14.82% in 2023, negative 13.45% in 2024, negative 11.36% in 2025 and negative 8.70% in 2026 through 2026-10-02. SH made money in one calendar year of six. It lost every other year, even in 2025, which included the April drop. The fund's drawdown ran from 2021-01-04, the first day of the data, to 2026-08-13 at 48.24% in the profile table and was not recovered. That is the longest possible drawdown in this window, 1,443 sessions.
The leverage table sets SH beside SPY and beside a frictionless daily-reset −1× version of SPY. SPY returned 125.29% over the window and SH returned negative 47.37%. The daily-reset ideal was negative 61.98%, so SH lost less than the ideal. Year by year the fund was behind the ideal only in 2021 (negative 25.19% against negative 24.62%). In 2022 it gained 17.91% against 15.32%, in 2023 it lost 14.82% against 22.09%, and in 2024 it lost 13.45% against 21.17%. The ideal leaves out fees, borrowing costs and interest on cash, so the table describes the window and does not say what moved SH above the line.
Both halves of the day lost money for SH. Overnight log return was negative 32.83% and intraday log return was negative 29.59%. The overnight share of the return was 52.6% and the intraday share 47.4%.
The biggest days for SH came when the market fell sharply: 2025-04-04 at 5.98%, 2025-04-03 at 4.83%, 2022-09-13 at 4.37%, 2022-05-18 at 3.94% and 2022-06-13 at 3.80%. The worst were 2025-04-09 at negative 9.34%, 2022-11-10 at negative 5.47%, 2025-05-12 at negative 3.30%, 2022-06-24 at negative 3.10% and 2022-11-30 at negative 3.08%. The single worst day, negative 9.34%, was the S&P 500's best day in the window. A template that held SH on 2025-04-09 gave up almost a tenth of the position in one session. The momentum template and the golden cross both entered on 2025-04-07, and both took losses there.
Monthly averages were best in September at 2.83% and worst in November at negative 3.48%, with May at negative 2.62%, July at negative 2.55% and October at negative 2.41%. Each month has 5 or 6 observations. SH was above its 200-day average in 21.93% of sessions and crossed the average 50 times, which fits the 200-day filter making 25 round trips and winning 5.
On the oscillator signals, RSI(14) fell below 30 in 70 sessions and above 70 in 26. After the 70 oversold sessions the median forward 5-day return was 0.18% against a baseline of negative 0.33%, and the 20-day return was negative 0.29% against negative 1.33%. RSI(2) fell below 10 in 252 sessions, with forward medians of negative 0.27% over 5 days and negative 1.34% over 20 days, which match the baselines. The oversold readings on SH had little predictive value. Lag-1 autocorrelation was negative 0.01. There were 6 falls of 10% or more from a 20-day high, over 24 days.
For an inverse fund the test has an obvious limit. The window is one in which the S&P 500 rose for most of five and a half years. The same rules on SH in a different window could give a different ranking, and a drawdown in the S&P 500 deeper than 2022 would favor holding SH. The data here does not include one.
How SH compares with the other short funds
The category peers show how the SH result compares with other inverse funds in the same window. SPDN, also a 1x short on the S&P 500, held at -9.68% a year against -10.00% for SH, and its best template was again the RSI(2) snapback, at -1.45%. PSQ, the 1x short on the Nasdaq-100, held at -13.76% and its RSI(2) snapback made 0.13%. SDS, the 2x short on the S&P 500, held at -21.57% and its best template was the golden cross at -2.33%. SQQQ held at -42.33% and its best template, the golden cross, made -7.41%.
The best template on these funds was either the quick RSI(2) rule or the slow golden cross. Both spend most of the window in cash, one by exiting after a few days and the other by sitting out until the 50/200 crossover. On the 1x funds the best template came within a point or two of flat. On the 3x short funds SOXS and TECS, the best templates made -4.93% and -11.04%. No peer produced a template with a CAGR meaningfully above zero in this window.
SH traded about $274,334,818 a day on average and the median minute carried 6,200 shares. The account in the test is $10,000, so fills are small compared with the volume. The test fills at minute bars and does not model the spread on a day like 2025-04-09, when the fund fell 9.34% in one session.
The day-of-week averages are small: -0.12% on Monday, 0% on Tuesday, -0.06% on Wednesday, 0.01% on Thursday and -0.02% on Friday. A Monday figure of that size sits inside the noise of a fund with 0.75% average daily moves, so no calendar rule on SH can be built from it. The month-of-year table has a wider spread, but with 5 or 6 observations per month it follows which year each month fell in.
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 SH?
Of the 12 templates tested on SH over 2021-01-04 to 2026-10-02, the strongest by CAGR was RSI(2) snapback at −0.5% (max drawdown 24.7%), versus −10.0% 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 SH?
12 of 12 templates beat SH buy-and-hold (−10.0% CAGR) on this window; 12 of 12 had a shallower maximum drawdown than holding (47.2%).
What was the best strategy for SH?
[RSI(2) snapback](/learn/strategies/rsi2-dip-snapback/sh/) had the best CAGR at negative 0.53%, against negative 10.00% for holding. It had a 24.69% drawdown. No template had a positive CAGR on SH in this window.
Did any strategy beat buying and holding SH?
All 12 templates beat holding on CAGR and all 12 had a shallower drawdown than the 47.18% for holding. None made money, and at 10 basis points of slippage the weekly 7% target and the monthly cycle fell below holding.
Why did SH lose money from 2021 to 2026?
SH moves opposite to the S&P 500 each day, and SPY returned 125.29% over the window. SH fell in 2021, 2023, 2024, 2025 and 2026 and rose 17.91% in 2022. Holding lost 47.37% in total in the profile table.
How bad was the worst day for SH?
The worst day was 2025-04-09 at negative 9.34%. The best was 2025-04-04 at 5.98%. The worst day for SH was the best day for the S&P 500 in the window. Other inverse funds such as [SQQQ](/learn/etf/sqqq/) and [SDS](/learn/etf/sds/) have their own pages.
Does a trend rule work on an inverse fund?
Not in this window. [SMA 10/50](/learn/strategies/sma-10-50-trend/sh/) returned negative 2.68% and won 20% of its 15 round trips. The [200-day filter](/learn/strategies/sma200-regime/sh/) won 5 of 25. Trend rules need a fund that trends up, and SH mostly drifted down.
How do costs affect SH strategies?
RSI(2) snapback fell from negative 0.53% to negative 6.16% at 10 basis points, and the weekly 7% target from negative 9.07% to negative 14.51%. The dip buyer and golden cross made so few trades that they moved by less than a point.
Other inverse 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.