DeployQuantVTV trading strategies, backtested
Vanguard Value ETF: US large-cap value, the slower, dividend-heavier side of the market. Every DeployQuant template run on VTV over 5.7 years of minute data, same engine, same window, sorted by return.
VTV is Vanguard's large-cap value fund, and over the test window it was a steady riser. From 2021-01-04 to 2026-10-02 buy-and-hold returned 13.44% a year, ended a $10,000 account at $20,623 and had a maximum drawdown of 16.81% with a Sharpe of 1.03. That is the line each of the 12 templates has to beat on this page, and none did. The best template, monthly cycle, returned 12.08% a year. The weekly 7% target came second at 10.69%, and the weakest result was the 20-day momentum breakout with a loss of 0.26% a year.
Eight of the 12 templates finished with a shallower drawdown than holding, and 11 of 12 had a positive CAGR. The story on VTV is a trade of return for smoothness, and most templates gave up a lot of return for a modest drawdown benefit. The dip buyer had a 4.37% drawdown and a 100% win rate, but it was invested 5.3% of the time and made 3 trades in 5.7 years. That CAGR of 4% comes from three 8% gains.
The fund spent 83.8% of sessions above its 200-day average, which favours any rule that stays invested. It had low volatility at 13.59% a year, and almost no day-to-day autocorrelation, which matters for the mean reversion templates. The drawdown in 2022 was shallow compared with growth funds, so the protective templates had less to protect against.
All results are backtests on one window with no fees or slippage in the headline run, daily decisions, no margin and $10,000 starting cash. The cost runs at 5 and 10 basis points are discussed in the trading section. Trade prices on this page are adjusted for splits and dividends, so they are lower than the quotes printed at the time.
| Strategy | CAGR | max DD | Sharpe | trades | win rate | final value |
|---|---|---|---|---|---|---|
| First-to-Last Day of Month | 12.1% | −15.4% | 0.97 | 69 | 65% (+1 open) | $19,242 |
| Weekly Entry + 7% Target | 10.7% | −20.3% | 0.89 | 65 | 28% | $17,917 |
| SMA 10/50 Trend | 7.4% | −11.6% | 0.83 | 17 | 65% | $15,068 |
| EMA 12/26 Trend | 7.3% | −16.5% | 0.81 | 21 | 67% | $14,982 |
| RSI(2) Dip Snapback | 7.3% | −11.7% | 0.85 | 153 | 70% (+1 open) | $14,974 |
| RSI(14) Mean Reversion | 6.8% | −13.1% | 0.72 | 16 | 88% (+1 open) | $14,589 |
| SMA-200 Trend + 15% Trailing Stop | 6.0% | −24.4% | 0.55 | 2 | 50% (+1 open) | $13,958 |
| 3-Month Momentum Switch | 5.7% | −11.8% | 0.72 | 10 | 60% | $13,747 |
| Golden Cross (SMA 50/200) | 5.0% | −17.8% | 0.51 | 3 | 67% (+1 open) | $13,255 |
| 200-Day SMA Regime Filter | 4.3% | −23.3% | 0.47 | 21 | 29% (+1 open) | $12,708 |
| Drawdown Dip Buyer + 8% Target | 4.0% | −4.4% | 0.75 | 3 | 100% | $12,526 |
| 20-Day Momentum + Trailing Stop | −0.3% | −9.5% | -0.03 | 1 | 0% | $9,851 |
| Buy & hold VTV | 13.4% | −16.8% | 1.03 | – | – | $20,623 |
Ranking by CAGR on VTV closely follows ranking by time in the market. Monthly cycle was invested 95.2% of sessions and weekly 7% target 90.7%. The next group, SMA 10/50 trend, EMA 12/26 trend and the SMA-200 plus trailing stop, was invested between 68.8% and 81.6%. The RSI templates sat in the market 34.0% and 36.6% of the time. The dip buyer was in for 5.3%. A fund that rose 106.23% in total over the window rewards exposure, and the templates that left the fund for long stretches gave up return in proportion.
Monthly cycle buys the first session of each month and sells the last, so it is the closest thing here to holding. It made 69 round trips with a 65% win rate, 45 of them winners, and it trailed buy-and-hold by 1.36 points of CAGR in the headline run. Its yearly gaps to holding were negative in every year, from 0.8 points in 2024 to 2.4 points in 2023. The drawdown was 15.43% against 16.81% for holding, and it came from February to April 2025, not from 2022. In 2022 the template lost 3.9% against 2% for holding. The best trade was the October 2022 month at 10.24%, and the worst was June 2022 at −8.85%. VTV's average return in September was −2.44%, and monthly cycle's September 2022 trade lost 6.21%, so the seasonal weak month shows up in the trade list.
The weekly 7% target returned 10.69% with a 20.34% drawdown, which is deeper than holding. Its win rate is 28%, with a median trade of −0.53% and a few trades closing at the 7% target. The average win was 7.01% and the average loss 1.31%. The drawdown ran from 2022-02-09 to 2022-07-18 and took until 2024-02-23 to recover. It beat holding in 2023 only, by 1.3 points.
The two moving average templates, SMA 10/50 and EMA 12/26, returned 7.4% and 7.3%. Both gave up most of 2021: SMA 10/50 returned 5.5% that year against 27.6% for holding, and EMA 12/26 returned 10%. Both exit on a crossover. Their best trades were the long holds from November 2023 to April 2024, at 13.5% and 12.15%, and from May to November 2025. SMA 10/50 had the shallower drawdown of the two at 11.6%, with a profit factor of 4.14.
RSI mean reversion returned 6.8% with 16 round trips, an 88% win rate and a profit factor of 23.67. The worst trade was a loss of 1.69% and the best was 6.93% in August 2024. It finished 2022 with a gain of 3% against −2% for holding, as did the dip buyer and the momentum breakout. The cost of that comfort was 2021, when it returned 12.3% against 27.6%.
At the bottom, the SMA-200 plus trailing stop returned 5.98% with a 24.37% drawdown, deeper than the fund's own. Golden cross returned 5.03% and the 200-day regime filter 4.26% with a 29% win rate and a profit factor of 0.91, the only template with a profit factor below 1. Pairwise comparisons against holding and other templates are on pages such as the SMA-200 trend page and the 200-day regime page. The 20-day momentum breakout took one trade from 2022-10-31 to 2023-10-27 and lost 1.52%.
The three trend-following templates that use the 200-day average had the deepest drawdowns among the slow templates, 24.37%, 17.8% and 23.32%. All three peaked on 2022-04-20, the same date as the fund's own peak, so all three were holding the fund when the 2022 decline began. Their recoveries ran to March 2024, July 2024 and November 2024 respectively, later than the fund's own recovery on 2023-07-20.
How each strategy traded VTV
| Strategy | Time in market | Avg hold (days) | Best trade | Worst trade | Profit factor | With 10 bps slippage |
|---|---|---|---|---|---|---|
| monthly cycle | 95.2% | 28 | 10.2% | −8.8% | 1.92 | 9.4% |
| weekly 7% target | 90.7% | 28 | 7.2% | −7.3% | 2.04 | 8.6% |
| SMA 10/50 trend | 68.8% | 85 | 13.5% | −4.0% | 4.14 | 6.8% |
| EMA 12/26 trend | 69.3% | 69 | 12.2% | −6.7% | 3.51 | 6.6% |
| RSI(2) snapback | 36.6% | 5 | 6.2% | −6.1% | 1.76 | 1.8% |
| RSI mean reversion | 34.0% | 44 | 6.9% | −1.7% | 23.67 | 6.2% |
| trend + trailing stop | 81.6% | 603 | 15.8% | −7.3% | 2.02 | 5.9% |
| 3-month momentum | 60.4% | 126 | 24.6% | −3.6% | 6.36 | 5.3% |
| golden cross | 72.0% | 353 | 13.2% | −7.4% | 1.91 | 4.9% |
| 200-day regime filter | 72.2% | 49 | 24.3% | −3.8% | 0.91 | 3.5% |
| dip buyer | 5.3% | 37 | 8.0% | 8.0% | – | 4.0% |
| momentum breakout | 17.2% | 361 | −1.5% | −1.5% | – | −0.3% |
The trading table shows how each template used its time. Average hold ran from 5 days for RSI(2) snapback to 603 days for the trailing stop template, which had a single completed trade of 966 days from 2022-08-15 to 2025-04-07 that returned 15.83%. That trade is the whole profit story of the template: a second trade from 2021-10-19 to 2022-06-16 lost 7.31%, and a third, open at the end of the window, was up 30.92% from an adjusted entry price of 165.92 on 2025-05-13.
Profit factor separates the templates that win often from those that win big. RSI mean reversion at 23.67 and 3-month momentum at 6.36 have very small losses. SMA 10/50 at 4.14 and EMA 12/26 at 3.51 win large and lose small. RSI(2) snapback at 1.76 and monthly cycle at 1.92 are close to the middle. 3-month momentum had one trade of 24.59% from 2025-07-08 to 2026-10-01, its best by a wide margin.
RSI(2) snapback is the template most exposed to costs. It made 153 round trips with a 70% win rate and an average win of 0.93% against an average loss of 1.2%. At zero cost it returned 7.29%. With 5 basis points of slippage it returned 4.53%, and with 10 basis points it returned 1.84%. A strategy that trades 153 times with a small average win loses most of its edge when each fill costs even a few basis points. Monthly cycle, with 69 trades, went from 12.08% to 10.74% and 9.44%. The trailing stop template went from 5.98% to 5.95% and 5.89%, almost nothing, because it made 2 completed trades. The dip buyer lost nothing at all, staying at 4% in both runs.
Time of day also matters for this fund. VTV earned most of its return outside the regular session: the overnight share of return was 73.14% and the intraday share 26.86%, with an average overnight gap of 0.34% against an average intraday range of 1.04%. All of these templates trade at the open or the next open, so none of them was positioned to avoid the gap, and a template that is flat overnight forgoes that component. This is a description of the fund's history on this window and not a rule that applies elsewhere.
On the ETF dip templates, the data show why the RSI templates struggled to add return. VTV's 20 sessions with RSI(14) below 30 were followed by a median 5-day move of 2.02% and a median 20-day move of 5.34%, against baselines of 0.37% and 1.67%. That is a real bounce, and RSI mean reversion captured part of it with 16 trades. The 154 sessions with RSI(2) below 10 had a median 5-day move of 0.52% and a median 20-day move of 1.51%, against the same baselines. The 20-day figure is below the baseline of 1.67%, so the shorter oversold signal added little to what holding returned, and RSI(2) snapback's 153 trades earned less than holding.
Long holds, open trades and the drawdown dates
The trend rules on VTV earned most of their return from single long trades. Golden cross lost 7.44% over 241 days from 2021-10-19, then gained 13.22% over 497 days from 2023-12-14 and 1.85% over 322 days from 2022-12-16, with a profit factor of 1.91. The 200-day filter won 29% of 21 trades, and its best, 24.3% over 484 days from 2023-11-15, is the main gain behind its CAGR of 4.26%, against a profit factor of 0.91. The trend plus trailing stop rule closed 2 trades: a 15.83% gain over 966 days from 2022-08-15 and a loss of 7.31% over 240 days from 2021-10-19. It is also long from 2025-05-13 with a gain of 30.92% that is not in the closed trades.
RSI mean reversion won 88% of 16 trades, with an average win of 3.02% and an average loss of 0.91%, and a profit factor of 23.67. The best trade was 6.93% over 20 days from 2024-08-06, and the worst was a loss of 1.69% over 92 days from 2022-05-02. The result is a CAGR of 6.8% from a rule that was invested 34% of the time. A sample of 16 trades with one losing streak of 1 is thin, and the run ends with an open trade from 2026-09-25 at -0.79%.
The momentum breakout rule made one trade, from 2022-10-31 to 2023-10-27, a loss of 1.52% over 361 days, and it explains the -0.26% CAGR. Its drawdown of 9.46% started on 2023-07-26 and was still open at the end. The rule needs a 20-day gain of 10%, and VTV rarely provides one, so there was nothing to measure beyond that trade.
The fund's own drawdowns set the dates that matter. Holding fell 16.81% from 2022-04-20 to 2022-09-30 and recovered on 2023-07-20. The second drawdown, 14.24%, ran from 2024-11-29 to 2025-04-08. Many templates share that second peak date: the 200-day filter, golden cross, trailing stop and the weekly target all show drawdowns starting on or near 2024-11-29. The weekly target's 20.34% drawdown started on 2022-02-09 and ended 2022-07-18, and recovery took until 2024-02-23. A rule that held through both falls took two blows from one fund, and the single-window test cannot say whether a third would look the same.
How VTV behaved
| Measure | VTV |
|---|---|
| Data in this test | 2021-01-04 to 2026-10-02 (1444 sessions) |
| Total return, buy and hold | 111.7% |
| Annualized volatility | 13.6% |
| Deepest drawdown | −17.1% (2022-04-20 to 2022-09-30) |
| Up days | 53.6% |
| Average daily range | 1.04% |
| Average overnight gap | 0.34% |
| Correlation to SPY | 0.86 |
| Correlation to QQQ | 0.67 |
| Correlation to TLT | 0.04 |
| Sessions above the 200-day average | 83.8% |
| Crossings of the 200-day average | 42 |
| Falls of 10% or more from a 20-day high | 4 |
Calendar years
| Year | Return |
|---|---|
| 2021 | 28.2% |
| 2022 | −2.1% |
| 2023 | 9.3% |
| 2024 | 16.0% |
| 2025 | 15.3% |
| 2026 (part) | 15.4% |
Biggest single days
| Best day | Move |
|---|---|
| 2025-04-09 | 6.5% |
| 2022-11-10 | 3.5% |
| 2022-02-25 | 3.0% |
| 2022-10-04 | 2.9% |
| 2022-10-13 | 2.9% |
| Worst day | Move |
|---|---|
| 2025-04-04 | −6.0% |
| 2025-04-03 | −3.7% |
| 2022-09-13 | −3.4% |
| 2022-05-18 | −3.3% |
| 2022-06-13 | −3.3% |
Average return by calendar month
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 2.3% | 1.4% | 1.3% | −0.3% | 1.6% | 0.7% | 2.6% | 0.9% | −2.4% | 2.6% | 3.6% | 0.6% |
Most and least correlated funds
| Most correlated | Least correlated | ||
|---|---|---|---|
| VOOV | 0.97 | SDS | -0.86 |
| FAS | 0.89 | SPDN | -0.86 |
| XLF | 0.89 | SH | -0.86 |
| VOO | 0.86 | UVXY | -0.68 |
| SSO | 0.86 | SQQQ | -0.67 |
VTV's behaviour sets the limits for every strategy above. Annualized volatility was 13.59% and the average daily range 1.04%. The fund closed up on 53.64% of days with an average up day of 0.64% and an average down day of −0.62%. Day-to-day autocorrelation at lag 1 was 0, so yesterday's move said nothing about today's. Mean reversion rules that depend on a bounce after a down day found no short-term pattern in the fund to lean on.
The fund's calendar years were 28.17% in 2021, −2.08% in 2022, 9.27% in 2023, 16.01% in 2024, 15.27% in 2025 and 15.45% in 2026 so far. Only 2022 was negative, and it was shallow. The maximum drawdown was 17.08%, from 2022-04-20 to 2022-09-30, with recovery on 2023-07-20 and a longest drawdown of 312 sessions. Two later pullbacks, from 2024-11-29 to 2025-04-08 at 14.24% and from 2023-07-26 to 2023-10-27 at 9.68%, recovered in 86 and 47 days.
The biggest days cluster in two periods. The best was 6.47% on 2025-04-09 and the worst was −5.98% on 2025-04-04, the week of the April 2025 sell-off and rebound. The other large days came in 2022: 3.53% on 2022-11-10 and −3.43% on 2022-09-13. A template that was out of the market on 2025-04-09 missed the best day, which is why the 2025 yearly numbers are so spread out: the trailing stop template returned 2.9% in 2025, RSI(2) snapback returned 21.1% and the dip buyer returned 7.8%, against 15.1% for holding. The dip buyer's second entry was 2025-04-08, and its 8% target exit came on 2025-05-19.
The seasonal table shows November at 3.56%, July at 2.57%, October at 2.56% and January at 2.32%, with September at −2.44% and April at −0.29%. Each calendar month has only 5 or 6 observations in the window, so these averages describe this window and carry little weight as a pattern.
VTV was above its 200-day average in 83.78% of sessions, and price crossed the average 42 times. Crossings are what move the 200-day templates in and out. The regime filter made 21 round trips, mostly short, and finished with 29% winners. There were 4 falls of 10% or more from a 20-day high, spread over 6 days. That is why the dip buyer, which waits for a drawdown from the high, had so few chances: it traded 3 times, in June 2022, September 2022 and April 2025.
Correlation shows how VTV fits among other funds. It was 0.86 correlated to SPY and 0.67 to QQQ, with a beta of 0.71 to SPY, and nearly uncorrelated to TLT at 0.04. The closest relative was VOOV at 0.97, then FAS and XLF at 0.89, and VOO at 0.86. The inverse funds SDS, SPDN and SH were the most negatively correlated at −0.86. Among the other broad index funds, SPY held 14.56% a year and its best template was the weekly 7% target at 13.88%, and VOO held 14.42% with RSI(2) snapback best at 14.08%. For the growth side, VOOG held 15.73% and its best template, weekly 7% target, returned 19.51%, which did beat holding. VTV was a fund where no template did, and value stocks rising steadily in this window is the reason holding was hard to beat.
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Frequently asked questions
What was the best strategy for VTV?
Of the 12 templates tested on VTV over 2021-01-04 to 2026-10-02, the strongest by CAGR was monthly cycle at 12.1% (max drawdown 15.4%), versus 13.4% 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 VTV?
0 of 12 templates beat VTV buy-and-hold (13.4% CAGR) on this window; 8 of 12 had a shallower maximum drawdown than holding (16.8%).
What was the best strategy for VTV in this backtest?
Monthly cycle, which returned 12.08% a year with a 15.43% maximum drawdown, against 13.44% for buy-and-hold. The weekly 7% target was second at 10.69%. None of the 12 templates beat holding on CAGR, from 2021-01-04 to 2026-10-02.
Did any strategy beat buy-and-hold on VTV?
None did on return. Holding returned 13.44% a year with a 16.81% drawdown. Eight of the 12 templates had a shallower drawdown, with the dip buyer lowest at 4.37%, but it was invested only 5.3% of the time.
Why did the dip buyer have such a low drawdown on VTV?
It made 3 trades in the whole window, each closing at its 8% target, and held cash the rest of the time. VTV had 4 falls of 10% or more from a 20-day high over 6 days. The result was a 4% CAGR and a 100% win rate on a sample of 3.
How much did trading costs change the results?
RSI(2) snapback fell from 7.29% to 4.53% at 5 basis points and 1.84% at 10 basis points, because it made 153 round trips. Monthly cycle fell from 12.08% to 9.44% at 10 basis points. The trailing stop template and the dip buyer barely changed.
Is VTV mean reverting enough for RSI strategies?
The evidence is mixed. After RSI(14) fell below 30, the median 20-day move was 5.34% against a 1.67% baseline, but that came from only 20 sessions. After RSI(2) fell below 10, the median 20-day move was 1.51%, below the baseline, and lag-1 autocorrelation was 0.
How deep was VTV's worst drawdown?
Buy-and-hold lost 16.81% from 2022-04-20 to 2022-09-30 and recovered on 2023-07-20. The fund's own close to close drawdown was 17.08%. The SMA-200 trailing stop and 200-day regime templates had deeper drawdowns of 24.37% and 23.32%.
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.