DeployQuantDrawdown Dip Buyer + 8% Target on EEV
ProShares UltraShort MSCI Emerging Markets: -2x daily emerging markets. Backtest 2021-01-04 to 2026-10-02, $10,000 starting capital, computed by the same engine that runs live DeployQuant strategies.
The dip buyer closed 9 round trips on EEV and won all 9. The account still lost 45.1% over the window. Both facts are in the results, and the gap between them is what the numbers below explain. Nine gains between 8.03% and 14.46%, taken between 2021-02-02 and 2022-08-30, were followed by one purchase on 2022-11-07 at an adjusted price of $44.71 that never reached its target. At the last close that position was marked at a loss of 76.87%, and it accounts for nearly all of the damage in the $10,000 account, which ended at $5,490.
EEV is a ProShares fund that moves at minus 2 times the daily return of emerging markets stocks. The rule is simple: buy with 98% of the sleeve after a fall of more than 10% from the 20-day high, rest a limit order 8% above the entry, and stay in cash between signals. That rule has no stop-loss. On a fund that drifts lower for years, the missing stop decides the outcome. The test covers 2021-01-04 to 2026-10-02 and has no fees or slippage in the headline run.
Against buy-and-hold on EEV, the strategy did better. The CAGR was -9.92% against -16.07% for buy-and-hold, and the maximum drawdown was 77.21% against 80.06%. The Sharpe ratio was -0.13 against -0.26. Better than holding, on a fund that fell 65.51% in total, is still a loss. The dip buyer rules were tested the same way on 59 funds, and EEV is one of the inverse funds in that set.
Year by year
| Year | dip buyer | buy & hold |
|---|---|---|
| 2021 | 30.8% | −3.6% |
| 2022 | 50.9% | 36.5% |
| 2023 | −12.9% | −13.0% |
| 2024 | −7.6% | −7.6% |
| 2025 | −42.3% | −42.7% |
| 2026 | −40.1% | −40.8% |
How each year played out
The year-by-year results split into two parts that look nothing alike. In 2021 the dip buyer returned 30.8% while buy-and-hold lost 3.6%. In 2022 it returned 50.9% against 36.5% for holding. Those two years account for every year the strategy beat the benchmark by a meaningful amount, and they are the years in which the nine winning trades were made. Three trades closed in 2021 and six in 2022, all wins.
From 2023 the two columns are almost the same number. The dip buyer lost 12.9% in 2023 against 13.0% for buy-and-hold, lost 7.6% in 2024 against 7.6%, lost 42.3% in 2025 against 42.7%, and has lost 40.1% so far in 2026 against 40.8%. The strategy was holding the fund in those years, so it matched the fund's own path. The gap between the two columns in 2025 was 0.4 points and in 2026 it was 0.7. The rule had no exit other than the 8% target, and the target was never touched after the November 2022 entry.
The fund's own calendar returns explain why. EEV gained 37.31% in 2022, when emerging markets fell, and then lost 13.24% in 2023, 7.76% in 2024, 43.54% in 2025 and 42.27% so far in 2026. A fund built to deliver minus 2 times the daily return has a tailwind only when emerging markets decline. The dip buyer caught the 2022 tailwind and sat through the four years that followed. The 2026 figure covers part of the year and runs to 2026-10-02, so it can still move.
The yearly view also shows why the headline CAGR of -9.92% reads as mild. It is an average over 5.74 years that includes a 30.8% year and a 50.9% year in the early part. The recent run is far worse than that average suggests, with 2025 and 2026 both near a loss of 40%.
Month by month
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2021 | 0.0% | 5.1% | 2.9% | 0.3% | −4.4% | −2.3% | 18.3% | 0.0% | 8.5% | −2.7% | 7.3% | −3.7% |
| 2022 | −0.6% | 8.4% | 10.4% | 12.8% | −3.8% | 12.0% | 8.9% | 7.9% | 0.0% | 0.0% | −15.9% | 5.8% |
| 2023 | −15.6% | 16.2% | −5.7% | 1.8% | 5.2% | −7.7% | −10.7% | 14.7% | 7.2% | 8.1% | −14.0% | −6.8% |
| 2024 | 8.8% | −6.4% | −4.4% | 0.5% | −2.2% | −4.9% | −1.5% | −1.7% | −9.9% | 6.4% | 5.0% | 4.2% |
| 2025 | −3.2% | −1.3% | −3.0% | −3.2% | −6.9% | −11.8% | −0.5% | −4.7% | −11.7% | −6.6% | 3.9% | −3.6% |
| 2026 | −13.8% | −10.0% | 16.7% | −21.1% | −13.1% | −3.0% | 10.7% | −8.4% | 0.3% | −2.3% | – | – |
What the monthly returns show
The best month was July 2021 at 18.25%, which fits the 99-day trade that opened on 2021-04-19 and closed on 2021-07-27 at $29.23. The next largest gains came in February 2023 at 16.16%, March 2026 at 16.66%, August 2023 at 14.73% and April 2022 at 12.78%. The 2023 and 2026 gains happened while the open position was riding the fund up during rallies of the fund, so they are mark-to-market moves and not trades closing.
The worst month was April 2026 at a loss of 21.07%. Other deep months include November 2022 at 15.94%, January 2023 at 15.57%, November 2023 at 14%, January 2026 at 13.78% and May 2026 at 13.13%. The November 2022 loss is the month the position was opened, and it is the point where the equity curve turned from a series of small wins into a long decline.
Several months show exactly zero: January 2021, August 2021, September 2022 and October 2022. Those are months in which the strategy sat in cash with no signal. The nine winning trades left it flat in a handful of months only. After the November 2022 purchase there are no more zero months, because the position stayed open to the end.
The monthly pattern from 2024 onward is mostly negative. In 2025 only November was positive at 3.93%. That is the profile of a leveraged inverse fund that is losing value as its underlying rises, and the holder collects the decay month after month.
Every trade
dip buyer on EEV made 9 closed round trips and one position still open at the end of the test, an average hold of 47 days, an average winner of 9.48%. It held a position at the close on 87.6% of trading days.
| Entry | Entry price | Exit | Exit price | Return | Days held |
|---|---|---|---|---|---|
| 2021-02-02 | $25.96 | 2021-03-08 | $28.13 | 8.4% | 34 |
| 2021-04-19 | $26.34 | 2021-07-27 | $29.23 | 11.0% | 99 |
| 2021-09-01 | $26.40 | 2021-09-20 | $29.18 | 10.5% | 19 |
| 2021-09-20 | $29.18 | 2022-02-24 | $33.40 | 14.5% | 157 |
| 2022-02-24 | $33.23 | 2022-03-07 | $35.90 | 8.0% | 11 |
| 2022-03-17 | $33.32 | 2022-04-22 | $36.00 | 8.0% | 36 |
| 2022-05-27 | $36.17 | 2022-06-13 | $39.08 | 8.1% | 17 |
| 2022-06-14 | $38.15 | 2022-07-13 | $41.52 | 8.8% | 29 |
| 2022-08-11 | $36.37 | 2022-08-30 | $39.30 | 8.1% | 19 |
| 2022-11-07 | $44.71 | open | – | −76.9% | – |
Prices are adjusted for splits and dividends, so they sit below the quotes printed at the time. An open position is marked at the last close.
The nine wins and the one open trade
The closed trades are close to identical in size. The median return was 8.36% and the median holding period was 29 days. The shortest was 11 days, from 2022-02-24 at $33.23 to 2022-03-07 at $35.90, and the longest was 157 days, from 2021-09-20 at $29.18 to 2022-02-24 at $33.40. The five smallest winners returned between 8.03% and 8.36%, because the resting limit order at 1.08 times the entry fills close to its price. The largest winner returned 14.46%, and it is the 157-day trade. The facts list entry $29.18 and exit $33.40 for it, and do not say why the exit came well above the limit level.
Two pairs of trades touch on the same date. The trade that exited on 2021-09-20 at $29.18 was followed by a new entry on 2021-09-20 at the same price. The exit on 2022-02-24 at $33.40 was followed by an entry on 2022-02-24 at $33.23. The rule sells at the target and then checks the drawdown condition again, so a fund that spikes and falls back inside a single session can trigger both in one day.
The sequence of entry prices shows the fund rising: $25.96 in February 2021, $26.34 in April, $26.40 and $29.18 in September, $33.23 and $33.32 in February and March 2022, $36.17 and $38.15 in May and June, $36.37 in August, and $44.71 on 2022-11-07. Each entry was a pullback from a recent high, and each pullback was followed by a new high for a while. That is what a rising inverse fund in a falling emerging market looks like, and the rule worked for as long as the fund kept rising.
The tenth trade is the problem. The entry on 2022-11-07 at $44.71 came after a drop of more than 10% from the 20-day high, which matched the signal. The fund then fell for most of the next four years. The 8% target was never reached, and the position is open at the end of the test with a return of -76.87%. With an average hold of 46.8 days across closed trades, the strategy had never faced a position that lasted more than 157 days. This one lasted from 2022-11-07 to the end of the data.
The win rate of 100% across 9 round trips deserves care. A win rate counts closed trades, and a position that is still open is not counted. The profit factor is blank in the facts because there were no closed losses. Exposure was 87.6%, meaning the account held the fund at the close on most days. The momentum breakout rule uses a trailing stop on the same fund, and its page shows how a different exit changes this profile.
Largest drawdowns
| Peak | Low point | Depth | Days to low | Recovered | Days to recover |
|---|---|---|---|---|---|
| 2022-11-09 | 2026-06-22 | −77.2% | 1321 | not yet | – |
| 2021-05-13 | 2021-06-01 | −14.2% | 19 | 2021-07-27 | 56 |
| 2021-12-20 | 2022-01-12 | −13.4% | 23 | 2022-01-27 | 15 |
Buy-and-hold's deepest drawdown ran from 2022-10-24 to 2026-06-22 and reached −80.1%.
The drawdown that never recovered
The largest drawdown began on 2022-11-09, two days after the final entry, and reached its low on 2026-06-22 at 77.21%. It took 1,321 days to get from peak to low and there is no recovery date. The other two drawdowns in the facts are small by comparison: 14.17% from 2021-05-13 to 2021-06-01, recovered on 2021-07-27, and 13.36% from 2021-12-20 to 2022-01-12, recovered on 2022-01-27.
Buy-and-hold on EEV had a deeper maximum drawdown of 80.06%, from 2022-10-24 to 2026-06-22. Both curves hit bottom on the same day. The dip buyer ended shallower by a few points. Buy-and-hold also had a drawdown of 22.71% in March and April 2022, and one of 20.61% in early 2021.
The point for anyone reading the maximum drawdown is that the risk in this rule sits in a single tail event. For nine trades the drawdowns were around 14%, which many holders could tolerate. The tenth trade produced a drawdown more than five times larger than any of the others. Low trade counts mean single trades dominate results, as the rule's own caveats note, and here one trade did.
With trading costs
The headline run fills at the bar price. These runs charge slippage on every fill.
| Slippage per fill | CAGR | Max drawdown | Final value | Sharpe |
|---|---|---|---|---|
| None (headline) | −9.9% | −77.2% | $5,490 | -0.13 |
| 5 basis points | −9.3% | −77.2% | $5,693 | -0.11 |
| 10 basis points | −9.4% | −77.2% | $5,655 | -0.11 |
Costs barely matter, and the direction is unreliable
The cost runs add slippage on every fill. At 5 basis points the CAGR was -9.35%, the final value was $5,693 and the Sharpe ratio was -0.109. At 10 basis points the CAGR was -9.45%, the final value was $5,655 and the Sharpe ratio was -0.112. The headline run with no costs ended at $5,490, so both cost runs finished higher than the run without costs.
Costs improving a result is an artifact. There are only 19 fills in the test, and the final value depends mostly on where one open position is marked on the last day. A small change in the fill price on the entry of 2022-11-07 can move that mark by more than the cost paid on 19 fills. The fair reading is that costs are small for a rule that trades this rarely, and that the three runs are the same result within the noise of one position.
Liquidity is a bigger cost question than slippage on this fund. EEV traded an average daily dollar volume of $241,075 and a median of 200 shares per minute. A $10,000 position is large next to a day's dollar volume of that size. The backtest fills at minute bar prices and does not model the quoted spread, and that is a limit of the test.
Changing the parameters
| Version | CAGR | Max drawdown | Round trips | Win rate | Final value |
|---|---|---|---|---|---|
| Published rules | −9.9% | −77.2% | 9 | 100% | $5,490 |
| -7% drawdown / 8% target | −13.3% | −79.4% | 8 | 100% | $4,420 |
| -15% drawdown / 8% target | −16.7% | −75.9% | 3 | 100% | $3,497 |
| -10% drawdown / 6% target | −6.3% | −77.2% | 15 | 100% | $6,863 |
| -10% drawdown / 10% target | −9.4% | −77.3% | 8 | 100% | $5,664 |
What the parameter variants show
Four variants change one number at a time. A shallower trigger of 7% instead of 10% gave a CAGR of -13.25%, a final value of $4,420 and 8 trades. A deeper trigger of 15% gave -16.72%, $3,497 and 3 trades. Moving the target to 6% gave the best result at -6.35%, $6,863 and 15 trades. Moving it to 10% gave -9.43%, $5,664 and 8 trades. Every variant won every closed trade, as the 100% win rate in the table shows, and every variant lost money.
The variants that changed the trigger did worse than the published rules, and the ones that changed the target were mixed. A lower target of 6% gave more trades, since the limit is easier to reach, and each trade was shorter. The final value was higher, but the CAGR was still negative. The result is not a sign that a 6% target is better, because it comes from one path on one fund and the open position at the end is still there in each variant. The 10% target gave nearly the same answer as the published 8%, which says that in the closed trades the target was not the binding factor. The open position was.
A 7% trigger gave fewer round trips than the published 10% trigger, which is the opposite of what a looser entry should produce. The facts do not show why, so it stays a note on the data. The maximum drawdown in all four variants was between 75.89% and 79.38%. The tail position set it in every case.
How EEV behaved
| Measure | EEV |
|---|---|
| Data in this test | 2021-01-04 to 2026-10-02 (1430 sessions) |
| Total return, buy and hold | −65.5% |
| Annualized volatility | 40.5% |
| Deepest drawdown | −81.1% (2022-10-24 to 2026-06-22) |
| Up days | 48.6% |
| Average daily range | 1.54% |
| Average overnight gap | 1.54% |
| Correlation to SPY | -0.65 |
| Correlation to QQQ | -0.67 |
| Correlation to TLT | -0.09 |
| Sessions above the 200-day average | 32.7% |
| Crossings of the 200-day average | 44 |
| Falls of 10% or more from a 20-day high | 52 |
How EEV behaved
EEV is a thin fund. Over the window it had 1,430 sessions, an annualized volatility of 40.45% and a total return of -65.51%. It was up on 48.64% of days, with an average up day of 1.87% and an average down day of 1.9%. Its best day was 2026-06-05 at 12.76% and its worst was 2022-03-16 at a loss of 16.51%. The average daily range was 1.54% and the average overnight gap was 1.54%.
The fund tracked the minus 2 times target closely on a daily basis. Its realized beta to the underlying EEM was -2 and the R-squared was 0.97. EEM itself returned 46.91% over the window. Minus 2 times that is -93.81%, and a daily-rebalanced version would have returned -76.53%. EEV actually returned -65.51%, so the decay gap against the simple multiple was 28.3 points. The year-by-year numbers show the pattern. In 2022 EEM fell 20.64% and EEV gained 37.31%. In 2023 EEM gained 9.17% and EEV lost 13.24%. In 2025 EEM gained 33.91% and EEV lost 43.54%. In 2026 EEM has gained 24.37% and EEV has lost 42.27%.
Against US stocks the fund moved the opposite way, as expected. Its correlation to SPY was -0.65 and its beta was -1.6. Its correlation to QQQ was -0.67 and its beta was -1.2. Its correlation to TLT was -0.09. The funds that tracked it most closely were SOXS at 0.69, SQQQ at 0.67 and QID, PSQ and TECS at 0.67 and 0.66. Its least correlated fund was EEM at -0.98.
On the oscillators, the 14-day RSI closed below 30 on 61 sessions. After those, the median 5-day forward return was 1.24%, against a baseline of -0.44% for all sessions, and the median 20-day return was -1.06%, against -1.32%. The 2-day RSI closed below 10 on 198 sessions, with a median 5-day return of 0 and a median 20-day return of -0.53%. Dip buying had a small short-term edge here, with a baseline that was negative.
The fund spent 32.74% of sessions above its 200-day average and crossed it 44 times. It fell 10% or more from a 20-day high 52 times, over 384 sessions. That is how a rule that waits for such falls found nine entries in two years. The intraday log return was -143.49% and the overnight log return was 39.03%, so the loss came from the trading session. The average returns by calendar month on the EEV page were negative in January at 5.08%, May at 4.27% and November at 4.84%, and positive in September at 3.29%, though each month has five or six observations.
The rules
Wait for a 10% drawdown from the 20-day high, buy it, and take profit at +8%.
- WHEN the market opens · IF not invested AND the 20-day drawdown is worse than −10% · THEN buy with 98% of the sleeve
- WHILE invested · a managed limit order rests at entry price × 1.08
A rule-based buy-the-dip. The entry is a measured 10% drawdown inside the trailing 20 sessions, and the exit is a resting +8% limit order. Between signals the sleeve sits in cash, so the template can wait months for an entry.
Good for: assets that sell off hard and recover; it trades volatility without chasing strength.
Watch out: no stop-loss: if the dip keeps falling, the position rides it down until the +8% target is reached or the strategy is stopped. Trade counts are low, so single trades dominate results.
How the rules met this fund
The rule is built for assets that sell off hard and recover. EEV sells off hard and does not recover, because its path follows the daily compounding of an inverse position against a market that rose over the window. In the first two years the fund rose with each emerging markets decline, and the rule found a 10% pullback after each rally and sold at plus 8% shortly after. From November 2022 the fund trended lower, and the 8% target was never reached.
Against the other 11 strategies on EEV, the dip buyer ranked 8th. The RSI mean reversion rule led with a CAGR of 5% and a maximum drawdown of 56.79%, and the golden cross made 0.71%. The 200-day regime filter lost 5.6%, the weekly 7% target lost 6.19% and the RSI(2) snapback lost 5.9%. The dip buyer's 77.21% drawdown was the second deepest of the 12, behind the SMA 10/50 trend at 81.25%. On the dip buyer's own ranking across 59 funds, EEV came 49th.
Among inverse funds the dip buyer's median CAGR was -19.86%, against 1.33% across all 59 funds. TBF made 2.69% with a drawdown of 8.18%, SH lost 1.86% with a drawdown of 24.45%, and SDS lost 19.86%. SQQQ lost 39.18% with a drawdown of 96.05%, and SOXS lost 46.17%. EEV, at -9.92%, sat in the middle. The test covers one window and one fund, and the rule has no stop-loss, as its description says.
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
Did dip buyer beat buy-and-hold on EEV?
Over 2021-01-04 to 2026-10-02, dip buyer on EEV returned −9.9% annualized vs −16.1% for buy-and-hold: it beat buy-and-hold by 6.2% per year, with a maximum drawdown 2.9 points shallower than holding (77.2% vs 80.1%).
How many trades did it make?
9 completed round trips over 5.7 years (19 fills), with 100% of round trips closing profitably.
What counts as a 10% dip?
The engine computes the worst peak-to-trough move within the last 20 sessions. When it is deeper than −10%, the entry condition is met. Both the window and the threshold are editable parameters.
Did the dip buyer make money on EEV?
No. It turned $10,000 into $5,490, a total return of -45.1% and a CAGR of -9.92%, from 2021-01-04 to 2026-10-02. It closed 9 winning round trips and held one losing position at the end, marked at -76.87%.
How can the win rate be 100% with a loss?
The win rate counts closed round trips, and all 9 were winners of about 8% each. The position opened on 2022-11-07 at $44.71 never hit its target and is still open, so it is not in the count. Its mark of -76.87% drives the total loss.
How did the dip buyer compare with buy-and-hold on EEV?
It was better on each headline measure. The CAGR was -9.92% against -16.07%, the maximum drawdown was 77.21% against 80.06%, and the final value was $5,490 against $3,656. Both are losses on a fund that returned -65.51%.
What was the worst stretch?
The drawdown ran from 2022-11-09 to 2026-06-22 and reached 77.21%. It took 1,321 days to reach the low and had not recovered by 2026-10-02. The worst single month was April 2026, at a loss of 21.07%.
Did changing the drawdown trigger or the profit target help?
Moving the target to 6% gave the best variant at -6.35% and $6,863. A 7% trigger gave -13.25%, a 15% trigger gave -16.72%, and a 10% target gave -9.43%. Every variant won all of its closed trades and lost money overall.
Do trading costs change the result?
Slippage of 5 and 10 basis points gave final values of $5,693 and $5,655, both above the $5,490 headline. With 19 fills and one open position, the three runs are the same result within noise. The fund's thin trading, a median of 200 shares a minute, is a larger risk than the modelled costs.
Related
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.