DeployQuant3-Month Momentum Switch on IOO
iShares Global 100 ETF: 100 of the largest multinational companies in one ticker. Backtest 2021-01-04 to 2026-10-02, $10,000 starting capital, computed by the same engine that runs live DeployQuant strategies.
The 3-month momentum switch holds a fund while its trailing 63-day return is positive. Entry takes 98% of the sleeve once that return climbs past +5%, and the exit liquidates everything when it slips under 0%. Five points separate the two levels, which keeps a return sitting around zero from flipping the position day after day.
IOO is the iShares Global 100 ETF and holds 100 large multinational companies. Over these years it moved like a large-cap US index fund, with a 0.96 correlation to SPY and a 0.98 beta to SPY. It returned 151.07% over the 2021-01-04 to 2026-10-02 window, a CAGR of 17.39% on the fund's own series.
Starting from $10,000, the rule finished at $15,918, a total return of 59.18% and a CAGR of 8.43%. Holding the fund ended at $24,298 for a CAGR of 16.72%. That left the rule 8.29 points a year behind, and $8,379 lower at the end. Its worst drawdown was 15.47% where holding saw 23.03%, with Sharpe ratios of 0.84 and 1.05.
Eleven round trips closed and a twelfth stayed open at the end. Six of those 11 were winners, a 55% hit rate, and the profit factor came to 3.16. It was invested on 62.7% of trading days. This is the central trade-off of the test: a rule that wins more than half of its trades and has a profit factor above 3 still earned about half the CAGR of simply holding, because it spent more than a third of the window in cash while the fund rose.
The test covers a single 5.74 year window. Decisions are daily and fills happen at the open, and the headline run carries no fees, slippage or margin. The IOO fund page compares all 12 templates on this fund.
Year by year
| Year | 3-month momentum | buy & hold |
|---|---|---|
| 2021 | 8.8% | 26.5% |
| 2022 | −11.6% | −16.0% |
| 2023 | 20.4% | 27.1% |
| 2024 | 10.1% | 26.0% |
| 2025 | 17.9% | 26.5% |
| 2026 | 5.9% | 14.9% |
Each year against buy-and-hold
By calendar year the rule made 8.8% in 2021, -11.6% in 2022, 20.4% in 2023, 10.1% in 2024, 17.9% in 2025 and 5.9% in 2026 so far. Holding the fund made 26.5%, -16%, 27.1%, 26%, 26.5% and 14.9% over the same years. Only 2022 went the rule's way, by 4.4 points.
2021 started with cash. The 63-day return only crossed +5% on 2021-04-07, when the rule bought at an adjusted $62.72. April to August were all positive months, from 1.09% to 2.5%. The trade ran 177 days to 2021-10-01 and returned 6.36%. September then cost 4.45%, and the rule missed the fund's rally in the final months because the next entry did not come until 2021-11-17. The year ended at 8.8% against 26.5% for holding.
2022 is the one year the rule helped. The 2021-11-17 trade at $71.59 was closed on 2022-01-24 at $68.31 for a loss of 4.58%, and January 2022 shows -6.76%, the worst month of the run. Once that loss was booked, cash was the position from February through July. Buy-and-hold had a peak on 2022-01-04 and fell to a low on 2022-09-30, a 23.03% drawdown. The one misstep that year was the 2022-08-12 entry at $67.11, which was closed on 2022-08-29 for a loss of 5.04%, the worst single trade. It was a bear-market rally entry that failed within 17 days. The year ended at -11.6% against -16% for holding.
2023 returned 20.4% against 27.1%. The rule re-entered on 2022-12-27 at $61.57 and sold on 2023-02-27 at $63.9 for 3.78%. It bought again on 2023-03-22 and held 180 days to 2023-09-18 for 12.37%. January 2023 returned 5.93% and June 5.29%. Both trades won, which is why 2023 was the first clean year, but the fund's 2023 move had started before either entry.
2024 returned 10.1% against 26%, a gap of 15.9 points. The long trade from 2023-11-21 at $75.86 to 2024-08-08 at $89.17 returned 17.55%, but it ended just after the fund's 2024-07-10 peak, and the next two trades were small. The 2024-08-19 entry lost 3.63% in 21 days. The 2024-10-23 entry returned 0.46% over 84 days. August, September and October 2024 shows -4.41%, -4.44% and -3.03%, so the rule was invested through a full quarter of losses.
2025 returned 17.9% against 26.5%. The January and February exposure was flat to slightly negative, and the entry on 2025-02-05 lost 2.43% when the exit came on 2025-03-07. After that the rule was in cash through April and May, which is the 2025-04 period where the fund's worst days sat, 2025-04-04 at -5.77% and 2025-04-03 at -4.78%. It re-entered on 2025-06-10 at $103.6, after the best day in the data on 2025-04-09 at 9.75% had passed, and held to 2026-02-17 for the best trade of the run at 20.68%. June to October 2025 returned between 2.57% and 4.89% a month.
2026 so far is 5.9% against 14.9%. A 9-day trade from 2026-02-23 lost 2.52%. The open position since 2026-04-23 at $132.16 is marked at 9.63%. May 2026 returned 5.68% and June lost 3.91%.
Month by month
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2021 | 0.0% | 0.0% | 0.0% | 2.1% | 1.1% | 2.2% | 2.5% | 2.5% | −4.5% | 0.4% | −1.9% | 4.5% |
| 2022 | −6.8% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | −4.9% | 0.0% | 0.0% | 0.0% | −0.3% |
| 2023 | 5.9% | −1.8% | 2.6% | 3.8% | 0.3% | 5.3% | 2.5% | −1.5% | −1.2% | 0.0% | −0.0% | 3.3% |
| 2024 | 2.0% | 4.8% | 3.6% | −2.4% | 6.5% | 4.4% | −0.4% | −4.4% | −4.4% | −3.0% | 3.2% | 0.7% |
| 2025 | −0.3% | −0.2% | −2.2% | 0.0% | 0.0% | 3.0% | 3.6% | 2.6% | 4.6% | 4.9% | 0.7% | 0.1% |
| 2026 | 1.7% | −3.3% | −1.6% | 1.7% | 5.7% | −3.9% | 3.4% | 1.9% | −0.1% | 0.6% | – | – |
Every trade
3-month momentum on IOO made 11 closed round trips and one position still open at the end of the test, an average hold of 106 days, an average winner of 10.20%, an average loser of −3.64%, a profit factor of 3.16, a longest losing streak of 2. It held a position at the close on 62.7% of trading days.
| Entry | Entry price | Exit | Exit price | Return | Days held |
|---|---|---|---|---|---|
| 2021-04-07 | $62.72 | 2021-10-01 | $66.71 | 6.4% | 177 |
| 2021-11-17 | $71.59 | 2022-01-24 | $68.31 | −4.6% | 68 |
| 2022-08-12 | $67.11 | 2022-08-29 | $63.73 | −5.0% | 17 |
| 2022-12-27 | $61.57 | 2023-02-27 | $63.90 | 3.8% | 62 |
| 2023-03-22 | $65.34 | 2023-09-18 | $73.42 | 12.4% | 180 |
| 2023-11-21 | $75.86 | 2024-08-08 | $89.17 | 17.6% | 261 |
| 2024-08-19 | $95.30 | 2024-09-09 | $91.84 | −3.6% | 21 |
| 2024-10-23 | $98.52 | 2025-01-15 | $98.97 | 0.5% | 84 |
| 2025-02-05 | $100.38 | 2025-03-07 | $97.94 | −2.4% | 30 |
| 2025-06-10 | $103.60 | 2026-02-17 | $125.02 | 20.7% | 252 |
| 2026-02-23 | $128.07 | 2026-03-04 | $124.84 | −2.5% | 9 |
| 2026-04-23 | $132.16 | open | – | 9.6% | – |
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.
Eleven trades and one open position
The trade list is short. Holds averaged 105.5 days with a median of 68, a longest of 261 days and a shortest of 9. The median trade returned 0.46%. The mean is higher than the median because a few long winners carry the result: the average winner gained 10.2% and the average loser lost 3.64%. The best trade was 20.68% and the worst was -5.04%.
Four trades made most of the gain: 20.68% from June 2025 to February 2026, 17.55% from November 2023 to August 2024, 12.37% in 2023 and 6.36% in 2021. Each lasted at least 177 days. The other seven closed trips returned between -5.04% and 3.78%, and five of them lost money.
Wins came at most 3 in a row and losses at most 2 in a row. The per-year record shows 2022 with two round trips and no wins, 2023 with two and two wins, and every other year with one win in two or in one.
A slow signal produces this pattern. The 63-day return needs a quarter of history, so entries arrive once the fund is already up at least 5% and exits arrive once it has already dropped. The best trades capture the middle of a long advance. The worst trades are the ones where the entry came late and the fund turned within a few weeks, such as 2022-08-12, 2024-08-19 and 2026-02-23, all of which lost between 2.52% and 5.04%.
There were 12 lines in the full list: 11 closed and one open. With so few trades, a single trade moves the totals. Removing the 20.68% winner would take the result well below the 8.43% CAGR, and the sample is too small to attach a confidence figure to any of the averages.
Largest drawdowns
| Peak | Low point | Depth | Days to low | Recovered | Days to recover |
|---|---|---|---|---|---|
| 2024-07-10 | 2025-06-20 | −15.5% | 345 | 2025-10-24 | 126 |
| 2021-09-03 | 2022-12-28 | −14.7% | 481 | 2023-06-15 | 169 |
| 2026-06-02 | 2026-06-26 | −6.7% | 24 | 2026-08-04 | 39 |
Buy-and-hold's deepest drawdown ran from 2022-01-04 to 2022-09-30 and reached −23.0%.
Where the shallower drawdown came from
The rule's deepest drawdown was 15.47%. It started at a peak on 2024-07-10 and bottomed on 2025-06-20, 345 days later. Recovery came on 2025-10-24, 126 days later. That peak is the day the fund topped out in July 2024, and the rule held through August, September and October before the next exit. The fund itself had a smaller drawdown in that period, 10.99% from 2024-07-10 to 2024-08-05, so the rule's longer drawdown came from the slow exit and then the slow re-entry.
The second drawdown was 14.66%, from 2021-09-03 to 2022-12-28, and it took 481 days to reach the low. It recovered on 2023-06-15. The third was 6.66%, from 2026-06-02 to 2026-06-26, and recovered by 2026-08-04.
Buy-and-hold fell 23.03% from 2022-01-04 to 2022-09-30 and took until 2023-07-13 to recover. It also fell 18.84% from 2025-02-20 to 2025-04-08. The rule's maximum drawdown was 7.56 points shallower than holding. Most of that difference comes from the 2022 sequence, where the rule exited on 2022-01-24 and stayed out until the August entry.
The rule did not miss the 2025 spring crash entirely by design. It exited on 2025-03-07 after a 30-day loss of 2.43%, which was before the fall. The exit signal fired on the 63-day return turning negative, which happened to precede the sharpest days.
A Sharpe ratio of 0.84 sits under the 1.05 for holding, which means the shallower drawdown bought no better return per unit of risk here. The calmer path is the benefit and the lower CAGR is the cost.
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) | 8.4% | −15.5% | $15,918 | 0.84 |
| 5 basis points | 8.2% | −15.8% | $15,755 | 0.82 |
| 10 basis points | 8.0% | −16.1% | $15,574 | 0.80 |
Slippage on 23 fills
The rule makes 23 fills in the window, which is few, and the cost runs reflect that. Charging 5 basis points of slippage on each fill gave a CAGR of 8.24%, the drawdown was 15.83% and the final value was $15,755. With 10 basis points the CAGR was 8.02%, the drawdown was 16.15% and the final value was $15,574. The Sharpe ratio moved from 0.84 to 0.822 and then 0.803.
Each 5 basis point step costs a fraction of one CAGR point. Slow rules pay little for trading costs because they trade rarely. The 11 round trips over about five and a half years work out to a couple of trades a year.
IOO trades enough volume for that size. The data shows average daily dollar volume of $12,315,232 and a median minute volume of 306 shares, lower than the largest index funds like SPY or VOO. A $10,000 order is small beside those figures. The slippage runs use fixed assumptions rather than measured spreads.
Changing the parameters
| Version | CAGR | Max drawdown | Round trips | Win rate | Final value |
|---|---|---|---|---|---|
| Published rules | 8.4% | −15.5% | 11 | 55% | $15,918 |
| Enter above 0% | 9.6% | −23.0% | 28 | 46% | $16,934 |
| Enter above 10% | 7.3% | −12.2% | 7 | 86% | $14,986 |
| Enter above 15% | 4.6% | −10.9% | 3 | 100% | $12,960 |
What a different entry threshold did
Three variants move the entry threshold and leave the exit at 0%.
Entering above 0% in place of +5% produced 28 round trips and 13 wins. CAGR rose to 9.61%, the final value was $16,934, the Sharpe ratio was 0.877, and the maximum drawdown was 22.98%. This is the fastest version: it enters on any positive quarter, so it was in the market more, giving a higher return and a deeper drawdown than the published rules. The entry and exit were at the same level, so the buffer was gone and the trade count more than doubled.
An entry above 10% produced 7 round trips and 6 wins, a CAGR of 7.3%, a drawdown of 12.18%, a final value of $14,986 and a Sharpe ratio of 0.83.
Entering above 15% made 3 round trips and won all 3. The CAGR was 4.62%, the drawdown was 10.92%, the final value was $12,960 and the Sharpe ratio was 0.671. Three winning trades out of three looks excellent and means almost nothing, since the rule was in cash for most of the window.
The pattern is a straight line. A lower threshold buys earlier, stays invested longer, and earns more with a deeper drawdown. A higher threshold waits, avoids more of the weakness and misses more of the gain. None of the three variants closes the gap to buy-and-hold at 16.72%, and the best of them, the 0% entry, is still well short in CAGR. The fund trended up for most of the window, so any rule that spends time in cash gave up return.
Picking the 0% variant because it has the best CAGR would be fitting to one window. The table is better read as a map of the trade-off between time in the market and drawdown.
How IOO behaved
| Measure | IOO |
|---|---|
| Data in this test | 2021-01-04 to 2026-10-02 (1444 sessions) |
| Total return, buy and hold | 151.1% |
| Annualized volatility | 16.6% |
| Deepest drawdown | −23.5% (2022-01-04 to 2022-09-30) |
| Up days | 53.8% |
| Average daily range | 1.10% |
| Average overnight gap | 0.47% |
| Correlation to SPY | 0.96 |
| Correlation to QQQ | 0.93 |
| Correlation to TLT | 0.07 |
| Sessions above the 200-day average | 80.2% |
| Crossings of the 200-day average | 30 |
| Falls of 10% or more from a 20-day high | 10 |
How IOO behaved in the data
IOO finished higher on 53.78% of days, with an average up day of 0.77% and an average down day of -0.76%. Annualized volatility was 16.65%. The deepest drawdown, -23.49%, ran from 2022-01-04 to 2022-09-30, and the longest underwater stretch lasted 380 sessions. Calendar returns ran 27.15% in 2021, -16.34% in 2022, 27.76% in 2023, 26.51% in 2024, 26.94% in 2025 and 15.04% in 2026 so far.
Five of six calendar years were large gains, and only 2022 fell. On 80.24% of sessions the fund stood above its 200-day average, and it crossed that line 30 times. A fund with that profile rewards being invested and punishes any rule that exits. The only year in which the rule beat holding was the one year the fund fell.
Trend persistence is not strong at the daily level. Lag-1 autocorrelation measured -0.03, near zero and a shade negative. A trailing three-month return works on slower persistence than a day-to-day measure. In this window the fund's trends were long and its pullbacks were short: 10 events took the fund down 10% or more from a 20-day high, covering only 19 days in total. The rule's exit signal needs a full 63-day return below zero, and short pullbacks of this kind often recover before the signal turns.
RSI readings give a similar picture. RSI(14) dipped under 30 on only 12 sessions and sat over 70 on 136. After the 12 oversold sessions, the median 5-day forward return was 3.62% and the 20-day median was 6.32%, against baselines of 0.45% and 1.78%. The sample is small. A fund that spends many more days overbought than oversold is one where trend-following exits cost return.
The fund moves with the US market and against the inverse funds: its correlation with SPY was 0.96 and with QQQ 0.93, and the fund was most correlated with VOO, SPY, SSO, VV and SPUU, all at 0.96. Its beta to QQQ was 0.69 and its beta to TLT was 0.07.
Overnight moves made up 58.05% of the fund's log return and the trading session 41.95%, and the average overnight gap was 0.47%. Because the rule fills at the open, it captures the overnight gap only on days when it is already invested.
Seasonality in the data is mixed: September averaged -2.19% over six years while May averaged 3.62% and November 3.7%. Each month has only five or six observations, so these describe this window and nothing more.
The rules
Hold while the trailing 3-month return is positive (above +5% to enter, below 0% to exit).
- WHEN the market opens · IF not invested AND the 63-day return > +5% · THEN buy with 98% of the sleeve
- WHEN the market opens · IF invested AND the 63-day return < 0% · THEN sell the whole position
Time-series momentum on a quarterly lookback, the horizon much of the academic momentum literature uses. The template enters after a +5% three-month run and exits when the same measure turns negative. The gap between entry (+5%) and exit (0%) is a buffer against flip-flopping around a single threshold.
Good for: assets with long, persistent cycles, such as index, sector and managed-futures ETFs.
Watch out: a three-month lookback is slow; V-shaped crashes and recoveries can see it exit near the bottom and re-enter well off the low.
How a quarterly lookback meets a steady uptrend
The template is time-series momentum with a lookback of about three months, the horizon the strategy page ties to much of the academic literature. It suits assets with long, persistent cycles and has a stated weakness: a V-shaped crash and recovery can push it out near the bottom and back in well above the low.
IOO had one clear V in this window. The 2025 spring drop and recovery produced the fund's best day, 9.75% on 2025-04-09. The rule had exited a month earlier, on 2025-03-07, and re-entered on 2025-06-10. The drop was avoided and so was the first leg of the rebound. That one episode shows both halves of the trade-off in a single stretch.
Among the 12 templates run on this fund, this one placed 9th at 8.43%. The monthly cycle returned 15.8%, the weekly 7% target 14.9% and the RSI(2) snapback 14.04% with an 11.7% drawdown. The golden cross returned 12.39% and the 200-day regime filter 11.2%. Below this rule sat the dip buyer at 8.28%, the momentum breakout at 7.35% and RSI mean reversion at 4.46%. Trend switches that exit and re-enter slowly came in the middle, and rules with more time invested did better on this fund.
Across the 59 funds, this strategy ranked IOO 11th. Within the broad index category, IOO sat 2nd of 12 at 8.43%, behind VOOG at 8.8% and just ahead of VOO at 8.25% and SPY at 8.21%. The category median was 8%. QQQ returned 8.21% with a 21.53% drawdown, deeper than IOO's 15.47%. Small caps and emerging markets fared worse: IWM returned -1.59% and EEM -1.62%. The broad index funds clustered tightly, which suggests the rule's result came from its timing and less from the fund.
The limits: a single 5.74 year window in which the fund mostly rose, daily decisions, no costs in the headline run, 11 closed trades, and an open position valued at the last close. The result covers this period only.
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 3-month momentum beat buy-and-hold on IOO?
Over 2021-01-04 to 2026-10-02, 3-month momentum on IOO returned 8.4% annualized vs 16.7% for buy-and-hold: it trailed buy-and-hold by 8.3% per year, with a maximum drawdown 7.6 points shallower than holding (15.5% vs 23.0%).
How many trades did it make?
11 completed round trips over 5.7 years (23 fills), with 55% of round trips closing profitably.
Why 63 days?
63 trading days is about one quarter, a common momentum lookback. You can sweep it in DeployQuant to see how the horizon changes results.
Did the quarterly momentum rule outperform holding IOO?
No. It compounded at 8.43% and finished at $15,918, while holding compounded at 16.72% and finished at $24,298. Only 2022 favoured the rule, by 4.4 points. Its maximum drawdown was 15.47% against 23.03%.
How often did the rule trade IOO?
There were 11 closed round trips plus one open position, 23 fills in all. Six of the 11 won, a win rate of 55%, with a profit factor of 3.16. The average hold was 105.5 days.
Why does the rule enter above 5% and exit below 0%?
The gap between the two levels is a buffer. It stops the rule from flipping in and out when the 63-day return hovers near one threshold. In the variants, entering at 0% made 28 round trips and entering at 15% made 3.
What happened in April 2025?
The rule had sold on 2025-03-07 and stayed in cash through April and May. IOO's worst days of the window were 2025-04-04 at -5.77% and 2025-04-03 at -4.78%, and its best day was 2025-04-09 at 9.75%. The rule re-entered on 2025-06-10.
How much do trading costs matter for this rule?
Very little. Adding 5 basis points of slippage per fill, the CAGR fell from 8.43% to 8.24%. At 10 basis points it was 8.02%. The rule makes few trades, so each cost step takes a small slice of return.
Is IOO a good fund for momentum rules?
In this window IOO ranked 11th of 59 funds for this rule and 2nd within the broad index category. The fund trended up in five of six years, which favours holding. See the [IOO fund page](/learn/etf/ioo/) for all 12 templates.
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.