DeployQuantVOOV trading strategies, backtested
Vanguard S&P 500 Value ETF: the value half of the S&P 500. Every DeployQuant template run on VOOV over 5.7 years of minute data, same engine, same window, sorted by return.
VOOV is the Vanguard S&P 500 Value ETF, the value half of the S&P 500. Held from 2021-01-04 to 2026-10-02 it returned 12.6% a year, a total of 97.6%, with a maximum drawdown of 17.6% and a Sharpe ratio of 0.95. A $10,000 start ended at $19,762. All 12 DeployQuant templates ran on that fund over the same 5.74 years.
The result is plain. None of the 12 templates beat buy-and-hold on return. All 12 finished with a positive return, and 8 had a shallower drawdown than holding. The best one, the weekly 7% target, made 12.2% a year against 12.6% for the fund. The headline runs carry no fees or slippage, so those figures are the most favourable version of each rule.
A fund that rose on 53.9% of days and spent 82.5% of its sessions above the 200-day average gives rules that wait or exit very little to work with. Trend rules got out in 2022 and returned late. Mean reversion rules caught some of the bounces but sat in cash for most of the window.
The fund is highly correlated with its sibling VTV, at 0.97, and with SPY and VOO at 0.89. Results on those pages are a useful cross-check, since similar funds produce similar rankings.
| Strategy | CAGR | max DD | Sharpe | trades | win rate | final value |
|---|---|---|---|---|---|---|
| Weekly Entry + 7% Target | 12.2% | −18.7% | 1.01 | 82 | 27% | $19,334 |
| First-to-Last Day of Month | 10.9% | −17.8% | 0.87 | 69 | 65% (+1 open) | $18,144 |
| RSI(2) Dip Snapback | 8.6% | −13.4% | 0.96 | 160 | 68% (+1 open) | $16,046 |
| RSI(14) Mean Reversion | 8.0% | −13.1% | 0.86 | 17 | 76% (+1 open) | $15,565 |
| EMA 12/26 Trend | 7.7% | −15.5% | 0.83 | 21 | 52% | $15,268 |
| Golden Cross (SMA 50/200) | 6.8% | −17.1% | 0.66 | 2 | 50% (+1 open) | $14,580 |
| 20-Day Momentum + Trailing Stop | 6.4% | −11.8% | 0.80 | 2 | 100% (+1 open) | $14,262 |
| SMA 10/50 Trend | 6.3% | −14.8% | 0.70 | 16 | 50% | $14,167 |
| 200-Day SMA Regime Filter | 4.3% | −18.4% | 0.48 | 22 | 23% (+1 open) | $12,741 |
| Drawdown Dip Buyer + 8% Target | 4.0% | −4.5% | 0.72 | 3 | 100% | $12,545 |
| SMA-200 Trend + 15% Trailing Stop | 3.6% | −26.5% | 0.37 | 3 | 33% (+1 open) | $12,288 |
| 3-Month Momentum Switch | 2.4% | −16.5% | 0.33 | 13 | 69% | $11,446 |
| Buy & hold VOOV | 12.6% | −17.6% | 0.95 | – | – | $19,762 |
How the 12 templates ranked on VOOV
The weekly 7% target came first at 12.2% a year, with an 18.7% drawdown, 82 round trips and a Sharpe ratio of 1.01. That Sharpe is higher than the 0.95 for holding the fund, but the return is lower and the drawdown slightly deeper. Only 27% of its trades won. The average win was 7.11% and the average loss was 1.38%, which is how a rule with a low win rate still ends near the fund's return. In 2025 it made 23.1% against 12.9% for holding. In every other year it was behind or level.
The monthly cycle came second at 10.9% with a 17.8% drawdown and 69 trades. It is in the market 95.2% of the time, so it follows the fund closely. Its calendar years run from 25.1% in 2021 to negative 7.6% in 2022, close to the fund's own 25.8% and negative 5.2%. See the monthly cycle on VOOV for the month-by-month table.
The RSI(2) snapback made 8.6% with a 13.4% drawdown and 160 trades. It is invested 35.9% of the time and holds a trade for about 5 days. Its 2022 was a gain of 0.6% against a loss of 5.2% for the fund, which is the clearest case of a rule doing its job. In 2023 and 2024 it made only 3.5% and 2.3% while the fund made 21.7% and 12.0%. The rule spends its time out of a market that kept rising.
The RSI(14) mean reversion made 8.0% with a 13.1% drawdown, 17 trades and a 76% win rate. Its profit factor of 17.20 comes from a very low average loss, and the worst single trade lost 1.1%. It finished 2022 up 3.1%. The EMA 12/26 trend made 7.7% with 21 trades and lost 7.9% in 2022. The golden cross made 6.8% on 2 trades and the SMA 10/50 trend made 6.3% on 16.
The weakest results are the 200-day regime filter at 4.3% with a 23% win rate, the trend with a trailing stop at 3.6% with a 26.5% drawdown, and the 3-month momentum switch at 2.4%. The trend and trailing stop lost 23.2% in 2022, deeper than the fund's 5.2% loss. The dip buyer made 4.0% with a 4.5% drawdown, but it traded 3 times and was invested 5% of the time, so the figure says little about the rule.
Two things limit these comparisons. A template with 2 or 3 trades, such as the golden cross, the momentum breakout and the dip buyer, has a result set by a handful of dates. Second, the test is one window. The breakdown by year on each strategy page shows which years carried the result.
Drawdowns by template
Buy-and-hold had three drawdowns worth naming: 17.6% in 2022, 17.2% from 2024-11-29 to 2025-04-08, and 10.8% from 2023-07-31 to 2023-10-27. The first took 163 days to reach the trough and 124 to recover. The second took 130 days down and 136 to recover.
The templates that cut risk did it in different ways. The momentum breakout had the shallowest drawdown among the rules that were invested for a long period, at 11.8%, and it kept a Sharpe ratio of 0.80. The RSI(14) mean reversion had 13.1% and the RSI(2) snapback 13.4%. Both achieved that by being in the market 30.5% and 35.9% of the time. The dip buyer reached 4.5% by sitting in cash for 95% of the window.
The templates that made things worse were the ones that were invested during the 2022 decline and then exited late. The trend with a trailing stop had a 26.5% drawdown, deeper than the fund's own 17.6%, and the 200-day regime filter had 18.4%, which is also deeper. The weekly 7% target had a drawdown of 18.7% that began on 2022-02-09, bottomed on 2022-10-12 and did not recover until 2024-01-02, which is 447 days. The fund itself recovered by 2023-02-01. That is a long recovery for a rule that returned close to the fund over the window.
The cost runs raise the drawdowns only slightly. The weekly 7% target went from 18.7% to 19.9% at 10 basis points, and the RSI(2) snapback from 13.4% to 14.7%. Costs reduce the return far more than they change the shape of the equity curve.
How each strategy traded VOOV
| Strategy | Time in market | Avg hold (days) | Best trade | Worst trade | Profit factor | With 10 bps slippage |
|---|---|---|---|---|---|---|
| weekly 7% target | 88.2% | 21 | 8.0% | −7.3% | 1.88 | 8.2% |
| monthly cycle | 95.2% | 28 | 9.8% | −9.1% | 1.79 | 8.4% |
| RSI(2) snapback | 35.9% | 5 | 5.8% | −6.3% | 1.85 | 2.8% |
| RSI mean reversion | 30.5% | 38 | 10.8% | −1.1% | 17.20 | 7.4% |
| EMA 12/26 trend | 69.3% | 69 | 14.2% | −3.1% | 3.69 | 6.9% |
| golden cross | 72.1% | 537 | 28.9% | −3.6% | 7.63 | 6.7% |
| momentum breakout | 53.5% | 313 | 15.7% | 0.9% | – | 6.3% |
| SMA 10/50 trend | 68.2% | 89 | 14.0% | −5.1% | 3.96 | 5.7% |
| 200-day regime filter | 71.1% | 47 | 23.1% | −3.0% | 1.22 | 3.5% |
| dip buyer | 5.0% | 35 | 8.1% | 8.1% | – | 4.0% |
| trend + trailing stop | 80.0% | 392 | 27.4% | −13.6% | 0.99 | 3.5% |
| 3-month momentum | 54.1% | 88 | 9.3% | −4.1% | 2.39 | 1.9% |
What the trading table shows
The trading table separates how long a rule was exposed from how it traded. The golden cross held its positions for an average of 537 days, the trend and trailing stop for 392 days, and the momentum breakout for 313 days. Those are single long holds. The RSI(2) snapback held for 5 days on average. The profit factors tell a similar story: 7.63 for the golden cross and 3.96 for the SMA 10/50 trend, from a small number of long trades, against 1.85 for the snapback across 160.
The cost columns matter most for the rules that trade often. At 10 basis points the weekly 7% target fell from 12.2% to 8.2%, and the monthly cycle fell from 10.9% to 8.4%. The RSI(2) snapback fell from 8.6% to 2.8%, with a Sharpe ratio of 0.355 against 0.96 before costs. At 5 basis points it still made 5.67%. Of the faster rules, the RSI(2) snapback is the one that loses the most to costs here.
The slow rules barely moved. The golden cross went from 6.8% to 6.7%, the momentum breakout from 6.4% to 6.3%, and the RSI(14) mean reversion from 8.0% to 7.4%. With 17 trades the RSI(14) rule kept 7.4% at 10 basis points, above the 6.9% the EMA trend kept after the same cost.
After 10 basis points the order changes. The weekly 7% target at 8.2% and the monthly cycle at 8.4% sit close to the RSI(14) mean reversion at 7.4%. The slippage assumption is a flat figure applied to every trade. VOOV trades about $14,495,204 a day on average, and the median minute bar carries 300 shares, so a larger order would meet a thinner book than the small test size does. These runs use a $10,000 start, and the cost figures do not scale to a large account.
The weekly 7% target on VOOV and the RSI(14) mean reversion on VOOV pages carry the full trade lists.
The April 2025 week and the long holds
Three rules show how much one week can matter on VOOV. On 2025-04-07 the RSI(2) snapback bought and sold on 2025-04-10 for 5.85% in 3 days, its best trade. The RSI(14) mean reversion rule entered the same day and held 32 days to 2025-05-09 for 10.75%, its best of 17 trades. The dip buyer entered on 2025-04-08 and took its 8% target by 2025-05-12. All three bought the same low, and all three were profitable on it. The fund's second drawdown, 17.21%, ran from 2024-11-29 to 2025-04-08, so the low that rewarded the dip rules was also the date the trend rules were still holding.
The trend rules took much of their return from a few long holds. Golden cross had two round trips: a loss of 3.61% over 234 days from 2021-10-19, and a gain of 28.92% over 840 days from 2022-12-22 to 2025-04-10. The 200-day filter held 437 days from 2023-11-03 for 23.14%, and it won only 23% of its 22 trades, so the remaining trades were small losses. Its longest losing streak was 7. The trend plus trailing stop rule held 877 days from 2022-11-09 for 27.42%, but lost 13.61% on a 59-day trade from 2022-08-15 and had a drawdown of 26.53%, deeper than holding's 17.62%.
The dip buyer is the cleanest sample of selectivity. It was invested 5% of the time, made 3 trades, won all of them at about 8%, and finished at 4.03% a year with a drawdown of 4.52%. In calendar 2022 it returned 16.3%, when the fund itself fell. Three trades are too few to call the rule a skill, and the window has only one deep fall to test it on.
The day-by-day record of VOOV also explains the weaker results. Overnight log return was 63.27% against 6.16% intraday, so nearly all of the fund's gain came between the close and the next open. A rule that decides at the open and holds through the session captures overnight moves only when it is already long the evening before.
How VOOV behaved
| Measure | VOOV |
|---|---|
| Data in this test | 2021-01-04 to 2026-10-02 (1444 sessions) |
| Total return, buy and hold | 103.5% |
| Annualized volatility | 14.0% |
| Deepest drawdown | −18.0% (2022-04-20 to 2022-09-30) |
| Up days | 53.9% |
| Average daily range | 0.99% |
| Average overnight gap | 0.35% |
| Correlation to SPY | 0.89 |
| Correlation to QQQ | 0.72 |
| Correlation to TLT | 0.06 |
| Sessions above the 200-day average | 82.5% |
| Crossings of the 200-day average | 44 |
| Falls of 10% or more from a 20-day high | 4 |
Calendar years
| Year | Return |
|---|---|
| 2021 | 26.5% |
| 2022 | −5.3% |
| 2023 | 22.1% |
| 2024 | 12.2% |
| 2025 | 13.1% |
| 2026 (part) | 9.7% |
Biggest single days
| Best day | Move |
|---|---|
| 2025-04-09 | 7.3% |
| 2022-11-10 | 3.8% |
| 2022-10-04 | 2.9% |
| 2022-10-13 | 2.8% |
| 2022-02-25 | 2.8% |
| Worst day | Move |
|---|---|
| 2025-04-04 | −5.7% |
| 2025-04-03 | −4.2% |
| 2022-09-13 | −3.5% |
| 2022-06-13 | −3.4% |
| 2022-05-18 | −3.3% |
Average return by calendar month
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 2.2% | 1.2% | 1.3% | −0.2% | 1.7% | 0.1% | 3.0% | 0.8% | −2.8% | 2.9% | 3.9% | 0.5% |
Most and least correlated funds
| Most correlated | Least correlated | ||
|---|---|---|---|
| VTV | 0.97 | SH | -0.89 |
| FAS | 0.89 | SDS | -0.89 |
| SSO | 0.89 | SPDN | -0.89 |
| VOO | 0.89 | SQQQ | -0.72 |
| SPY | 0.89 | QID | -0.72 |
What VOOV's own behaviour explains
VOOV is a low-volatility equity fund. Its annualized volatility is 14.0%, the average daily range is 0.99%, and the average up day and down day are both about 0.65% in size. The lag-1 autocorrelation of daily returns is 0, so one day's move says nothing about the next on average. That is why the short mean reversion rules found limited edge: after a fall the next five days had a median gain of only 0.43% following an RSI(2) reading under 10, against a baseline of 0.35% for any day. The 20-day median after the same signal was 1.69% against 1.51%. The RSI(2) fell below 10 on 154 sessions, so the sample is large, and the edge over the baseline is small.
The longer-horizon signal looks better. When the 14-day RSI fell below 30, which happened on 23 sessions, the median 5-day return was 2.07% and the median 20-day return was 2.91%. That sample is small, and the RSI(14) mean reversion rule reflects it with 17 trades and a profit factor of 17.20.
The fund's return comes almost entirely overnight. The overnight share of the log return is 91.13% and the intraday share is 8.87%. The average overnight gap is 0.35%. A rule that enters at the open and sits out some sessions can still capture most of that, as the monthly cycle did. A rule that enters after the gap has opened misses a large share of the move.
The 2022 drawdown ran from 2022-04-20 to 2022-09-30 and recovered on 2023-02-01. The longest drawdown lasted 196 sessions. The fund fell 10% or more from a 20-day high on 4 occasions, covering 8 days. A trend rule such as the 200-day regime filter crossed the 200-day average 44 times in the window, which explains its 23% win rate and its 22 trades. The fund spent 82.5% of its sessions above that average, but the crossings were frequent enough to produce many small losses.
The calendar years were 26.5% in 2021, negative 5.4% in 2022, 22.1% in 2023, 12.2% in 2024, 13.1% in 2025 and 9.7% for the partial year 2026. Only 2022 was negative, so there was one test of how each rule handled a decline. The best day was 2025-04-09 at 7.31%, and the worst days were 2025-04-04 at negative 5.73% and 2025-04-03 at negative 4.15%. Four of the five best days fell inside 2022, the year of the fund's drawdown, so a rule that sat out that year also sat out some of its sharpest rebounds.
By calendar month, September averaged negative 2.79% and November averaged 3.90%, with July at 2.96% and October at 2.88%. Each month has only 5 or 6 observations, so these averages are anecdotes. The monthly cycle's worst month was 2022-06, and its best was 2022-10.
The fund correlates 0.72 with QQQ and 0.06 with TLT, with a beta to SPY of 0.76. It moves with the large-cap market but with lower sensitivity than the growth-heavy index. Compare its growth counterpart VOOG, where the best template reached 19.51% against 15.73% for holding.
How VOOV compares with its peers
Among the broad index funds in this test, the best template beat holding on QQQE, where the weekly 7% target made 11.2% against 9.8%, on IWM, where the RSI(2) snapback made 11.4% against 7.5%, and on VOOG, where the weekly 7% target made 19.5% against 15.7%. It fell short on the funds that are most like VOOV: SPY 13.9% against 14.6%, VOO 14.1% against 14.4%, and VTV 12.1% against 13.4%.
VOOV is in the second group. It is a large-cap fund with low volatility and a steady drift, and for that kind of fund a rule that is invested less than the fund, or that exits on a stop, gives up return that it does not recover in lower risk. The pages for funds with higher volatility and weaker drift, such as IWM and EEM, show where the rules did better.
The test stops at one window of 5.74 years with a single bear market. Another start date or a longer window would give different rankings, and none of the figures is a forecast.
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Frequently asked questions
What was the best strategy for VOOV?
Of the 12 templates tested on VOOV over 2021-01-04 to 2026-10-02, the strongest by CAGR was weekly 7% target at 12.2% (max drawdown 18.7%), versus 12.6% 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 VOOV?
0 of 12 templates beat VOOV buy-and-hold (12.6% CAGR) on this window; 8 of 12 had a shallower maximum drawdown than holding (17.6%).
Did any strategy beat buy-and-hold on VOOV?
No. Buy-and-hold made 12.6% a year from 2021-01-04 to 2026-10-02. The best template, the weekly 7% target, made 12.2%. All 12 had a positive return and 8 had a shallower drawdown than holding.
What was VOOV's maximum drawdown?
Buy-and-hold fell 17.6% from the peak on 2022-04-20 to the trough on 2022-09-30. It recovered on 2023-02-01. A second drawdown of 17.2% ran from 2024-11-29 to 2025-04-08.
Does RSI(2) mean reversion work on VOOV?
It made 8.6% a year with a 13.4% drawdown and 160 trades, below the fund's 12.6%. At 10 basis points of slippage the return fell to 2.8%. The signal had only a small edge over a normal day on this fund.
Is VOOV a trend-following fund?
Daily returns had a lag-1 autocorrelation of 0, and the fund crossed its 200-day average 44 times. Trend rules made between 3.6% and 7.7% a year, below holding, and the 200-day regime filter won only 23% of its trades.
How volatile is VOOV compared with the S&P 500?
Annualized volatility was 14.0% and the correlation to SPY was 0.89. Its beta to SPY was 0.76. Its calendar-year returns ranged from negative 5.4% in 2022 to 26.5% in 2021.
How much do trading costs matter on VOOV?
They matter most for fast rules. The RSI(2) snapback dropped from 8.6% to 5.7% at 5 basis points and to 2.8% at 10. The golden cross moved from 6.8% to 6.7% because it traded twice.
Other broad index 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.