DeployQuant200-Day SMA Regime Filter on VOOV
Vanguard S&P 500 Value ETF: the value half of the S&P 500. Backtest 2021-01-04 to 2026-10-02, $10,000 starting capital, computed by the same engine that runs live DeployQuant strategies.
The 200-day regime filter buys when yesterday's close is above the 200-day average and sells when it is below. On VOOV, the Vanguard S&P 500 Value ETF, it ran from 2021-01-04 to 2026-10-02 and turned $10,000 into $12,741, a CAGR of 4.31% with a maximum drawdown of 18.45% and a Sharpe of 0.49. Buy-and-hold on VOOV ended at $19,762, a CAGR of 12.60%, with a 17.62% drawdown and a Sharpe of 0.95. The rule trailed the fund on every measure and did not beat it in any of the six calendar years.
The strategy made 22 closed round trips and has 1 position open at the end of the data, bought on 2025-06-24 at an adjusted 181.77 and showing 21.96%. Of the 22 closed trades, 5 won, a win rate of 23%. The average win was 6.59% and the average loss was -1.47%, with a profit factor of 1.22. The best trade returned 23.14%, and the worst lost 3.03%. Exposure was 71.1%.
A 23% win rate and a profit factor above 1 look contradictory. They fit together because the losses were many and small and the wins were few and large. The longest losing streak was 7 trades, and the strategy still finished with a positive return. What it could not do was make up the return the fund earned while the rule sat in cash or waited for a signal.
The template ranks 9th of 12 on VOOV by CAGR. VOOV ranks 23rd of 59 funds for this template. The template's median CAGR across all 59 funds was 1.84%, and within the broad index group it was 8.30%, so 4.31% is above the all-fund median and below the group median. VOOV made the most round trips of any broad index fund for this rule, at 22.
Every figure comes from one backtest of 5.74 years with no fees in the headline run. That window holds a single bear market, 2022. The cost runs further down add 5 and 10 basis points to the 45 fills.
Year by year
| Year | 200-day regime filter | buy & hold |
|---|---|---|
| 2021 | 2.0% | 25.8% |
| 2022 | −16.1% | −5.2% |
| 2023 | 16.2% | 21.7% |
| 2024 | 11.9% | 12.0% |
| 2025 | 4.7% | 12.9% |
| 2026 | 9.4% | 9.5% |
Year by year against buy-and-hold
The strategy lagged the fund in all six years, and the size of the lag changes with what the rule was doing.
2021 returned 2.0% for the strategy and 25.8% for buy-and-hold, a gap of 23.8 points, the widest of the window. The first entry came on 2021-10-19 at an adjusted 132.27, and the strategy was in cash until then. The 200-day average needs 200 sessions of data and the window begins on 2021-01-04, so the first entry is consistent with the rule waiting for the average to exist. That cost the strategy most of the fund's 2021 gain. The first trade closed on 2021-12-02 at 128.26 for -3.03%, the worst trade of the run. A second trade opened the next day at 130.92.
2022 returned -16.1% against -5.2%, so the strategy lost 10.9 points more than the fund in the one year the fund fell. This is the year that matters for a regime filter, and the filter made the loss worse. The strategy made 11 round trips in 2022 and won 2. The sequence was February to March at -0.11%, March at -2.58% in 5 days, March to April at -0.32%, then -2.27% in 3 days, -2.06% in 1 day, 0.25% in 1 day and -1.01% in 1 day. Each entry came after a close above the average and each exit after a close below it, and the fund moved back across the line within days. The monthly figures were February -4.56%, April -5.80% and December -4.93%, while buy-and-hold lost 17.62% peak to trough from 2022-04-20 to 2022-09-30.
The strategy did avoid some of the autumn. It was in cash in September and October 2022, both months at 0%, while the fund's worst month was September 2022 at -8.25% and its best was October at 11.15%. The filter sat out the worst month and the best one.
2023 returned 16.2% against 21.7%, trailing by 5.5 points. January returned 6.80%, the best month of the run. The long trade of the year opened on 2022-12-21 at 129.82 and closed on 2023-09-28 at 139.88 for 7.75% over 281 days. Then 3 short trades in the autumn lost 2.18%, 0.08% and 0.22%. The next entry, on 2023-11-03, started the best trade of the run.
2024 returned 11.9% against 12.0%, trailing by 0.1 points. This is the closest year. The 2023-11-03 position at 142.89 was open through all of 2024 and closed on 2025-01-13 at 175.95 for 23.14% over 437 days. December 2024 returned -6.68%, the worst month of the run, inside that position.
2025 returned 4.7% against 12.9%, a gap of 8.2 points. The rule re-entered on 2025-01-14 at 177.92, sold on 2025-03-11 at 178.49 for 0.32%, and then took 4 more small trades that returned -2.15%, -1.37%, -0.53% and -0.54%. March returned -5.27%. The open position began on 2025-06-24 at 181.77. The fund had a drawdown of 17.21% from 2024-11-29 to 2025-04-08, and the strategy's own was 11.90% from the same peak to 2025-06-18.
2026 through 2026-10-02 returned 9.4% against 9.5%, a gap of 0.1 points. The open position was held all year, with no signals. March returned -4.50% and September -3.03%, and April returned 5.78%.
The strategy came closest to the fund in 2024 and 2026, the two years it held one position all year. It trailed by wide margins in the years with many entries and exits, or in a year when it was waiting in cash.
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% | 0.6% | −3.2% | 4.8% |
| 2022 | −1.7% | −4.6% | −0.3% | −5.8% | −1.9% | −0.6% | 0.0% | −1.4% | 0.0% | 0.0% | 4.1% | −4.9% |
| 2023 | 6.8% | −2.9% | 1.3% | 1.7% | −1.8% | 6.6% | 3.4% | −2.8% | −5.8% | −1.3% | 5.5% | 5.4% |
| 2024 | 0.2% | 2.9% | 4.5% | −4.2% | 3.0% | −0.7% | 4.6% | 2.9% | 1.1% | −1.2% | 5.7% | −6.7% |
| 2025 | 1.7% | 0.4% | −5.3% | 0.0% | −1.3% | 0.4% | 0.9% | 3.3% | 1.7% | 1.2% | 1.5% | 0.3% |
| 2026 | 2.5% | 2.2% | −4.5% | 5.8% | 1.9% | −0.0% | 2.0% | 2.0% | −3.0% | 0.6% | – | – |
The months that carried the result
The best month was January 2023 at 6.80% and the worst was December 2024 at -6.68%. Buy-and-hold had its best month in October 2022 at 11.15% and its worst in September 2022 at -8.25%. The strategy was in cash for both.
Positive months for the strategy include 6.64% in June 2023, 5.78% in April 2026, 5.65% in November 2024, 5.50% and 5.43% in November and December 2023, and 4.76% in December 2021. Negative months include -5.84% in September 2023, -5.80% in April 2022, -5.27% in March 2025 and -4.93% in December 2022.
The monthly record of 2022 reads as a sequence of small losses: January -1.66%, February -4.56%, March -0.34%, April -5.80%, May -1.88%, June -0.57% and August -1.45%. July, September and October were zero. The rule was invested for parts of 7 of those months and lost in all of them. November 2022 returned 4.12% from a 1-day trade, 2022-11-09 to 2022-11-10, and the loss in December -4.93% came from the entry on 2022-11-11 at 132.14, sold on 2022-12-20 at 128.25.
The fund's own month-of-year averages come from 5 or 6 observations each. September averaged -2.79%, while November averaged 3.90%, October 2.88% and July 2.96%. The strategy does not use the calendar, and its September 2023 loss of 5.84% and September 2026 loss of 3.03% fall in the month the fund averaged its worst.
Every trade
200-day regime filter on VOOV made 22 closed round trips and one position still open at the end of the test, an average hold of 47 days, an average winner of 6.59%, an average loser of −1.47%, a profit factor of 1.22, a longest losing streak of 7. It held a position at the close on 71.1% of trading days.
| Entry | Entry price | Exit | Exit price | Return | Days held |
|---|---|---|---|---|---|
| 2021-10-19 | $132.27 | 2021-12-02 | $128.26 | −3.0% | 44 |
| 2021-12-03 | $130.92 | 2022-02-24 | $128.09 | −2.2% | 83 |
| 2022-02-28 | $132.46 | 2022-03-02 | $132.31 | −0.1% | 2 |
| 2022-03-03 | $134.73 | 2022-03-08 | $131.26 | −2.6% | 5 |
| 2022-03-16 | $133.24 | 2022-04-27 | $132.81 | −0.3% | 42 |
| 2022-04-29 | $134.31 | 2022-05-02 | $131.26 | −2.3% | 3 |
| 2022-05-05 | $134.12 | 2022-05-06 | $131.36 | −2.1% | 1 |
| 2022-05-31 | $133.23 | 2022-06-01 | $133.56 | 0.3% | 1 |
| 2022-06-08 | $133.07 | 2022-06-09 | $131.72 | −1.0% | 1 |
| 2022-08-15 | $132.23 | 2022-08-23 | $130.24 | −1.5% | 8 |
| 2022-11-09 | $128.37 | 2022-11-10 | $130.28 | 1.5% | 1 |
| 2022-11-11 | $132.14 | 2022-12-20 | $128.25 | −2.9% | 39 |
| 2022-12-21 | $129.82 | 2023-09-28 | $139.88 | 7.8% | 281 |
| 2023-09-29 | $141.86 | 2023-10-03 | $138.77 | −2.2% | 4 |
| 2023-10-10 | $140.82 | 2023-10-16 | $140.71 | −0.1% | 6 |
| 2023-10-17 | $140.73 | 2023-10-19 | $140.42 | −0.2% | 2 |
| 2023-11-03 | $142.89 | 2025-01-13 | $175.95 | 23.1% | 437 |
| 2025-01-14 | $177.92 | 2025-03-11 | $178.49 | 0.3% | 56 |
| 2025-03-25 | $180.68 | 2025-03-31 | $176.80 | −2.1% | 6 |
| 2025-05-19 | $179.09 | 2025-05-22 | $176.63 | −1.4% | 3 |
| 2025-06-11 | $181.55 | 2025-06-16 | $180.58 | −0.5% | 5 |
| 2025-06-17 | $180.28 | 2025-06-18 | $179.31 | −0.5% | 1 |
| 2025-06-24 | $181.77 | open | – | 22.0% | – |
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 22 closed trades and the open one
Most trades are small. The median trade returned -0.54% and the median hold was 5 days. The shortest hold was 1 day and the longest was 437.
The five best trades are: - 2023-11-03 to 2025-01-13, 23.14% over 437 days - 2022-12-21 to 2023-09-28, 7.75% over 281 days - 2022-11-09 to 2022-11-10, 1.49% in 1 day - 2025-01-14 to 2025-03-11, 0.32% over 56 days - 2022-05-31 to 2022-06-01, 0.25% in 1 day
The five worst are -3.03% from 2021-10-19, -2.94% from 2022-11-11, -2.58% from 2022-03-03, -2.27% from 2022-04-29 and -2.18% from 2023-09-29. No loss was larger than about 3%, because the rule exits as soon as the close falls under the average and does not wait for a deeper fall.
The first two trades of the record are a pair that show the pattern. The strategy bought on 2021-10-19 at 132.27 and sold on 2021-12-02 at 128.26. It bought again on 2021-12-03 at 130.92 and sold on 2022-02-24 at 128.09. Each time it bought above the average and sold below it, and each time it paid the gap between the two prices.
By exit year the round trips and wins were 1 and 0 in 2021, 11 and 2 in 2022, 4 and 1 in 2023, and 6 and 2 in 2025. There were no closed trades in 2024 or 2026, because one position covered each year.
The two long winners made nearly all of the profit. Without the 23.14% and 7.75% trades, the many small losses in the rest of the list would have left the strategy at a loss. The open trade from 2025-06-24 at 181.77 shows 21.96% at the end of the data and is not part of the 22 closed trades.
The prices quoted for these trades are adjusted for splits and dividends, so they sit below the historical quotes.
Largest drawdowns
| Peak | Low point | Depth | Days to low | Recovered | Days to recover |
|---|---|---|---|---|---|
| 2022-01-12 | 2022-12-28 | −18.4% | 350 | 2024-03-06 | 434 |
| 2024-11-29 | 2025-06-18 | −11.9% | 201 | 2026-01-09 | 205 |
| 2026-02-27 | 2026-03-27 | −6.1% | 28 | 2026-04-30 | 34 |
Buy-and-hold's deepest drawdown ran from 2022-04-20 to 2022-09-30 and reached −17.6%.
Drawdowns
The three deepest drawdowns were 18.45%, 11.90% and 6.12%. Buy-and-hold had 17.62%, 17.21% and 10.76%.
The deepest ran from a peak on 2022-01-12 to a trough on 2022-12-28, 350 days later, and recovered on 2024-03-06 after another 434 days. It is a drawdown made of many small losses rather than one fall. It covers the 2022 trades, and the equity curve fell steadily through the year, then recovered when the long trade from December 2022 ran. The fund's own drawdown from 2022-04-20 to 2022-09-30 was 17.62% and recovered on 2023-02-01 after 124 days, which is far faster than the strategy's recovery.
The second, 11.90%, ran from 2024-11-29 to 2025-06-18, 201 days, and recovered on 2026-01-09 after 205 days. It sits inside the 2025 trades and is shallower than the fund's 17.21% over a similar span, so this is the one episode where the filter helped. The third, 6.12%, ran from 2026-02-27 to 2026-03-27 and recovered on 2026-04-30.
The maximum drawdown was 0.83 points deeper than the fund's. A regime filter is meant to cut drawdown, and on VOOV in this window it cut none at the maximum, because the 2022 decline was shallow and choppy and the filter lost money in the chop. The test stops at this one window, which contains only one bear market.
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) | 4.3% | −18.4% | $12,741 | 0.48 |
| 5 basis points | 3.9% | −19.3% | $12,475 | 0.45 |
| 10 basis points | 3.5% | −20.2% | $12,206 | 0.41 |
Cost runs
At 5 basis points per trade the CAGR was 3.93%, the max drawdown 19.27% and the ending equity $12,475. At 10 basis points the CAGR was 3.53%, the drawdown 20.16% and the ending equity $12,206. The Sharpe moved from 0.49 to 0.447 and then 0.408.
These cost runs matter more than on a low-turnover rule. There were 45 fills, and many trades earned less than 1% or lost 1% to 2%, so a cost of 5 to 10 basis points on each side takes a visible share of each small trade. At 10 basis points the ending equity fell from $12,741 to $12,206. The headline gap to buy-and-hold widens a little with costs, and buy-and-hold made 1 fill.
VOOV trades about $14,495,204 a day on average, with a median minute volume of 300 shares, so a $10,000 sleeve is small against the fund's volume.
Changing the parameters
| Version | CAGR | Max drawdown | Round trips | Win rate | Final value |
|---|---|---|---|---|---|
| Published rules | 4.3% | −18.4% | 22 | 23% | $12,741 |
| 100-day SMA | 3.8% | −13.8% | 30 | 37% | $12,406 |
| 150-day SMA | 5.0% | −18.5% | 28 | 21% | $13,211 |
| 250-day SMA | 4.0% | −16.9% | 20 | 30% | $12,534 |
Parameter variants
Three variants change the averaging window.
The 100-day average returned 3.83% with a 13.78% drawdown and a Sharpe of 0.444. It made 30 trades and won 11, ending at $12,406. The shorter window made more trades and had the shallowest drawdown of the four.
The 150-day average returned 4.97% with an 18.50% drawdown and a Sharpe of 0.548. It made 28 trades and won 6, ending at $13,211. This is the best return and Sharpe of the four, above the default's 4.31% and 0.49.
The 250-day average returned 4.01% with a 16.89% drawdown and a Sharpe of 0.452. It made 20 trades and won 6, ending at $12,534.
The four results sit between 3.83% and 4.97% and none came near buy-and-hold's 12.60%. Window length changed the trade count from 20 to 30 and moved CAGR by about one point. The 100-day variant cut the drawdown to 13.78% at the cost of more trades, and the 250-day variant cut it to 16.89% with fewer trades. None of the settings turned the filter into a strategy that kept pace with the fund in this window. The ranking of the variants is from one fund and one period.
How VOOV behaved
| Measure | VOOV |
|---|---|
| Data in this test | 2021-01-04 to 2026-10-02 (1444 sessions) |
| Total return, buy and hold | 103.5% |
| Annualized volatility | 14.0% |
| Deepest drawdown | −18.0% (2022-04-20 to 2022-09-30) |
| Up days | 53.9% |
| Average daily range | 0.99% |
| Average overnight gap | 0.35% |
| Correlation to SPY | 0.89 |
| Correlation to QQQ | 0.72 |
| Correlation to TLT | 0.06 |
| Sessions above the 200-day average | 82.5% |
| Crossings of the 200-day average | 44 |
| Falls of 10% or more from a 20-day high | 4 |
How VOOV behaved
VOOV returned 103.49% in total over the window, a CAGR of 13.17% on the profile table, with annualised volatility of 14.03%. The calendar returns were 26.53% in 2021, -5.35% in 2022, 22.14% in 2023, 12.21% in 2024, 13.07% in 2025 and 9.65% for 2026 through the end date. The fund fell in only one calendar year, and the shallow 2022 loss of 5.35% is why a filter built to avoid bear markets had so little to avoid.
The fund's longest drawdown lasted 196 sessions and its maximum was 17.98%. For comparison, the strategy's own drawdown lasted much longer. The fund had only 4 events of a 10% drop inside 20 days, covering 8 trading days in total.
Trend persistence supports a filter like this, and VOOV had it. The fund was above its 200-day average on 82.49% of sessions. It also crossed the average 44 times, which is why the rule made so many trades. A fund that sits above the line most of the time and touches it often produces long holds and many brief exits. Those exits in 2022 and 2025 were the one-day and three-day trades in the list.
Daily behaviour was steady. 53.85% of days were up, with an average up day of 0.65% and an average down day of -0.65%. The average intraday range was 0.99% and the average overnight gap was 0.35%. Lag-1 autocorrelation was 0. The worst day was -5.73% on 2025-04-04 and the best was 7.31% on 2025-04-09.
The overnight share of the fund's return was 91.13%, with the overnight log return at 63.27% and the intraday at 6.16%. A rule that buys at the open takes the intraday part of each day and not the overnight gap that came before it.
Oversold readings produced rebounds. After RSI(14) fell below 30, on 23 sessions, the median 5-day return was 2.07% and the 20-day median was 2.91%, against baselines of 0.35% and 1.51%. RSI(2) below 10 appeared on 154 sessions with medians of 0.43% and 1.69%. A fund with rebounds like these favours rules that buy dips over rules that wait for a trend signal.
VOOV is correlated with the S&P 500 at 0.89 and has a beta to SPY of 0.76. Its correlation to QQQ was 0.72 and to TLT 0.06.
The rules
Own the asset when price closes above its 200-day average; hold cash when it closes below.
- WHEN the market opens · IF not invested AND yesterday's close > SMA(200) · THEN buy with 98% of the sleeve
- WHEN the market opens · IF invested AND yesterday's close < SMA(200) · THEN sell the whole position
One rule and one number. Price above the 200-day moving average has historically coincided with better returns and lower volatility than price below it. This template uses no crossovers and no oscillators, only which side of the long-term average the price is on.
Good for: a first systematic strategy, simple enough to audit every trade.
Watch out: price whips around the 200-day line during volatile bottoms, generating clusters of buy-sell pairs. Some traders add a small buffer band to reduce churn.
How the 200-day rule fit this fund
The rule has one signal and it checks yesterday's close. On a fund that sits above its average for most of the window and whose only decline was shallow, the signal produces a large number of small exits and re-entries around the line. VOOV's 22 round trips are the most among the 12 broad index funds tested. The category runs from 10 round trips on QQQM and QQQ to 22 on VOOV, with VTV at 21.
The returns follow the trade count loosely. QQQM returned 13.02% and QQQ 12.90% with 10 round trips, IOO 11.20% and VOOG 11.06%. VOO returned 8.41% and SPY 8.30% with 15. VOOV returned 4.31% and VTV 4.26%, the two value funds near the bottom of the group with the highest trade counts.
Other templates did better on this fund. Weekly profit target returned 12.17% with an 18.69% drawdown, monthly cycle returned 10.93% with a 17.76% drawdown and RSI(2) snapback returned 8.58% with a 13.43% drawdown. Golden cross returned 6.79% and the SMA 10/50 trend returned 6.25%. The 200-day filter, at 4.31%, ranks 9th, ahead of the dip buyer at 4.03%, trend plus trailing stop at 3.65% and 3-month momentum at 2.38%.
The test covers one window, one shallow bear market and 22 closed trades. It records what the rule did on VOOV in these years and says nothing about other periods.
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 200-day regime filter beat buy-and-hold on VOOV?
Over 2021-01-04 to 2026-10-02, 200-day regime filter on VOOV returned 4.3% annualized vs 12.6% for buy-and-hold: it trailed buy-and-hold by 8.3% per year, with a maximum drawdown of 18.4% (buy-and-hold: 17.6%).
How many trades did it make?
22 completed round trips over 5.7 years (45 fills), with 23% of round trips closing profitably.
Why the 200-day average specifically?
It approximates a year of trading days and has been studied across decades of data. It is not the best window for every asset. The per-ETF backtests here show where it helped and where it didn't.
How did the 200-day regime filter perform on VOOV?
It returned a CAGR of 4.31% from 2021-01-04 to 2026-10-02, ending at $12,741 from $10,000. Buy-and-hold on VOOV returned 12.60% a year and ended at $19,762. The strategy made 22 closed round trips and won 5, with 1 position still open.
Why did the filter lose more than the fund in 2022?
The strategy returned -16.1% in 2022 against -5.2% for the fund. It made 11 round trips in the year and won 2. Each entry above the average was followed by a close below it within days, so it paid the gap many times.
How can the win rate be 23% with a profit factor above 1?
Wins were few and large, with an average of 6.59%, and losses were many and small, with an average of -1.47%. The 23.14% trade from 2023-11-03 to 2025-01-13 and the 7.75% trade from 2022-12-21 to 2023-09-28 produced the profit. The profit factor was 1.22.
Did a different average length help on VOOV?
A 150-day average returned 4.97%, a 100-day returned 3.83% and a 250-day returned 4.01%, against 4.31% for the 200-day. None approached buy-and-hold's 12.60%. The 100-day variant had the shallowest drawdown at 13.78%.
What was the maximum drawdown?
The maximum drawdown was 18.45%, from 2022-01-12 to 2022-12-28, and it recovered on 2024-03-06. Buy-and-hold had a maximum drawdown of 17.62%. The strategy's drawdown was slightly deeper than the fund's.
Why were there no trades in early 2021?
The first entry came on 2021-10-19. The 200-day average needs 200 sessions of data, and the window starts on 2021-01-04. The strategy returned 2.0% in 2021 while buy-and-hold returned 25.8%.
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.