DeployQuantGolden Cross (SMA 50/200) on SGOV
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.
The golden cross on SGOV produced one trade. It bought on 2021-10-19 at an adjusted $83.40 and was still holding on 2026-10-02, the last day of the test. There were no round trips, 1 fill, and no sell signal at any point. The $10,000 account ended at $11,993.45, a CAGR of 3.22% with a maximum drawdown of 0.02%.
Buy-and-hold on SGOV, the iShares 0-3 Month Treasury Bond ETF, ended at $11,995.79 with the same 3.22% CAGR and the same 0.02% drawdown. The two runs differ by $2.34 of end equity, and that gap comes from the stretch from 2021-01-04 to 2021-10-19 when the strategy waited in cash before its first buy. The strategy held the fund for 86.1% of sessions, against 100% for buy-and-hold.
SGOV is the cash leg that many rotation strategies park money in, so it is an unusual place to run a trend filter. The 50-day average sat above the 200-day for the rest of the window after the first buy, because the fund's price rose a little almost every month. The rule has nothing to react to. Its job on a fund like this is to say when to be in, and it said so once.
On this fund the golden cross ranked 1st of 12 templates, tied at 3.22% CAGR with the 200-day regime filter and the trend plus trailing stop. Across the 59 funds, SGOV ranked 28th for this strategy. The rules are on the golden cross strategy page and the fund's behaviour is on the SGOV page.
Year by year
| Year | golden cross | 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% |
Six years of near-identical results
The strategy returned 0% in 2021, 1.5% in 2022, 5% in 2023, 5.2% in 2024, 4.1% in 2025 and 2.7% so far in 2026. Buy-and-hold returned the same figures to one decimal place, and the gap is 0 in every year. No calendar year separates the two.
2021 is the year with zero because the strategy bought on 2021-10-19. SGOV itself returned 0.05% that year, so the part the strategy missed was worth almost nothing. The monthly figures for 2021 sit at 0 or -0.01% right through to the end of the year, with 0.01% in November and again in December. The fund's price barely moved in 2021, and the averages did not separate cleanly until October.
2022 returned 1.5%. The monthly path inside that year shows how the fund's return built through the year: 0 in January, 0.01% in February and March, 0.02% in April, 0.06% in May, 0.07% in June and July, 0.2% in August, 0.22% in September, 0.2% in October, 0.3% in November and 0.36% in December. Each month paid more than the last. A trend rule sees that as a smooth uptrend, and the 50-day average stays above the 200-day.
2023 and 2024 were the two best years at 5% and 5.2%. Every monthly return in those two years falls between 0.32% and 0.49%. The best month of the whole test was August 2023 at 0.49%, and the same month was also the best for buy-and-hold. 2025 returned 4.1%, with months between 0.30% and 0.37%. 2026 has run at 0.28% to 0.32% a month, and October 2026 shows 0.06% for the first days of the month. Returns eased after 2024, and the strategy followed them with no change in exposure.
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% | – | – |
One flat month at the start, then steady accrual
The best month was August 2023 at 0.49% and the worst was October 2021 at -0.01%. Buy-and-hold's best month was the same, and its worst was February 2021 at -0.01%. The strategy's worst month is the month it bought, which suggests the entry fill sat a hair above the next close. The loss is a hundredth of a percent.
No trade list exists to rank, because there is one open position. Its marked return is 20.43% from the 2021-10-19 entry. That figure differs from the account's total return of 19.93% because the account put 98% of the sleeve into the fund and held the rest as cash, and because the position return is measured from the entry day alone.
The months at or above 0.40% cluster between mid-2023 and the end of 2024. Since 2025 the monthly figures have drifted down to 0.28% to 0.37%. A reader looking for the seasonal pattern in this fund will not find one: the calendar-month averages of the fund run from 0.24% to 0.31%, which fits a return that changed slowly through the window.
Every trade
golden cross on SGOV made 0 closed round trips and one position still open at the end of the test. It held a position at the close on 86.1% of trading days.
| Entry | Entry price | Exit | Exit price | Return | Days held |
|---|---|---|---|---|---|
| 2021-10-19 | $83.40 | 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.
The trade list is one line
There is one row in the trade table, an entry on 2021-10-19 at $83.40 with no exit. Win rate, profit factor, average win, average loss, streaks and hold times all need closed trades, so they are blank on this page. The question of how a golden cross performs on a bill fund is answered by the one holding and not by a distribution of trades.
The prices are adjusted for splits and dividends, so $83.40 is lower than the quote a broker would have shown on the day. Adjusted prices fold distributions into the price series, which is why a bill fund shows a steady climb in the adjusted series.
The rule needs two conditions to buy: not invested, and SMA(50) above SMA(200). On 2021-10-19 both were true for the first time. From then on the sell test, which needs SMA(50) below SMA(200), never fired. The strategy has the lowest possible trade count that still counts as invested.
Fills tell the same story. There is 1 fill for the strategy and 1 for buy-and-hold, and so the cost runs have almost nothing to charge. That matters for the next two sections.
Largest drawdowns
| Peak | Low point | Depth | Days to low | Recovered | Days to recover |
|---|---|---|---|---|---|
| 2021-10-18 | 2021-10-20 | −0.0% | 2 | 2021-10-21 | 1 |
| 2021-10-22 | 2021-10-25 | −0.0% | 3 | 2021-11-01 | 7 |
| 2021-12-31 | 2022-01-04 | −0.0% | 4 | 2022-01-07 | 3 |
Buy-and-hold's deepest drawdown ran from 2021-03-02 to 2021-03-03 and reached −0.0%.
Three drawdowns of two hundredths of a percent
The three largest drawdowns for the strategy are each 0.02%. The first ran from a peak on 2021-10-18 to a low on 2021-10-20 and recovered on 2021-10-21. The second was 2021-10-22 to 2021-10-25, recovered on 2021-11-01 after 7 days. The third was 2021-12-31 to 2022-01-04, recovered on 2022-01-07. Every one of them is a few days long, and each starts within weeks of the entry.
Buy-and-hold's three are the same size and sit in different places: 2021-03-02 to 2021-03-03, 2021-07-30 to 2021-08-02 and 2021-08-04 to 2021-08-12. They recovered within 1, 2 and 4 days. The fund's own drawdown as a standalone series was -0.02% from 2021-03-01 to 2021-03-03, with recovery on 2021-03-04, and its longest drawdown lasted 11 sessions.
A 0.02% drawdown is below the precision of the price data, and a figure at that size reflects rounding in the daily series as much as any loss. The drawdown is the same for the strategy and for buy-and-hold, and the gap is 0. The Sharpe ratio is 14.14 for the strategy and 13.84 for the fund. Those numbers are large because annualized volatility is 0.24% and almost every month is positive, and they cannot be compared with Sharpe ratios on stock funds, where volatility is many times higher. The ratio is a statement about how small the denominator is.
No trend rule can add to risk protection here, because the fund does not have bear markets in the sense the rule is designed for. The golden cross exists to step aside from deep declines, and SGOV had none to step aside from.
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% | −0.0% | $11,993 | 14.13 |
| 5 basis points | 3.2% | −0.1% | $11,989 | 13.98 |
| 10 basis points | 3.2% | −0.1% | $11,984 | 13.72 |
One fill, almost no cost
At 5 basis points of slippage per fill the CAGR is 3.21% and the end equity $11,988.57. At 10 basis points the CAGR is 3.2% and the end equity $11,983.69. The maximum drawdown widens from 0.02% to 0.07% and then 0.12%, and the Sharpe ratio goes from 14.14 to 13.983 and 13.725.
The strategy made 1 fill, so each step of slippage is charged once. That is the lowest cost exposure any template can have. A rule that traded every week would pay the same rate on a hundred or more fills. The drawdown figures move more than the return does, because the entry fill is charged on a fund whose whole price range is tiny: a cost of that size is visible next to a 0.02% drawdown and invisible next to a 3% return.
SGOV had an average daily dollar volume of $532,191,384 and a median minute volume of 8,376 shares. A $10,000 sleeve is small against that. The cost runs apply the same slippage to every fund and the headline run applies none. Real spreads were not measured.
Changing the parameters
| Version | CAGR | Max drawdown | Round trips | Win rate | Final value |
|---|---|---|---|---|---|
| Published rules | 3.2% | −0.0% | 0 | – | $11,993 |
| SMA 40/200 | 3.2% | −0.0% | 0 | – | $11,993 |
| SMA 50/150 | 3.2% | −0.0% | 0 | – | $11,995 |
| SMA 60/250 | 3.2% | −0.0% | 0 | – | $11,995 |
Three variants, one answer
The page tests three variants of the moving-average windows. SMA 40/200 gave a CAGR of 3.22%, a drawdown of 0.02%, end equity of $11,993.45 and a Sharpe ratio of 14.135, with 0 trades. SMA 50/150 gave 3.22%, 0.02%, $11,994.62 and 14.016, with 0 trades. SMA 60/250 gave 3.22%, 0.02%, $11,994.62 and 14.243, with 0 trades.
The 40/200 run ended on exactly the same equity as the published 50/200 rule, which points to the same entry day. The 50/150 and 60/250 runs match each other at $11,994.62, slightly above the headline run, which suggests an earlier entry, though the facts for this page do not list those dates. A faster or slower average moves the entry by days, and the cost of those days is a dollar or two of end equity on either side.
None of the variants made a closed trade. The answer to the question of whether a different window would have sold at some point is no for these three. In six years none of the tested pairs produced a death cross on a fund whose price rose in almost every month.
The Sharpe ratio changes across the variants, from 14.016 to 14.243, and that is the one column with any spread. It reflects tiny differences in the entry date against a base of near-zero volatility. A ratio that moves that much with no change in return is a sign the metric has no discriminating power at this volatility. The returns are the part to read, and they are identical.
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 |
What SGOV did in this window
SGOV returned 20.47% over 1444 sessions, a CAGR of 3.3%, with annualized volatility of 0.24%. Its calendar returns were 0.05% in 2021, 1.57% in 2022, 5.12% in 2023, 5.29% in 2024, 4.23% in 2025 and 2.76% so far in 2026. It rose on 68.95% of sessions. The average up day was 0.02% and the average down day -0.01%, with an average intraday range of 0.01%.
The best days were 0.08% on 2023-04-05, then 0.07% on 2023-01-12, 2023-12-14, 2023-12-21 and 2023-12-28. The worst were -0.02% on 2021-03-03, 2021-10-12, 2021-08-02, 2021-08-17 and 2021-10-14. Both the best and the worst days are rounding-scale moves.
Nearly all of the return came overnight: the overnight log return was 17.73% and the intraday log return 0.88%, a split of 95.25% to 4.75%. The fund earns almost entirely between sessions and barely moves inside them. Beta to SPY, QQQ and TLT was 0, and the correlations were -0.01, -0.01 and 0.01. The closest co-movers in the library were IEI at 0.06, UDN at 0.05 and AGG at 0.04, and even those are close to zero.
The fund sat above its 200-day average for 99.52% of sessions and crossed the average 10 times. That is the number that explains the golden cross result: with price above the 200-day average on nearly every session, the faster average almost never dropped below the slower one. RSI(14) fell below 30 on 0 sessions and rose above 70 on 1085 of them. The RSI(2) fell below 10 on 17 sessions, with a median 5-day return of 0.01% and a 20-day return of 0.01%, against baselines of 0.07% and 0.32%. RSI levels on a fund this smooth say little, and the mean-reversion templates show it: four of them never traded and sit at 0% CAGR on this fund.
There were no 10% falls from a 20-day high at any point. The calendar-month averages run from 0.24% in February to 0.31% in August and December, over 5 or 6 observations each, and the day-of-week averages are 0.01% to 0.02%.
The rules
Hold while the 50-day average is above the 200-day; step aside when it crosses below (the death cross).
- WHEN the market opens · IF not invested AND SMA(50) > SMA(200) · THEN buy with 98% of the sleeve
- WHEN the market opens · IF invested AND SMA(50) < SMA(200) · THEN sell the whole position
A widely used trend filter. When the 50-day simple moving average is above the 200-day, the asset is in a long-term uptrend and the strategy holds. When it crosses below, the strategy moves to cash. It trades rarely, with a handful of signals per decade on an index. Its use is skipping the deepest bear markets, and it will lag some rallies.
Good for: long-horizon investors who want to hold trends but sidestep multi-year bear markets.
Watch out: crosses lag at turning points: the strategy gives back the first leg of a crash and misses the first leg of a recovery, and choppy sideways markets whipsaw it.
How the cross rule reads a bill fund
The two rules are a buy when SMA(50) is above SMA(200) and the strategy is not invested, and a sell when SMA(50) is below SMA(200) and it is invested. Both compare two averages of the same price series. On a fund whose price rises steadily, the shorter average is the higher one nearly all the time, so the buy fires once and the sell never does.
The ranking table puts the golden cross first of 12 on SGOV, tied with two others at 3.22%. The SMA 10/50 trend and the EMA 12/26 trend came next at 3.21% with a 0.05% drawdown, a small cost of their faster averages. The weekly 7% target returned 3.2% and the monthly cycle 2.98% with a 0.06% drawdown. The RSI(2) snapback managed 0.02%. The RSI mean reversion, dip buyer, momentum breakout and 3-month momentum all show 0%.
The category comparison shows what the rule does when the fund has real price swings. IGIB returned 1.84% with a 5.63% drawdown and 3 round trips, IEI 1.09% with 5.51% and 2, AGG 0.78% and BND 0.72% with 5 each, and IEF -0.29% with 8.52%. TLT returned -2.46% with a 20.58% drawdown. The median for the strategy across all 59 funds was 2.05%, and the median for bond funds 0.78%. SGOV's 3.22% is above both. The longer bond funds on the list had drawdowns of 5% to 20%, and SGOV's was 0.02%.
The limits are those of one window and one fund. The window is 5.74 years, and a different window could look different. The headline run has no fees, the strategy bought once, and the test says nothing about how the cross would behave on a fund that fell in price.
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 golden cross beat buy-and-hold on SGOV?
Over 2021-01-04 to 2026-10-02, golden cross on SGOV returned 3.2% annualized vs 3.2% for buy-and-hold: it beat buy-and-hold by 0.0% per year, with a maximum drawdown of 0.0% (buy-and-hold: 0.0%).
How many trades did it make?
0 completed round trips over 5.7 years (1 fills).
How often does a golden cross happen?
On a broad index, roughly every couple of years. The backtest pages show the exact trade count for each ETF over the 2021 to 2026 window.
Golden cross vs buy and hold: which does better?
It depends on the asset and the window. Every backtest page here shows the same-window buy-and-hold comparison.
Did the golden cross beat buy-and-hold on SGOV?
No, it matched it. Both returned a 3.22% CAGR with a 0.02% maximum drawdown. The strategy ended at $11,993.45 against $11,995.79 for buy-and-hold, because it spent the first part of 2021 in cash before buying on 2021-10-19.
How many trades did the golden cross make on SGOV?
One. It bought on 2021-10-19 at an adjusted $83.40 and never sold, so there are 0 closed round trips and 1 fill. The open position was up 20.43% at the end of the test.
Why did the golden cross never sell SGOV?
The sell rule needs the 50-day average to fall below the 200-day. SGOV's price rose in nearly every month, and the fund closed above its 200-day average on 99.52% of sessions, so the shorter average stayed on top.
Is SGOV a good fund for a golden cross strategy?
It tracks buy-and-hold closely because the rule has nothing to react to. The fund had annualized volatility of 0.24% and a worst drawdown of 0.02%. A trend filter earns its place on funds with deep declines, and SGOV did not have any in this window.
Do slippage costs change the golden cross result on SGOV?
Very little. With 1 fill, 5 basis points of slippage moves the CAGR from 3.22% to 3.21% and 10 basis points to 3.2%. End equity falls from $11,993.45 to $11,988.57 and $11,983.69.
Did changing the moving-average windows matter?
No. SMA 40/200, 50/150 and 60/250 all returned a 3.22% CAGR with 0 trades, and end equity ranged from $11,993.45 to $11,994.62. None of them produced a sell signal.
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.