DeployQuantUST trading strategies, backtested
ProShares Ultra 7-10 Year Treasury: 2x daily leveraged intermediate Treasuries. Every DeployQuant template run on UST over 5.7 years of minute data, same engine, same window, sorted by return.
UST is a 2x daily leveraged fund on intermediate Treasuries, and it lost money in this window. From 2021-01-04 to 2026-10-02 buy-and-hold returned −8.51% a year, turned $10,000 into $6,001 and had a maximum drawdown of 44.51%. The drawdown began on the first day of the test and had not recovered by the last. The Sharpe was −0.55.
Against that line, 10 of the 12 templates beat holding on CAGR and 11 had a shallower drawdown. Only 1 had a positive CAGR. The best result was SMA 10/50 trend at 0.68% a year with a 10.58% drawdown, which means the top of the ranking is a template that roughly broke even on a fund that fell 39.99% in total. Golden cross, EMA 12/26 and RSI(2) snapback came next at −2.38%, −2.49% and −2.73%. The weakest were the SMA-200 trailing stop at −8.66% and monthly cycle at −8.88%, both close to holding.
A page like this reads differently from one on a rising fund. The question is how much of a falling, leveraged, thinly traded fund each rule avoided, and the answer varies a lot. Rules that spend time in cash lose less, rules that are invested nearly all the time lose about what the fund loses, and rules that buy dips lose more than their win rates suggest, because the dips kept coming.
All figures are from one 5.7 year window with no fees or slippage in the headline run, $10,000 starting cash, no margin and daily decisions. The window holds a long fall in the fund, and nothing here says how UST behaves in a different environment.
| Strategy | CAGR | max DD | Sharpe | trades | win rate | final value |
|---|---|---|---|---|---|---|
| SMA 10/50 Trend | 0.7% | −10.6% | 0.12 | 14 | 36% | $10,397 |
| Golden Cross (SMA 50/200) | −2.4% | −22.4% | -0.33 | 5 | 40% | $8,709 |
| EMA 12/26 Trend | −2.5% | −23.3% | -0.23 | 26 | 27% | $8,655 |
| RSI(2) Dip Snapback | −2.7% | −31.1% | -0.23 | 173 | 58% (+1 open) | $8,529 |
| 3-Month Momentum Switch | −4.0% | −26.2% | -0.57 | 9 | 11% | $7,902 |
| 20-Day Momentum + Trailing Stop | −4.3% | −24.6% | -0.74 | 3 | 0% | $7,783 |
| RSI(14) Mean Reversion | −5.0% | −28.0% | -0.42 | 14 | 57% (+1 open) | $7,433 |
| Drawdown Dip Buyer + 8% Target | −5.1% | −31.6% | -0.33 | 0 | – (+1 open) | $7,397 |
| 200-Day SMA Regime Filter | −6.7% | −35.6% | -0.91 | 34 | 21% | $6,722 |
| Weekly Entry + 7% Target | −8.2% | −41.4% | -0.56 | 96 | 13% | $6,132 |
| SMA-200 Trend + 15% Trailing Stop | −8.7% | −41.4% | -0.78 | 5 | 0% | $5,944 |
| First-to-Last Day of Month | −8.9% | −47.8% | -0.60 | 69 | 46% (+1 open) | $5,862 |
| Buy & hold UST | −8.5% | −44.5% | -0.55 | – | – | $6,001 |
The ranking follows time in the market closely. The SMA 10/50 trend template was invested 42.4% of sessions and made 14 round trips with a 36% win rate, a profit factor of 1.18 and an average win of 5.16% against an average loss of 2.3%. A low win rate can still produce a gain when the average win is larger than the average loss. Its best trades were 141-day holds from 2024-05-21 to 2024-10-09 at 6.68% and from 2025-06-24 to 2025-11-12 at 6.19%. Against holding it was ahead in 2021, 2022, 2023, 2024 and 2026, and behind in 2025, when it returned 4% against 11.4%.
Golden cross was invested 33.3% of sessions and made 5 round trips. Its profit factor was 0.17, and its worst trade lost 9.67% from 2024-02-01 to 2024-04-19. It returned 0% in 2022 because it held no position in the worst year for the fund, when holding lost 29.6%. That single year accounts for much of its edge over holding, and its later trades lost in 2023 and 2024, with returns of −5% and −11% in those years. EMA 12/26 made 26 round trips with a 27% win rate and a longest losing streak of 9 trades, and the 200-day regime filter made 34 round trips with a 21% win rate and a profit factor of 0.14. Both are filters that react to crossings, and this fund crossed its 200-day average 68 times in the window while spending only 35.64% of sessions above it.
The RSI(2) snapback made 173 round trips, was invested 45.6% of the time and returned −2.73% with a 31.08% drawdown. It lost 24.7% in 2022 and gained 11.3% in 2025. Its worst trade was a 30-day loss of 10.54% from 2022-08-30 to 2022-09-29, a buy-the-dip entry that was followed by further falls. RSI mean reversion returned −5.04% with 14 round trips and a 57% win rate, but its average loss of 7.86% was larger than its average win of 3.43%. The two worst trades, 140 days from 2022-01-06 at −14.66% and 78 days at −11.29%, were entries into a falling fund.
The dip buyer shows the clearest failure of the 12. It made no completed trade. It entered on 2022-03-23 at an adjusted price of 51.58, never reached its 8% target, and was still holding at the end of the window with a loss of 26.7%. Its exposure was 78.9%, its drawdown 31.61% and its CAGR −5.12%. The trade list in the page shows an open position, and the template has no stop, so it held through the whole decline. See the dip buyer page for UST for the entry.
Near the bottom, the weekly 7% target made 96 round trips with a 13% win rate and returned −8.16%. Its average win was 6.78% and its average loss 1.51%, yet the 13% win rate meant the small losses added up. The 3-month momentum switch returned −4.02% and won 1 of 9 trades. The momentum breakout made 3 trades that all lost, with a 24.65% drawdown. The trailing stop template lost on every one of its 5 trades, with results from −5% to −13.91%, so the 15% stop was triggered repeatedly on a fund whose downtrend was punctuated by rallies. The trailing stop page for UST lists them.
Where the SMA 10/50 result came from
The only positive CAGR on the page belongs to the SMA 10/50 trend at 0.68%, and its calendar years show where it came from. It made 2.8% in 2021 and 10.5% in 2023, lost 5.4% in 2022, 1.8% in 2024 and 5.3% in 2026 to date, and made 4% in 2025. In 2023 holding made only 0.4%, and the rule's best month was December 2023 at 7.3%. Its three best trades were 6.68% from 2024-05-21 to 2024-10-09, 6.19% from 2025-06-24 to 2025-11-12 and 5.5% from 2021-05-03 to 2021-09-09, and each held for several months. Its worst trade lost 5.6% from 2021-12-06 to 2022-01-06.
The EMA 12/26 rule used a faster signal on the same fund and finished at -2.49%. It made 7.3% in 2025 and 3.6% in 2023, and lost 10.6% in 2024 and 8.1% in 2022. Its best trade, 6.86% from 2023-11-09 to 2024-01-25, was followed by a 4.32% loss from 2024-02-01 to 2024-02-09. It won 27% of its 26 round trips, against 36% of 14 for the SMA 10/50.
The 2025 column is the only year when most templates made money. Holding made 11.4%. The monthly cycle made 12.1%, the weekly 7% target 11.3%, the RSI(2) snapback 11.3%, RSI(14) mean reversion 7.4% and EMA 12/26 7.3%. The templates that did not were the trailing stop at -4.9%, the 200-day filter at -7.7% and the momentum breakout and 3-month momentum switch near zero.
The trend plus trailing stop template made 5 round trips and won none. Its trades lost 13.91% from 2021-11-08 to 2022-03-22, 12.92% from 2023-03-20 to 2023-08-21 and 10.08% from 2023-12-15 to 2025-01-07, and its last closed trade lost 5% from 2025-04-10 to 2026-09-28. That last trade was held from April 2025 to September 2026, and a 15% trailing stop gave it room to lose on a fund that kept drifting down. The momentum breakout also lost on all 3 round trips, with -6.77%, -9.7% and -8.08%.
How each strategy traded UST
| Strategy | Time in market | Avg hold (days) | Best trade | Worst trade | Profit factor | With 10 bps slippage |
|---|---|---|---|---|---|---|
| SMA 10/50 trend | 42.4% | 63 | 6.7% | −5.6% | 1.18 | 0.2% |
| golden cross | 33.3% | 139 | 2.3% | −9.7% | 0.17 | −2.5% |
| EMA 12/26 trend | 42.2% | 34 | 6.9% | −4.3% | 0.64 | −3.4% |
| RSI(2) snapback | 45.6% | 5 | 5.2% | −10.5% | 0.87 | −8.3% |
| 3-month momentum | 26.0% | 60 | 2.7% | −6.1% | 0.09 | −4.3% |
| momentum breakout | 13.5% | 98 | −6.8% | −9.7% | – | −4.4% |
| RSI mean reversion | 50.6% | 66 | 8.8% | −14.7% | 0.52 | −5.5% |
| dip buyer | 78.9% | – | – | – | – | −5.1% |
| 200-day regime filter | 30.7% | 19 | 3.5% | −5.9% | 0.14 | −7.8% |
| weekly 7% target | 86.2% | 18 | 7.9% | −4.8% | 0.59 | −10.9% |
| trend + trailing stop | 59.6% | 251 | −5.0% | −13.9% | – | −8.8% |
| monthly cycle | 95.1% | 28 | 7.7% | −9.3% | 0.56 | −11.0% |
The cost runs show why a thinly traded fund needs care. At 5 and 10 basis points, RSI(2) snapback fell from −2.73% to −5.55% and −8.32%, and its ending value fell from $8,529 to $6,072. The weekly 7% target went from −8.16% to −9.35% and −10.87%. Monthly cycle went from −8.88% to −9.96% and −11.02%. The 200-day regime filter went from −6.68% to −7.22% and −7.76%. The dip buyer, trailing stop and breakout templates changed by less than 0.2 points because they make few trades.
Liquidity sets the stage for those numbers. UST's average daily dollar volume was $640,787 and the median minute volume was 223 shares. A test that charges 5 or 10 basis points assumes a spread and impact of that size. A fund with this little volume can have wider quotes, so the high-turnover templates carry more uncertainty than the others. The data cover 1,428 sessions for this fund.
Average holding time ranged from 5.3 days for RSI(2) snapback to 251 days for the trailing stop template. The short-hold templates, RSI(2) snapback, the 200-day regime filter at 18.7 days and EMA 12/26 at 34 days, all made more than 20 trades and all had a profit factor below 1. SMA 10/50 held for 63.4 days on average and was the only template with a profit factor above 1, at 1.18.
On calendar years, the templates mostly beat holding in 2021, 2022 and 2026 and fell behind in 2023 and 2025. Holding returned −7.7% in 2021, −29.6% in 2022, 0.4% in 2023, −7.3% in 2024, 11.4% in 2025 and −11.3% in 2026 so far. In 2022 the RSI(2) snapback lost 24.7%, SMA 10/50 lost 5.4%, and golden cross and the 200-day regime filter returned 0%. In 2025 the fund rose and most templates trailed it, with the 200-day regime filter at −7.7% and the trailing stop at −4.9%. The templates that held no position in 2022 gave some of that edge back in 2025, when the fund rose.
Calendar months add a pattern worth recording, with a caveat on sample size. The fund's average return in September was −4.02% and in October −2.78%, and the monthly cycle template's worst trades fell in March 2022 at −9.25%, October 2024 at −8.25% and February 2023 at −7.85%. Its best months were December 2023 at 7.68%, November 2023 at 7.02% and March 2023 at 6.74%. Each calendar month has 5 or 6 observations here, so the averages describe this window only. Day-of-week averages ranged from −0.17% on Monday to 0.08% on Wednesday, with no day standing out.
How UST behaved
| Measure | UST |
|---|---|
| Data in this test | 2021-01-04 to 2026-10-02 (1428 sessions) |
| Total return, buy and hold | −41.2% |
| Annualized volatility | 15.1% |
| Deepest drawdown | −45.5% (2021-01-04 to 2023-10-19) |
| Up days | 48.0% |
| Average daily range | 0.68% |
| Average overnight gap | 0.58% |
| Correlation to SPY | 0.09 |
| Correlation to QQQ | 0.10 |
| Correlation to TLT | 0.86 |
| Sessions above the 200-day average | 35.6% |
| Crossings of the 200-day average | 68 |
| Falls of 10% or more from a 20-day high | 7 |
Calendar years
| Year | Return |
|---|---|
| 2021 | −7.9% |
| 2022 | −30.3% |
| 2023 | 0.4% |
| 2024 | −7.6% |
| 2025 | 11.8% |
| 2026 (part) | −11.6% |
Biggest single days
| Best day | Move |
|---|---|
| 2022-11-10 | 4.9% |
| 2022-09-28 | 4.3% |
| 2023-01-06 | 3.5% |
| 2022-10-03 | 3.5% |
| 2023-03-10 | 3.5% |
| Worst day | Move |
|---|---|
| 2022-06-13 | −3.5% |
| 2025-04-07 | −3.1% |
| 2022-09-22 | −3.1% |
| 2022-09-26 | −2.9% |
| 2022-05-05 | −2.8% |
Average return by calendar month
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 0.6% | −1.3% | −1.7% | −1.6% | −0.4% | 0.4% | 1.4% | −1.0% | −4.0% | −2.8% | 4.0% | −0.9% |
Most and least correlated funds
| Most correlated | Least correlated | ||
|---|---|---|---|
| IEF | 0.94 | TBF | -0.86 |
| BND | 0.92 | KMLM | -0.43 |
| AGG | 0.92 | RINF | -0.36 |
| IEI | 0.91 | CTA | -0.34 |
| IGIB | 0.87 | USDU | -0.33 |
Leverage and decay against IEF
| Year | UST | IEF | 2× IEF, reset daily |
|---|---|---|---|
| 2021 | −7.9% | −3.4% | −6.8% |
| 2022 | −30.3% | −15.2% | −28.8% |
| 2023 | 0.4% | 3.6% | 6.5% |
| 2024 | −7.6% | −0.6% | −1.7% |
| 2025 | 11.8% | 8.0% | 16.4% |
| 2026 | −11.6% | −4.6% | −9.1% |
The last column compounds 2× IEF'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, UST returned −41.2% while IEF returned −12.9% and a perfect daily-reset 2× version would have returned −26.5%. Its measured daily beta to IEF was 1.91.
UST holds a leveraged position in intermediate Treasuries, and the profile shows what that did over this window. The fund returned −41.18% in total, with annualized volatility of 15.05%. The maximum drawdown was 45.49% from 2021-01-04 to 2023-10-19, the longest drawdown lasted 1,427 sessions and there was no recovery date. Calendar returns were −7.9% in 2021, −30.3% in 2022, 0.36% in 2023, −7.56% in 2024, 11.78% in 2025 and −11.64% in 2026 so far.
The leverage table compares the fund with IEF, the 7 to 10 year Treasury fund it doubles each day. IEF returned −12.95% over the window and UST returned −41.18%. A 2x position on IEF that resets daily would have returned −26.54%. That line is frictionless: it leaves out fees, borrowing costs and interest on cash, which put a real fund below or above it. The realized beta to IEF was 1.91 with an R squared of 0.89. By year, UST returned −7.9% in 2021 against −6.85% for the daily-reset ideal and −30.3% in 2022 against −28.76%, so it sat close to the line in the two years when IEF moved in one direction. It sat further below the line in the choppier years: 0.36% in 2023 against 6.49%, −7.56% in 2024 against −1.7% and 11.78% in 2025 against 16.36%. IEF ended 2023 at 3.64% and 2024 at −0.63%, near flat in both. In 2026 so far UST returned −11.64% against −9.12%.
Within the window the fund was below its 200-day average on most sessions, above it on 35.64%, with 68 crossings. That fits the many small losing trades from the trend filters. The fund rose on 48% of days, with an average up day of 0.72% and an average down day of −0.74%. Lag 1 autocorrelation was −0.03.
The RSI statistics show why the mean reversion templates struggled. After 73 sessions with RSI(14) below 30, the median 5-day move was −0.25% and the median 20-day move was −2.13%, against baselines of −0.19% and −0.38%. After 204 sessions with RSI(2) below 10, the medians were −0.2% over 5 days and −0.48% over 20 days. In both cases the oversold readings were followed by moves at or below the baseline, so buying oversold added no edge in this window. The fund had 7 falls of 10% or more from a 20-day high over 14 days.
The best days were 4.89% on 2022-11-10 and 4.31% on 2022-09-28, and the worst were −3.55% on 2022-06-13 and −3.15% on 2025-04-07. The overnight log return was −15.21% and the intraday log return was −37.35%, so most of the fall happened inside the session. Correlation to SPY was 0.09 and to QQQ 0.1, against 0.86 to TLT and 0.94 to IEF. The fund's inverse mirror, TBF, was at −0.86. Its worst months in the average were September at −4.02% and October at −2.78%, and its best was November at 4%, from 5 or 6 years of data each.
Other leveraged funds behaved differently. TQQQ held 25.35% a year and RSI(2) snapback returned 39.31%. TMF, the 3x long Treasury fund, held −31.16% and its best template, RSI(2) snapback, returned −4%. UST and TMF are the two leveraged funds here that fell.
One feature of the test favours the templates that trade less. The fund's peak was on the first day, 2021-01-04. The drawdown figures for the dip buyer, the regime filter and the trailing stop template all start in late 2021 or 2022 and have no recovery date, so each of them ends the window below its own high. The weekly 7% target and monthly cycle show drawdowns that start on 2021-01-04 and bottom on 2023-10-19, the same low as the fund, at 41.39% and 47.75%. Monthly cycle's drawdown was deeper than holding's 44.51% and it was invested 95.1% of sessions across 69 round trips. In the cost runs it fell further, to 51.04% at 10 basis points.
Correlations, weekdays and the calendar
The funds most correlated with UST were IEF at 0.94, BND and AGG at 0.92, IEI at 0.91 and IGIB at 0.87. The fund's correlation to TLT was 0.86 with a beta of 0.84. Its correlation to SPY was 0.09 and to QQQ 0.1, so it had no equity link in this window. The least correlated funds were TBF at -0.86, KMLM at -0.43 and RINF at -0.36. The leverage table gives a realized beta of 1.91 to IEF with an R-squared of 0.89.
The weekday averages were -0.17% on Monday, 0% on Tuesday, 0.08% on Wednesday, -0.06% on Thursday and -0.03% on Friday. The Monday figure is the largest, and next to a 0.74% average down day it is noise. The lag-1 autocorrelation was -0.03, so the daily returns carried almost no memory.
The month-of-year averages were uneven. November averaged 4% and July 1.38%, while September averaged -4.02%, October -2.78%, March -1.73% and April -1.58%. The monthly cycle's results line up with this: its worst months were March 2022 at -9.25%, October 2024 at -8.25% and February 2023 at -7.85%, and its best were December 2023 at 7.68% and November 2023 at 7.02%. Each calendar month has 5 or 6 observations, so a lopsided average can come from a single year such as 2022 or 2023.
The fund had 7 falls of 10% or more from a 20-day high, over 14 sessions. The dip buyer needs one of those, and its single entry on 2022-03-23 at 51.58 is the reason for its -5.12% CAGR and its 78.9% exposure. The RSI(14) mean reversion template also ends the window in a losing trade, entered on 2026-05-19 at 40.62 and down 6.92%. Both open trades are counted in the CAGR figures. UST traded $640,787 a day on average with 223 shares in the median minute, which is thin, and the cost runs on this page apply the same flat charge as on every other fund.
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 UST?
Of the 12 templates tested on UST over 2021-01-04 to 2026-10-02, the strongest by CAGR was SMA 10/50 trend at 0.7% (max drawdown 10.6%), versus −8.5% 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 UST?
10 of 12 templates beat UST buy-and-hold (−8.5% CAGR) on this window; 11 of 12 had a shallower maximum drawdown than holding (44.5%).
Which strategy did best on UST?
SMA 10/50 trend returned 0.68% a year with a 10.58% drawdown, the only positive CAGR of the 12 templates. Holding returned −8.51% a year with a 44.51% drawdown. The SMA 10/50 made 14 round trips with a 36% win rate.
How many strategies beat buy-and-hold on UST?
Ten of 12 beat holding on CAGR and 11 of 12 had a shallower drawdown. Only 1 template had a positive CAGR. The two that did not beat holding were the SMA-200 trailing stop and monthly cycle.
Why did the dip buyer lose money on UST?
It entered once, on 2022-03-23 at an adjusted price of 51.58, and the 8% target was never hit. At the end of the window the position was down 26.7%. The template has no stop and held through the decline.
Why did UST lose more than twice what IEF lost?
IEF returned −12.95% over the window and UST returned −41.18%. A daily-reset 2x of IEF would have returned −26.54% before fees, borrowing costs and interest on cash. The realized beta was 1.91. UST finished furthest below that line in 2023 and 2024, when it returned 0.36% and −7.56% against ideals of 6.49% and −1.7%, in years when IEF ended close to flat.
Is UST liquid enough to backtest with slippage?
Average daily dollar volume was $640,787 and the median minute volume was 223 shares. The 10 basis point cost run cut RSI(2) snapback from −2.73% to −8.32%. Real spreads on a fund this thin may be wider than the test assumes.
Do mean reversion rules work on UST?
Not in this window. After RSI(14) fell below 30, the median 20-day move was −2.13% against a baseline of −0.38%. RSI mean reversion returned −5.04% and RSI(2) snapback −2.73%.
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.