BND Vanguard Total Bond Market Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for BND (Vanguard Total Bond Market Index Fund ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -8.7% (compared to the benchmark's drawdown of -18.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.0%, compared to a Buy-and-Hold benchmark return of 2.7%. The strategy executed 31 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
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.
BND Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 5.47% | 5.19% | 3.12% | 0.19% | 2.60% | 1.75% | 3.01% | 2.73% |
| Sharpe Ratio | 1.73 | 1.34 | 1.14 | 0.03 | 0.77 | 0.31 | 0.91 | 0.56 |
| Max Drawdown | -1.82% | -2.68% | -4.20% | -17.91% | -8.67% | -18.58% | -8.67% | -18.58% |
| % Time Invested | 100.0% | 100.0% | 66.8% | 100.0% | 78.2% | 100.0% | 87.0% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.8 | 0.0 | 2.0 | 0.0 | 1.8 | 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 / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| Pending (2026-05-30) | — | Pending Buy | 33.33% | — | — | —% | Pending Next-Day Open |
| 2025-11-10 | Open | Open | 33.33% | $72.88 | $73.46 | 0.80% | Mark-to-Market |
| 2025-06-27 | Open | Open | 33.33% | $70.80 | $73.46 | 3.76% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2026-03-10 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.53% | Interest Income |
| 2025-08-21 | 2026-03-10 | Completed | 33.33% | $71.32 | $73.89 | 3.61% | Signal |
| 2025-10-17 | 2025-11-10 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2024-08-05 | 2025-10-17 | Completed | 33.33% | $69.92 | $73.22 | 4.71% | Signal |
| 2025-07-28 | 2025-08-21 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income |
| 2025-04-29 | 2025-07-28 | Completed | 33.33% | $70.25 | $70.67 | 0.60% | Signal |
| 2025-06-03 | 2025-06-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-03-17 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income |
| 2024-12-20 | 2025-04-29 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.47% | Interest Income |
| 2024-04-19 | 2025-03-17 | Completed | 33.33% | $65.44 | $69.87 | 6.77% | Signal |
| 2024-08-05 | 2024-12-20 | Completed | 33.33% | $69.92 | $68.42 | -2.15% | Signal |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-05-08 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.33% | Interest Income |
| 2023-06-02 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.08 | 7.87% | Interest Income |
| 2024-01-22 | 2024-05-08 | Completed | 33.33% | $66.74 | $66.16 | -0.86% | Signal |
| 2023-06-02 | 2024-04-19 | Interest (FLOT) | 33.33% | $1.00 | $1.06 | 6.10% | Interest Income |
| 2023-06-02 | 2024-01-22 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 4.19% | Interest Income |
| 2023-05-19 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-02-13 | 2023-05-19 | Completed | 33.33% | $64.82 | $65.14 | 0.49% | Signal |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-02-13 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.67% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-02-16 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2021-10-08 | 2022-02-16 | Completed | 33.33% | $73.18 | $70.44 | -3.75% | Signal |
| 2022-01-03 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-12-01 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2020-04-06 | 2022-01-03 | Completed | 33.33% | $71.87 | $73.09 | 1.70% | Signal |
| 2021-07-21 | 2021-12-01 | Completed | 33.33% | $74.05 | $73.48 | -0.77% | Signal |
| 2021-09-02 | 2021-10-08 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2021-08-03 | 2021-09-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-05-04 | 2021-08-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2021-05-04 | 2021-07-21 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2021-04-05 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-04-05 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-03-24 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2021-02-25 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.11% | Interest Income |
| 2020-04-06 | 2021-03-24 | Completed | 33.33% | $71.87 | $72.06 | 0.27% | Signal |
| 2021-02-19 | 2021-02-25 | Completed | 33.33% | $73.37 | $72.67 | -0.96% | Signal |
| 2020-12-16 | 2021-02-19 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income |
| 2020-04-06 | 2020-12-16 | Completed | 33.33% | $71.87 | $74.42 | 3.54% | Signal |
| 2020-03-13 | 2020-04-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-03-13 | 2020-04-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-03-13 | 2020-04-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2018-12-07 | 2020-03-13 | Completed | 33.33% | $62.95 | $67.88 | 7.83% | Stop |
| 2018-12-07 | 2020-03-13 | Completed | 33.33% | $62.95 | $67.88 | 7.83% | Stop |
| 2018-12-07 | 2020-03-13 | Completed | 33.33% | $62.95 | $67.88 | 7.83% | Stop |
| 2018-12-04 | 2018-12-07 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2018-12-04 | 2018-12-07 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2018-12-04 | 2018-12-07 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2018-11-02 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2018-11-02 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2018-11-02 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2018-10-24 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2018-04-20 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.21% | Interest Income |
| 2018-03-12 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.43% | Interest Income |
| 2018-08-21 | 2018-10-24 | Completed | 33.33% | $63.14 | $62.38 | -1.21% | Signal |
| 2018-01-10 | 2018-08-21 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.47% | Interest Income |
| 2017-12-29 | 2018-04-20 | Completed | 33.33% | $63.63 | $62.26 | -2.16% | Signal |
| 2017-08-02 | 2018-03-12 | Completed | 33.33% | $63.31 | $62.21 | -1.74% | Signal |
| 2017-05-02 | 2018-01-10 | Completed | 33.33% | $62.09 | $63.15 | 1.71% | Signal |
| 2017-10-11 | 2017-12-29 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.28% | Interest Income |
| 2014-08-18 | 2017-10-11 | Completed | 33.33% | $58.67 | $63.42 | 8.10% | Signal |
| 2017-05-02 | 2017-08-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.43% | Interest Income |
| 2017-04-04 | 2017-05-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2017-04-04 | 2017-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2017-02-02 | 2017-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income |
| 2016-11-25 | 2017-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.41% | Interest Income |
| 2016-01-11 | 2017-02-02 | Completed | 33.33% | $59.99 | $61.37 | 2.29% | Signal |
| 2015-10-15 | 2016-11-25 | Completed | 33.33% | $60.34 | $61.05 | 1.18% | Signal |
| 2015-11-03 | 2016-01-11 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2015-09-24 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2015-09-02 | 2015-10-15 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2014-03-06 | 2015-09-24 | Completed | 33.33% | $57.14 | $59.99 | 4.99% | Signal |
| 2015-08-04 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2015-07-02 | 2015-08-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2015-06-26 | 2015-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2013-11-27 | 2015-06-26 | Completed | 33.33% | $56.52 | $58.97 | 4.33% | Signal |
| 2014-05-02 | 2014-08-18 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income |
| 2014-04-02 | 2014-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2014-03-04 | 2014-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2014-03-04 | 2014-03-06 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2014-02-04 | 2014-03-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2014-02-04 | 2014-03-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2014-01-03 | 2014-02-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2014-01-03 | 2014-02-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2013-12-03 | 2014-01-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2013-12-03 | 2014-01-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2013-11-12 | 2013-12-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2013-08-02 | 2013-12-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2013-08-02 | 2013-11-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2009-04-02 | 2013-11-12 | Completed | 33.33% | $46.26 | $56.13 | 21.31% | Signal |
| 2013-07-02 | 2013-08-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2013-07-02 | 2013-08-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2013-07-01 | 2013-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2013-05-01 | 2013-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2013-04-05 | 2013-07-01 | Completed | 33.33% | $57.74 | $55.79 | -3.36% | Signal |
| 2011-06-01 | 2013-05-01 | Completed | 33.33% | $53.22 | $57.94 | 8.87% | Signal |
| 2013-01-29 | 2013-04-05 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2011-05-09 | 2013-01-29 | Completed | 33.33% | $52.82 | $56.96 | 7.85% | Signal |
| 2011-05-03 | 2011-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2011-04-04 | 2011-05-09 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2009-04-02 | 2011-05-03 | Completed | 33.33% | $46.26 | $52.56 | 13.60% | Signal |
| 2011-03-02 | 2011-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-01-20 | 2011-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2009-04-02 | 2011-01-20 | Completed | 33.33% | $46.26 | $51.56 | 11.45% | Signal |
| 2009-03-31 | 2009-04-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-03-31 | 2009-04-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-03-31 | 2009-04-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |