DeployQuantVXZ trading strategies, backtested
iPath Series B S&P 500 VIX Mid-Term Futures ETN: mid-curve VIX futures in ETN form. Every DeployQuant template run on VXZ over 5.7 years of minute data, same engine, same window, sorted by return.
VXZ is the iPath Series B S&P 500 VIX Mid-Term Futures ETN, which holds mid-curve VIX futures in note form. From 2021-01-04 to 2026-10-02 it lost 15.1% a year in the test and $10,000 became $3,906. The decline ran from 2021-01-29 to a low on 2026-09-29, a drawdown of 66.44% that had not recovered by the end of the data. Only 2022 and 2025 were gains, at 0.6% and 5.6% for holding, and 2023 was a loss of 42.6%.
Twelve templates were run on it. Ten beat buy-and-hold on CAGR, eleven had a shallower maximum drawdown, and none finished with a positive CAGR. The best was golden cross at minus 1.15% a year with a 19.94% drawdown. RSI(2) snapback was second at minus 7.03% and weekly 7% target third at minus 7.3%. The two templates behind holding were momentum breakout at minus 17.28% and the drawdown dip buyer at minus 15.76%.
This page is a ranking of losses. A fund that fell for most of 5.7 years leaves the templates with a single useful move, which is to be out of it, and the order of results follows how much time each template spent in cash and when. Prices in the trade lists are adjusted, so the first weekly 7% target entry in January 2021 was at 122.64 and a September 2026 entry was at 45.57. The headline numbers have no fees, and the test covers one window, so none of it describes how volatility products behave in other periods.
| Strategy | CAGR | max DD | Sharpe | trades | win rate | final value |
|---|---|---|---|---|---|---|
| Golden Cross (SMA 50/200) | −1.1% | −19.9% | 0.00 | 3 | 33% | $9,360 |
| RSI(2) Dip Snapback | −7.0% | −56.8% | -0.35 | 157 | 57% | $6,580 |
| Weekly Entry + 7% Target | −7.3% | −57.7% | -0.22 | 168 | 23% (+1 open) | $6,473 |
| RSI(14) Mean Reversion | −8.1% | −49.9% | -0.35 | 14 | 64% (+1 open) | $6,145 |
| SMA-200 Trend + 15% Trailing Stop | −9.6% | −47.3% | -0.42 | 10 | 10% | $5,606 |
| EMA 12/26 Trend | −11.3% | −53.7% | -0.46 | 29 | 17% | $5,037 |
| 200-Day SMA Regime Filter | −11.4% | −53.5% | -0.60 | 31 | 26% | $4,984 |
| SMA 10/50 Trend | −12.1% | −55.0% | -0.55 | 25 | 24% | $4,774 |
| First-to-Last Day of Month | −12.5% | −62.0% | -0.37 | 69 | 45% (+1 open) | $4,645 |
| 3-Month Momentum Switch | −14.2% | −58.9% | -0.78 | 22 | 14% | $4,153 |
| Drawdown Dip Buyer + 8% Target | −15.8% | −63.0% | -0.52 | 0 | – (+1 open) | $3,736 |
| 20-Day Momentum + Trailing Stop | −17.3% | −67.9% | -1.13 | 18 | 6% | $3,366 |
| Buy & hold VXZ | −15.1% | −66.4% | -0.49 | – | – | $3,906 |
Which rules lost the least
Holding lost 18.2% in 2021, gained 0.6% in 2022, lost 42.6% in 2023, lost 11.8% in 2024, gained 5.6% in 2025 and lost 13.9% in 2026 so far. The Sharpe ratio was minus 0.49. The worst month for holding was June 2023 at minus 17.38%, and the best was April 2025 at 12.58%.
Golden cross made 3 round trips and its CAGR of minus 1.15% is far above anything else on the page. It held no position in 2021, 2023 or 2024, so it finished flat in those years. That is the whole result: 2023 alone was a loss of 42.6% for holding, and the template skipped it. Its first trade, from 2022-03-09 to 2022-12-08, lost 8.45% over 274 days. Its second, from 2025-02-28 to 2025-10-21, gained 4.48%. Its third, from 2026-04-10 to 2026-06-11, lost 2.33%. The profit factor was 0.39 and the win rate was 33%. Three trades are too few to say the rule works on volatility products, and what the page shows is that a slow average kept the template out during the 2023 fall.
RSI(2) snapback made 157 round trips with a 57% win rate and a profit factor of 0.83. The average win was 1.94% and the average loss was 3.09%, so the small wins did not cover the large losses. It gained 31.5% in 2022 against 0.6% for holding, then lost 39.5% in 2023, 13.8% in 2024 and 8.8% in 2026. Its worst trade held 37 days from 2023-05-30 to 2023-07-06 and lost 16.07%. The drawdown of 56.77% ran from 2022-10-14 to 2026-09-22 and was still open at the end. It finished at $6,580.
Weekly 7% target made 168 round trips and won 23%, with an average win of 7.46% and an average loss of 2.4%. It was invested 75.6% of the time. It gained 11.7% in 2021 and lost 36.8% in 2023, which was a smaller loss than holding's 42.6%. Its best trade was a 4-day gain of 13.5% from 2025-03-31 to 2025-04-04, and its worst was a 3-day loss of 10.13% from 2024-08-05 to 2024-08-08.
RSI(14) mean reversion made 14 round trips, won 64% and lost 8.13% a year. The average loss was 13.65% against an average win of 5.53%. One trade, from 2022-10-31 to 2023-10-04, lasted 338 days and lost 37.75%, and the template had another position open at the end, entered on 2026-04-17, that was down 16.96%. The drawdown was 49.9%. The template gained 16.3% in 2022 and lost 36.4% in 2023.
Trend plus trailing stop returned minus 9.59% with 10 round trips and one win, a gain of 11.92% from 2024-12-19 to 2025-04-09. The other nine lost. EMA 12/26 trend returned minus 11.26% with 29 round trips and a 17% win rate, and its best trade, from 2025-02-13 to 2025-05-13, gained 11%. The 200-day filter had 31 round trips and returned minus 11.42%, SMA 10/50 had 25 round trips and returned minus 12.08%, and monthly cycle returned minus 12.5% with 69 round trips and a 62% drawdown. The 3-month momentum switch made 22 round trips and won 14% of them, at minus 14.19%.
The two templates behind holding show two different failures. Momentum breakout made 18 round trips and won 6% of them, and its only winning trade gained 0.02%. The other 17 lost, with an average loss of 6.34%, and the CAGR was minus 17.28%. It lost money in 2021, 2022, 2023, 2024, 2025 and 2026. The dip buyer made no closed trades. It entered on 2021-03-18 at an adjusted price of 127.92, waited for an 8% gain that never came, and was still open at the end with a loss of 64.43%. Its exposure was 96.5% and its result of minus 15.76% is holding with a late start.
Only two other volatility products are in the data. UVXY held at minus 48.74% a year and its best template, golden cross, made minus 10.09%. VIXM held at minus 16.06% and RSI(2) snapback made 0.13% there, the only positive result among the three funds. Golden cross was the best template on two of the three funds, and on the other RSI(2) was ahead. That fits a picture in which all three funds drifted lower and rules that spent time in cash did best.
How each strategy traded VXZ
| Strategy | Time in market | Avg hold (days) | Best trade | Worst trade | Profit factor | With 10 bps slippage |
|---|---|---|---|---|---|---|
| golden cross | 27.4% | 190 | 4.5% | −8.4% | 0.39 | −1.3% |
| RSI(2) snapback | 48.4% | 7 | 7.2% | −16.1% | 0.83 | −11.9% |
| weekly 7% target | 75.6% | 8 | 13.5% | −10.1% | 0.87 | −11.7% |
| RSI mean reversion | 63.3% | 83 | 10.7% | −37.8% | 0.60 | −8.6% |
| trend + trailing stop | 44.0% | 92 | 11.9% | −11.9% | 0.14 | −9.9% |
| EMA 12/26 trend | 34.0% | 24 | 11.0% | −9.3% | 0.17 | −12.2% |
| 200-day regime filter | 27.0% | 18 | 7.4% | −15.9% | 0.14 | −12.3% |
| SMA 10/50 trend | 33.5% | 28 | 5.8% | −11.5% | 0.16 | −12.8% |
| monthly cycle | 95.2% | 28 | 14.7% | −16.2% | 0.66 | −14.6% |
| 3-month momentum | 25.9% | 24 | 9.5% | −20.7% | 0.16 | −14.8% |
| dip buyer | 96.5% | – | – | – | – | −15.8% |
| momentum breakout | 18.0% | 21 | 0.0% | −10.4% | – | −17.8% |
Exposure, trades and costs
Exposure ranged from 96.5% for the dip buyer and 95.2% for monthly cycle to 18% for momentum breakout. Weekly 7% target was in the market 75.6% of the time, RSI(14) 63.3%, RSI(2) 48.4%, trend plus trailing stop 44%, EMA 12/26 34%, SMA 10/50 33.5%, golden cross 27.4%, the 200-day filter 27% and 3-month momentum 25.9%. The templates with less than a third of days invested were not the best performers, apart from golden cross, so cash alone did not decide the order. The timing of the cash mattered: golden cross was out in 2023.
Holding periods ranged from a median of 3 days for weekly 7% target and 5 for RSI(2) to 235 days for golden cross. The 200-day filter's median trade was 5 days and its 31 round trips had a 26% win rate, with an average win of 1.83% and an average loss of 3.6%, for a profit factor of 0.14. The same pattern, small wins and large losses, shows in EMA 12/26 at 17% wins and a profit factor of 0.17, in SMA 10/50 at 24% and 0.16 and in 3-month momentum at 14% and 0.16.
Costs push the busy templates further down. RSI(2) snapback fell from minus 7.03% to minus 9.48% at 5 basis points per trade and minus 11.87% at 10, and its drawdown rose from 56.77% to 64.44%. Weekly 7% target fell from minus 7.3% to minus 9.25% and minus 11.72%. Monthly cycle fell to minus 13.51% and minus 14.56%. The slow templates barely moved: golden cross went to minus 1.19% and minus 1.25%, and trend plus trailing stop to minus 9.76% and minus 9.91%. At 10 basis points RSI(2) and weekly 7% target are both below where EMA 12/26 and the 200-day filter finished with no costs.
VXZ is thin. Its average daily dollar volume was $854,920 and its median minute volume was 114 shares. The cost runs of 5 and 10 basis points are fixed charges per trade. With a median of 114 shares per minute, a template that makes 157 or 168 round trips may face wider real costs than those runs show.
Single trades and the open position
VXZ fell 64.09% over the window, and most template results are the sum of a few trades that went the wrong way. RSI mean reversion won 64% of 14 trades with an average win of 5.53% and an average loss of 13.65%, a profit factor of 0.6. Its worst trade lost 37.75% over 338 days from 2022-10-31 to 2023-10-04, and an earlier one lost 14.73% over 124 days from 2021-03-18. Its best two, 10.68% and 10.19%, came in the first half of 2022. The rule is still open from 2026-04-17 at -16.96%.
The dip buyer never closed a trade. It entered on 2021-03-18 and was still holding at the end for -64.43%, which is why it shows 96.5% time in market, no round trips and the lowest CAGR on the page apart from the momentum breakout. Its target of 8% was never reached, since the fund drifted lower after each rally. Its drawdown, 63.03%, started on 2021-03-19 and lasted until the last day.
Golden cross is the template with the smallest loss at -1.15% a year, and the reason is mostly that it was out of the fund. It was invested 27.4% of the time, made 3 trades, and lost 8.45% over 274 days from 2022-03-09, gained 4.48% over 235 days from 2025-02-28, and lost 2.33% from 2026-04-10. It was flat in 2021, 2023 and 2024. A rule that avoids a fund that loses 44.27% in 2023 looks good for that reason alone. Only 31.27% of VXZ sessions were above its 200-day average.
The fast rules did worse than the slow one. The RSI(2) snapback made 157 trades with an average win of 1.94% and an average loss of 3.09%. It returned 31.5% in 2022 and then -39.5% in 2023, with a 56.77% drawdown from 2022-10-14 that was still open at the end. Its worst trades were a loss of 16.07% over 37 days from 2023-05-30 and a loss of 14.14% over 12 days from 2024-08-08. Costs made the loss larger: -9.48% at 5 basis points and -11.87% at 10.
The weekly 7% target made 168 trades and won 23%. It gained 13.5% in 4 days from 2025-03-31, the best trade on the page, and lost 10.13% in 3 days from 2024-08-05, when the fund's best days clustered, including 10.88% on 2024-08-05. The three biggest up days of the fund came on 2025-04-10, 2025-04-03 and 2024-08-05, so the fund's sharpest rebounds and a long-only rule's largest losses fell on the same dates.
How VXZ behaved
| Measure | VXZ |
|---|---|
| Data in this test | 2021-01-04 to 2026-10-02 (1443 sessions) |
| Total return, buy and hold | −64.1% |
| Annualized volatility | 28.6% |
| Deepest drawdown | −68.3% (2021-01-29 to 2026-09-29) |
| Up days | 45.1% |
| Average daily range | 1.86% |
| Average overnight gap | 0.79% |
| Correlation to SPY | -0.74 |
| Correlation to QQQ | -0.68 |
| Correlation to TLT | -0.01 |
| Sessions above the 200-day average | 31.3% |
| Crossings of the 200-day average | 62 |
| Falls of 10% or more from a 20-day high | 35 |
Calendar years
| Year | Return |
|---|---|
| 2021 | −18.8% |
| 2022 | 0.7% |
| 2023 | −44.3% |
| 2024 | −12.6% |
| 2025 | 6.0% |
| 2026 (part) | −14.9% |
Biggest single days
| Best day | Move |
|---|---|
| 2025-04-10 | 11.3% |
| 2025-04-03 | 11.2% |
| 2024-08-05 | 10.9% |
| 2024-08-02 | 9.1% |
| 2022-05-05 | 7.7% |
| Worst day | Move |
|---|---|
| 2025-04-09 | −9.7% |
| 2025-05-12 | −7.3% |
| 2024-12-20 | −6.7% |
| 2021-05-14 | −5.7% |
| 2021-05-13 | −5.4% |
Average return by calendar month
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|
| −4.0% | 1.4% | 0.2% | 2.2% | −5.4% | −4.2% | −1.1% | −1.9% | 2.0% | −0.3% | −5.3% | −2.1% |
Most and least correlated funds
| Most correlated | Least correlated | ||
|---|---|---|---|
| VIXM | 0.96 | SPY | -0.74 |
| UVXY | 0.92 | VOO | -0.74 |
| SH | 0.74 | SSO | -0.74 |
| SPDN | 0.74 | VV | -0.74 |
| SDS | 0.74 | SPUU | -0.74 |
How VXZ behaved
VXZ's annualized volatility was 28.55%. Its beta to SPY was minus 1.29 and its correlation to SPY was minus 0.74, with a beta of minus 0.87 to QQQ and a correlation of minus 0.68. It moved against the stock market, though by less than a perfect inverse. The average up day was 1.35% and the average down day was minus 1.23%, with 45.15% of days up, and the lag-1 autocorrelation was minus 0.04. A fund with fewer up days than down days and similar sizes drifts lower.
The fund's own series shows a total return of minus 64.09% and a CAGR of minus 16.34% over 1,443 sessions. Its deepest drawdown was 68.28% from 2021-01-29 to 2026-09-29, and it lasted 1,424 sessions. The calendar years were minus 18.75% in 2021, 0.66% in 2022, minus 44.27% in 2023, minus 12.62% in 2024, 5.98% in 2025 and minus 14.94% in 2026 so far. Four of six years were losses of more than 12%.
The best days were 2025-04-10 at 11.26%, 2025-04-03 at 11.15%, 2024-08-05 at 10.88% and 2024-08-02 at 9.11%. The worst were 2025-04-09 at minus 9.69% and 2025-05-12 at minus 7.26%. The best days are clustered in two episodes, early August 2024 and early April 2025, and the 2025-04-09 loss sits between the two April gains. A daily rule that enters after one of these spikes buys near the top: weekly 7% target's worst trade began on 2024-08-05, the third-best day, and lost 10.13%. The same date began one of the three worst trades for trend plus trailing stop, the 200-day filter and the 3-month momentum switch, with losses of 9.41%, 15.94% and 20.71% over 1 to 46 days.
The fund was above its 200-day average on 31.27% of sessions and crossed it 62 times. A rule tied to that line saw many false starts, which matches the 31 round trips and 26% win rate of the 200-day filter and the 10 round trips with 1 win of trend plus trailing stop. It fell 10% or more from a 20-day high on 35 occasions covering 206 days.
RSI(14) fell under 30 on 122 sessions with a median forward 5-day return of minus 0.82% against minus 0.33% for the baseline, and a 20-day return of minus 0.96% against minus 1%. RSI(2) fell under 10 on 234 sessions with a 5-day median of minus 0.48% and a 20-day median of minus 1.05%. An oversold reading did not lead to a rebound on this fund. That is consistent with RSI(2) snapback winning 57% of its trades and still losing money, with a profit factor of 0.83.
Overnight returns were minus 44.53% in log terms and intraday returns minus 54.17%. The average overnight gap was 0.79% and the average intraday range was 1.86%. The fund lost value both overnight and during the session, so no entry or exit time avoided the decline.
By month, April averaged 2.16%, September 2.03% and February 1.35%, against minus 5.4% for May, minus 5.34% for November and minus 4.15% for June. Those are averages over five or six years each. The fund was most correlated with VIXM at 0.96 and UVXY at 0.92, and with SH, SPDN and SDS at 0.74, and least with SPY, VOO, SSO, VV and SPUU at minus 0.74.
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Frequently asked questions
What was the best strategy for VXZ?
Of the 12 templates tested on VXZ over 2021-01-04 to 2026-10-02, the strongest by CAGR was golden cross at −1.1% (max drawdown 19.9%), versus −15.1% 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 VXZ?
10 of 12 templates beat VXZ buy-and-hold (−15.1% CAGR) on this window; 11 of 12 had a shallower maximum drawdown than holding (66.4%).
What was the best strategy for VXZ from 2021 to 2026?
Golden cross, at minus 1.15% a year with 3 round trips and a 19.94% drawdown. Buy-and-hold lost 15.1% a year and ended at $3,906. None of the 12 templates had a positive CAGR.
Did any strategy beat buy-and-hold on VXZ?
Ten of 12 beat it on CAGR. Momentum breakout at minus 17.28% and the dip buyer at minus 15.76% finished behind holding at minus 15.1%. Eleven templates had a shallower maximum drawdown than holding.
Why did golden cross do best on VXZ?
It held no position in 2021, 2023 or 2024 and so avoided the 42.6% loss that holding took in 2023. It made 3 round trips, one win and two losses. The result rests on staying out of the fund during its worst stretches and is a small sample.
How much did VXZ fall?
Buy-and-hold fell 66.44% from 2021-01-29 to 2026-09-29 and had not recovered by 2026-10-02. The fund's own series shows a deepest drawdown of 68.28% and a total return of minus 64.09% over 1,443 sessions.
Is VXZ liquid enough for frequent trading?
Average daily dollar volume was $854,920 and median minute volume was 114 shares. The 5 and 10 basis point cost runs may understate the real cost for templates that make 157 or 168 round trips.
Does buying after a RSI dip work on VXZ?
In this window it did not. RSI(2) snapback won 57% of 157 trades but returned minus 7.03% a year, because the average loss was 3.09% against an average win of 1.94%. After RSI(14) fell under 30 the median 20-day return was minus 0.96%.
Other volatility products
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.