Learn › Strategies › EMA 12/26 Trend › SGOV

EMA 12/26 Trend on SGOV

Q: Did EMA 12/26 trend beat buy-and-hold on SGOV?

Over 2021-01-04 to 2026-10-02, EMA 12/26 trend on SGOV returned 3.2% annualized vs 3.2% for buy-and-hold: it trailed buy-and-hold by 0.0% per year, with a maximum drawdown of 0.1% (buy-and-hold: 0.0%).

Q: How many trades did it make?

17 completed round trips over 5.7 years (35 fills), with 47% of round trips closing profitably.

Q: Is this the same as trading MACD signals?

It uses the MACD's underlying trend component. Classic MACD trades the signal-line crossover of the 12/26 spread. This template trades the spread's sign directly, which is simpler and can be built fully in blocks.

iShares 0-3 Month Treasury Bond ETF: T-bills, often used as the cash leg of rotation strategies. Backtest 2021-01-04 to 2026-10-02, $10,000 starting capital, computed by the same engine that runs live DeployQuant strategies.

Result: EMA 12/26 trend on SGOV turned $10,000 into $11,991 (19.9% total, 3.2% CAGR): it trailed buy-and-hold by 0.0% per year, with a maximum drawdown of 0.1% (buy-and-hold: 0.0%).

3.2%CAGR

3.2%buy & hold CAGR

−0.1%max drawdown

13.86Sharpe ratio

17round trips

47%win rate

■ EMA 12/26 trend ■ buy & hold, $10,000 invested 2021-01-04

Year by year

Year	EMA 12/26 trend	buy & hold
2021	0.0%	0.0%
2022	1.5%	1.5%
2023	5.0%	5.0%
2024	5.2%	5.2%
2025	4.1%	4.1%
2026	2.7%	2.7%

Month by month

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2021	0.0%	−0.0%	0.0%	0.0%	−0.0%	0.0%	0.0%	−0.0%	−0.0%	0.0%	0.0%	−0.0%
2022	0.0%	0.0%	0.0%	0.0%	0.1%	0.1%	0.1%	0.2%	0.2%	0.2%	0.3%	0.4%
2023	0.3%	0.3%	0.4%	0.3%	0.4%	0.5%	0.4%	0.5%	0.4%	0.4%	0.5%	0.4%
2024	0.4%	0.4%	0.4%	0.4%	0.5%	0.4%	0.4%	0.5%	0.4%	0.4%	0.4%	0.4%
2025	0.3%	0.3%	0.3%	0.3%	0.3%	0.3%	0.3%	0.4%	0.3%	0.3%	0.3%	0.3%
2026	0.3%	0.3%	0.3%	0.3%	0.3%	0.3%	0.3%	0.3%	0.3%	0.1%	–	–

Every trade

EMA 12/26 trend on SGOV made 17 closed round trips and one position still open at the end of the test, an average hold of 18 days, an average winner of 0.01%, an average loser of 0.00%, a profit factor of 0.75, a longest losing streak of 8. It held a position at the close on 95.0% of trading days.

Entry	Entry price	Exit	Exit price	Return	Days held
2021-02-10	$83.38	2021-05-10	$83.39	0.0%	89
2021-05-11	$83.39	2021-05-14	$83.39	0.0%	3
2021-05-17	$83.38	2021-05-18	$83.38	0.0%	1
2021-05-19	$83.39	2021-05-20	$83.39	0.0%	1
2021-05-26	$83.39	2021-05-27	$83.38	−0.0%	1
2021-06-01	$83.39	2021-08-12	$83.38	−0.0%	72
2021-08-17	$83.39	2021-08-18	$83.39	0.0%	1
2021-08-23	$83.39	2021-08-25	$83.39	0.0%	2
2021-09-01	$83.40	2021-09-28	$83.39	−0.0%	27
2021-09-30	$83.39	2021-10-01	$83.40	0.0%	1
2021-10-11	$83.40	2021-10-13	$83.39	−0.0%	2
2021-10-14	$83.38	2021-10-15	$83.39	0.0%	1
2021-10-25	$83.40	2021-10-26	$83.40	0.0%	1
2021-11-03	$83.39	2021-12-06	$83.39	0.0%	33
2021-12-07	$83.41	2021-12-09	$83.41	0.0%	2
2021-12-10	$83.41	2022-01-25	$83.41	0.0%	46
2022-01-27	$83.41	2022-02-16	$83.41	0.0%	20
2022-02-17	$83.41	open	–	20.4%	–

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.

Largest drawdowns

Peak	Low point	Depth	Days to low	Recovered	Days to recover
2021-08-04	2021-10-25	−0.1%	82	2022-03-30	156
2021-07-30	2021-08-02	−0.0%	3	2021-08-04	2
2021-03-02	2021-03-03	−0.0%	1	2021-03-04	1

Buy-and-hold's deepest drawdown ran from 2021-03-02 to 2021-03-03 and reached −0.0%.

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)	3.2%	−0.1%	$11,991	13.86
5 basis points	2.9%	−1.7%	$11,788	10.63
10 basis points	2.6%	−3.4%	$11,587	7.36

Changing the parameters

Version	CAGR	Max drawdown	Round trips	Win rate	Final value
Published rules	3.2%	−0.1%	17	47%	$11,991
EMA 8/21	3.2%	−0.1%	27	52%	$11,997
EMA 20/50	3.2%	−0.0%	4	50%	$11,995
EMA 12/50	3.2%	−0.1%	8	63%	$11,993

How SGOV behaved

Measure	SGOV
Data in this test	2021-01-04 to 2026-10-02 (1444 sessions)
Total return, buy and hold	20.5%
Annualized volatility	0.2%
Deepest drawdown	−0.0% (2021-03-01 to 2021-03-03)
Up days	69.0%
Average daily range	0.01%
Average overnight gap	0.01%
Correlation to SPY	-0.01
Correlation to QQQ	-0.01
Correlation to TLT	0.01
Sessions above the 200-day average	99.5%
Crossings of the 200-day average	10
Falls of 10% or more from a 20-day high	0

The rules

Hold while the 12-day exponential average is above the 26-day, the core of the MACD used as a position switch.

WHEN the market opens · IF not invested AND EMA(12) > EMA(26) · THEN buy with 98% of the sleeve
WHEN the market opens · IF invested AND EMA(12) < EMA(26) · THEN sell the whole position

The 12/26 exponential moving average pair is the core of the MACD indicator. Exponential averages weight recent days more than simple averages, so this crossover reacts faster than an SMA pair of the same length. Used as a long/flat switch, it gives you a position you can hold and measure.

Good for: traders who like MACD logic but want it expressed as a simple, testable long/flat rule.
Watch out: faster reaction means more trades and more whipsaws than a 50/200 cross; check the trade count on each backtest page.

Run EMA 12/26 trend on SGOV yourself, free →

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 EMA 12/26 trend beat buy-and-hold on SGOV?