BLV
Vanguard Long-term Bond Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for BLV (Vanguard Long-term Bond Index Fund ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -14.1% (compared to the benchmark's drawdown of -38.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 4.6%, compared to a Buy-and-Hold benchmark return of 4.0%. The strategy executed 58 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Mathematical Model
Excess Return MMA Active
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA
Advanced Dynamic Sleeve: MMA ensemble signals on the primary asset combined with a momentum-based cash alternative ETF rotation.
Excess Return SMA
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
BLV Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | -0.50% | 2.09% | -1.03% | -4.76% | 2.07% | 0.28% | 4.59% | 3.96% |
| Sharpe Ratio | -0.14 | 0.26 | -0.20 | -0.38 | 0.31 | 0.02 | 0.58 | 0.34 |
| Max Drawdown | -2.75% | -5.73% | -8.54% | -36.27% | -12.00% | -38.29% | -14.07% | -38.29% |
| % Time Invested | 92.9% | 100.0% | 65.4% | 100.0% | 78.3% | 100.0% | 85.7% | 100.0% |
| Trades / Year | 2.0 | 0.0 | 3.4 | 0.0 | 3.4 | 0.0 | 3.4 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
Trade History
This log shows every signal-driven transition. Completed trades reflect standard market cycles. An Open or Mark-to-Market exit denotes an active position (either in the primary asset or a cash/yield sleeve) valued at the current price for reporting purposes. Interest entries record yield accrued from cash or cash alternatives (like BIL) during out-of-market defensive periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason | |
|---|---|---|---|---|---|---|---|---|
| 🔒 Active Positions & Recent Execution Signals Hidden Trading on delayed data carries high execution risk. Current allocations, pending next-day rebalances, and active execution signals (last 60 days) require a Premium subscription. Upgrade to Pro to Unlock | ||||||||
| 2025-10-29 | 2026-05-21 | Completed | 33.33% | $69.99 | $66.56 | -4.95% | Signal | |
| 2025-09-10 | 2026-02-09 | Completed | 33.33% | $68.18 | $68.23 | 0.02% | Signal | |
| 2025-03-06 | 2025-10-29 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.76% | Interest Income | |
| 2024-12-19 | 2025-09-10 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.07% | Interest Income | |
| 2025-05-07 | 2025-08-22 | Completed | 33.33% | $64.68 | $66.10 | 2.14% | Signal | |
| 2025-04-14 | 2025-05-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-03-12 | 2025-04-14 | Completed | 33.33% | $65.63 | $63.95 | -2.61% | Stop | |
| 2024-11-04 | 2025-03-12 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.48% | Interest Income | |
| 2025-02-03 | 2025-03-06 | Completed | 33.33% | $64.62 | $66.12 | 2.28% | Signal | |
| 2025-01-08 | 2025-02-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-11-20 | 2025-01-08 | Completed | 33.33% | $64.94 | $62.60 | -3.64% | Stop | |
| 2024-11-20 | 2024-12-19 | Completed | 33.33% | $64.94 | $64.13 | -1.30% | Signal | |
| 2024-10-29 | 2024-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2024-10-29 | 2024-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2024-08-05 | 2024-11-04 | Completed | 33.33% | $68.39 | $65.86 | -3.75% | Stop | |
| 2024-08-05 | 2024-10-29 | Completed | 33.33% | $68.39 | $65.22 | -4.69% | Stop | |
| 2024-04-18 | 2024-10-29 | Completed | 33.33% | $61.60 | $65.22 | 5.82% | Stop | |
| 2024-05-10 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.23% | Interest Income | |
| 2023-05-25 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.07 | 6.54% | Interest Income | |
| 2024-05-08 | 2024-05-10 | Completed | 33.33% | $62.75 | $62.75 | -0.05% | Signal | |
| 2024-04-16 | 2024-05-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2023-08-17 | 2024-04-18 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.63% | Interest Income | |
| 2024-01-19 | 2024-04-16 | Completed | 33.33% | $63.86 | $60.95 | -4.61% | Stop | |
| 2023-05-22 | 2024-01-19 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.59% | Interest Income | |
| 2023-06-22 | 2023-08-17 | Completed | 33.33% | $64.51 | $60.61 | -6.09% | Stop | |
| 2023-05-25 | 2023-06-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income | |
| 2023-04-10 | 2023-05-25 | Completed | 33.33% | $66.43 | $63.01 | -5.19% | Stop | |
| 2023-04-10 | 2023-05-25 | Completed | 33.33% | $66.43 | $63.01 | -5.19% | Stop | |
| 2023-02-06 | 2023-05-22 | Completed | 33.33% | $65.61 | $63.28 | -3.60% | Signal | |
| 2022-03-14 | 2023-04-10 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.29% | Interest Income | |
| 2021-11-18 | 2023-04-10 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.34% | Interest Income | |
| 2021-12-21 | 2023-02-06 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.51% | Interest Income | |
| 2022-02-10 | 2022-03-14 | Completed | 33.33% | $78.55 | $74.61 | -5.06% | Signal | |
| 2022-01-19 | 2022-02-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-07-08 | 2022-01-19 | Completed | 33.33% | $84.85 | $80.62 | -5.03% | Stop | |
| 2021-07-08 | 2021-12-21 | Completed | 33.33% | $84.85 | $84.45 | -0.52% | Signal | |
| 2021-03-22 | 2021-11-18 | Completed | 33.33% | $77.52 | $83.54 | 7.71% | Signal | |
| 2021-02-26 | 2021-07-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-12-07 | 2021-07-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2021-02-26 | 2021-03-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-02-05 | 2021-02-26 | Completed | 33.33% | $83.55 | $79.76 | -4.59% | Stop | |
| 2021-02-05 | 2021-02-26 | Completed | 33.33% | $83.55 | $79.76 | -4.59% | Stop | |
| 2021-01-13 | 2021-02-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-01-13 | 2021-02-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-04-03 | 2021-01-13 | Completed | 33.33% | $80.18 | $84.30 | 5.09% | Stop | |
| 2020-04-03 | 2021-01-13 | Completed | 33.33% | $80.18 | $84.30 | 5.09% | Stop | |
| 2020-04-03 | 2020-12-07 | Completed | 33.33% | $80.18 | $86.03 | 7.25% | Signal | |
| 2020-03-12 | 2020-04-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-12 | 2020-04-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-12 | 2020-04-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2018-12-11 | 2020-03-12 | Completed | 33.33% | $61.98 | $78.91 | 27.25% | Stop | |
| 2018-12-11 | 2020-03-12 | Completed | 33.33% | $61.98 | $78.91 | 27.25% | Stop | |
| 2018-12-11 | 2020-03-12 | Completed | 33.33% | $61.98 | $78.91 | 27.25% | Stop | |
| 2018-10-24 | 2018-12-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2018-10-16 | 2018-12-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2018-04-18 | 2018-12-11 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.36% | Interest Income | |
| 2018-05-18 | 2018-10-24 | Completed | 33.33% | $60.86 | $60.72 | -0.28% | Signal | |
| 2018-08-28 | 2018-10-16 | Completed | 33.33% | $63.23 | $61.07 | -3.47% | Signal | |
| 2018-02-27 | 2018-08-28 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.95% | Interest Income | |
| 2018-04-26 | 2018-05-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2016-12-05 | 2018-04-26 | Completed | 33.33% | $58.48 | $61.56 | 5.22% | Stop | |
| 2017-07-31 | 2018-04-18 | Completed | 33.33% | $63.21 | $63.36 | 0.19% | Signal | |
| 2017-04-28 | 2018-02-27 | Completed | 33.33% | $61.15 | $62.44 | 2.05% | Signal | |
| 2017-02-07 | 2017-07-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.41% | Interest Income | |
| 2016-11-10 | 2017-04-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.28% | Interest Income | |
| 2016-12-05 | 2017-02-07 | Completed | 33.33% | $58.48 | $59.89 | 2.37% | Signal | |
| 2016-11-10 | 2016-12-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2016-11-10 | 2016-12-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2016-02-22 | 2016-11-10 | Completed | 33.33% | $58.06 | $60.32 | 3.85% | Stop | |
| 2015-12-03 | 2016-11-10 | Completed | 33.33% | $56.65 | $60.32 | 6.42% | Stop | |
| 2015-06-04 | 2016-11-10 | Completed | 33.33% | $55.61 | $60.32 | 8.42% | Stop | |
| 2016-01-28 | 2016-02-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-10-21 | 2016-01-28 | Completed | 33.33% | $57.16 | $56.70 | -0.86% | Signal | |
| 2015-08-19 | 2015-12-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-06-08 | 2015-10-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2015-06-04 | 2015-08-19 | Completed | 33.33% | $55.61 | $56.49 | 1.53% | Signal | |
| 2015-06-04 | 2015-06-08 | Completed | 33.33% | $55.61 | $55.38 | -0.46% | Signal | |
| 2015-05-12 | 2015-06-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-05-12 | 2015-06-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-05-12 | 2015-06-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-03-31 | 2015-05-12 | Completed | 33.33% | $59.73 | $55.93 | -6.41% | Stop | |
| 2015-03-31 | 2015-05-12 | Completed | 33.33% | $59.73 | $55.93 | -6.41% | Stop | |
| 2015-03-31 | 2015-05-12 | Completed | 33.33% | $59.73 | $55.93 | -6.41% | Stop | |
| 2015-03-09 | 2015-03-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-03-09 | 2015-03-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-03-09 | 2015-03-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-08-12 | 2015-03-09 | Completed | 33.33% | $54.83 | $57.97 | 5.68% | Stop | |
| 2014-03-28 | 2015-03-09 | Completed | 33.33% | $51.92 | $57.97 | 11.61% | Stop | |
| 2013-12-17 | 2015-03-09 | Completed | 33.33% | $48.65 | $57.97 | 19.09% | Stop | |
| 2013-11-04 | 2014-08-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2013-04-24 | 2014-03-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2013-06-25 | 2013-12-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2013-06-25 | 2013-11-04 | Completed | 33.33% | $47.88 | $49.20 | 2.70% | Signal | |
| 2013-06-03 | 2013-06-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-05-29 | 2013-06-25 | Completed | 33.33% | $51.41 | $47.88 | -6.92% | Stop | |
| 2010-12-06 | 2013-06-03 | Completed | 33.33% | $40.26 | $51.10 | 26.88% | Stop | |
| 2013-01-31 | 2013-05-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-07-21 | 2013-04-24 | Completed | 33.33% | $42.22 | $54.04 | 27.92% | Signal | |
| 2011-05-10 | 2013-01-31 | Completed | 33.33% | $41.68 | $51.72 | 24.01% | Signal | |
| 2011-03-28 | 2011-07-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-12-30 | 2011-05-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2010-12-06 | 2011-03-28 | Completed | 33.33% | $40.26 | $40.18 | -0.23% | Signal | |
| 2010-12-06 | 2010-12-30 | Completed | 33.33% | $40.26 | $39.97 | -0.75% | Signal | |
| 2010-11-11 | 2010-12-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-11-11 | 2010-12-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-11-11 | 2010-12-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-04-13 | 2010-11-11 | Completed | 33.33% | $37.56 | $40.83 | 8.64% | Stop | |
| 2009-04-02 | 2010-11-11 | Completed | 33.33% | $33.96 | $40.83 | 20.14% | Stop | |
| 2009-04-02 | 2010-11-11 | Completed | 33.33% | $33.96 | $40.83 | 20.14% | Stop | |
| 2010-02-26 | 2010-04-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2009-07-21 | 2010-02-26 | Completed | 33.33% | $34.62 | $37.31 | 7.72% | Signal | |
| 2009-05-18 | 2009-07-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2009-04-02 | 2009-05-18 | Completed | 33.33% | $33.96 | $34.48 | 1.46% | Signal | |
| 2009-03-31 | 2009-04-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2009-03-31 | 2009-04-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2009-03-31 | 2009-04-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |