CWB
SPDR Bloomberg Convertible Securities ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for CWB (SPDR Bloomberg Convertible Securities ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -17.7% (compared to the benchmark's drawdown of -32.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 7.5%, compared to a Buy-and-Hold benchmark return of 9.9%. The strategy executed 78 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.
CWB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.67% | 20.90% | 1.98% | 5.44% | 10.27% | 11.60% | 7.50% | 9.93% |
| Sharpe Ratio | 0.26 | 1.18 | 0.21 | 0.40 | 0.93 | 0.75 | 0.76 | 0.71 |
| Max Drawdown | -9.43% | -8.28% | -17.00% | -28.41% | -17.73% | -32.06% | -17.73% | -32.06% |
| % Time Invested | 81.0% | 100.0% | 77.3% | 100.0% | 84.2% | 100.0% | 85.2% | 100.0% |
| Trades / Year | 6.0 | 0.0 | 6.2 | 0.0 | 5.2 | 0.0 | 5.1 | 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 | ||||||||
| 2026-03-31 | 2026-04-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2026-03-31 | 2026-04-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2026-03-31 | 2026-04-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2025-12-16 | 2026-03-31 | Completed | 33.33% | $88.21 | $89.68 | 1.62% | Stop | |
| 2025-12-16 | 2026-03-31 | Completed | 33.33% | $88.21 | $89.68 | 1.62% | Stop | |
| 2025-12-16 | 2026-03-31 | Completed | 33.33% | $88.21 | $89.68 | 1.62% | Stop | |
| 2025-11-21 | 2025-12-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income | |
| 2025-11-21 | 2025-12-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income | |
| 2025-11-21 | 2025-12-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income | |
| 2025-07-14 | 2025-11-21 | Completed | 33.33% | $82.27 | $85.71 | 4.12% | Stop | |
| 2025-05-01 | 2025-11-21 | Completed | 33.33% | $76.20 | $85.71 | 12.42% | Stop | |
| 2025-05-01 | 2025-11-21 | Completed | 33.33% | $76.20 | $85.71 | 12.42% | Stop | |
| 2025-04-07 | 2025-07-14 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.13% | Interest Income | |
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-04-02 | 2025-04-08 | Completed | 33.33% | $74.59 | $72.22 | -3.23% | Stop | |
| 2025-04-02 | 2025-04-08 | Completed | 33.33% | $74.59 | $72.22 | -3.23% | Stop | |
| 2025-04-02 | 2025-04-07 | Completed | 33.33% | $74.59 | $70.19 | -5.94% | Signal | |
| 2025-03-11 | 2025-04-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-03-11 | 2025-04-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-03-11 | 2025-04-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-08-12 | 2025-03-11 | Completed | 33.33% | $69.69 | $74.35 | 6.62% | Stop | |
| 2024-03-21 | 2025-03-11 | Completed | 33.33% | $69.56 | $74.35 | 6.83% | Stop | |
| 2023-01-18 | 2025-03-11 | Completed | 33.33% | $63.65 | $74.35 | 16.75% | Stop | |
| 2024-06-13 | 2024-08-12 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.84% | Interest Income | |
| 2024-01-31 | 2024-06-13 | Completed | 33.33% | $68.40 | $69.70 | 1.85% | Signal | |
| 2024-01-11 | 2024-03-21 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.02% | Interest Income | |
| 2023-10-31 | 2024-01-31 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.32% | Interest Income | |
| 2023-10-27 | 2024-01-11 | Completed | 33.33% | $61.94 | $68.38 | 10.34% | Signal | |
| 2023-10-27 | 2023-10-31 | Completed | 33.33% | $61.94 | $61.34 | -1.02% | Signal | |
| 2023-10-05 | 2023-10-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2023-10-05 | 2023-10-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2023-06-30 | 2023-10-05 | Completed | 33.33% | $65.81 | $63.32 | -3.83% | Stop | |
| 2023-01-18 | 2023-10-05 | Completed | 33.33% | $63.65 | $63.32 | -0.57% | Stop | |
| 2023-05-22 | 2023-06-30 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.57% | Interest Income | |
| 2023-04-05 | 2023-05-22 | Completed | 33.33% | $62.38 | $62.61 | 0.32% | Signal | |
| 2023-03-14 | 2023-04-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2023-01-18 | 2023-03-14 | Completed | 33.33% | $63.65 | $61.57 | -3.31% | Stop | |
| 2022-07-20 | 2023-01-18 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.81% | Interest Income | |
| 2022-02-16 | 2023-01-18 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.24% | Interest Income | |
| 2021-12-31 | 2023-01-18 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.26% | Interest Income | |
| 2022-07-08 | 2022-07-20 | Completed | 33.33% | $60.46 | $61.39 | 1.48% | Signal | |
| 2022-06-14 | 2022-07-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2022-05-17 | 2022-06-14 | Completed | 33.33% | $61.83 | $59.33 | -4.08% | Stop | |
| 2022-04-25 | 2022-05-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2022-03-21 | 2022-04-25 | Completed | 33.33% | $69.99 | $66.15 | -5.53% | Stop | |
| 2022-02-25 | 2022-03-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2022-02-14 | 2022-02-25 | Completed | 33.33% | $70.38 | $68.98 | -2.03% | Stop | |
| 2022-02-14 | 2022-02-16 | Completed | 33.33% | $70.38 | $70.97 | 0.78% | Signal | |
| 2022-01-21 | 2022-02-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2022-01-21 | 2022-02-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-12-27 | 2022-01-21 | Completed | 33.33% | $76.26 | $70.37 | -7.77% | Stop | |
| 2021-12-27 | 2022-01-21 | Completed | 33.33% | $76.26 | $70.37 | -7.77% | Stop | |
| 2021-12-27 | 2021-12-31 | Completed | 33.33% | $76.26 | $76.48 | 0.24% | Signal | |
| 2021-12-02 | 2021-12-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-12-02 | 2021-12-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-12-02 | 2021-12-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-08-19 | 2021-12-02 | Completed | 33.33% | $76.08 | $75.00 | -1.46% | Stop | |
| 2021-06-04 | 2021-12-02 | Completed | 33.33% | $75.65 | $75.00 | -0.91% | Stop | |
| 2021-06-04 | 2021-12-02 | Completed | 33.33% | $75.65 | $75.00 | -0.91% | Stop | |
| 2021-06-11 | 2021-08-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-06-04 | 2021-06-11 | Completed | 33.33% | $75.65 | $76.86 | 1.55% | Signal | |
| 2021-05-12 | 2021-06-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-05-12 | 2021-06-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-05-12 | 2021-06-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-03-18 | 2021-05-12 | Completed | 33.33% | $76.90 | $73.80 | -4.09% | Stop | |
| 2021-03-18 | 2021-05-12 | Completed | 33.33% | $76.90 | $73.80 | -4.09% | Stop | |
| 2021-03-18 | 2021-05-12 | Completed | 33.33% | $76.90 | $73.80 | -4.09% | Stop | |
| 2021-02-24 | 2021-03-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-02-24 | 2021-03-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-02-24 | 2021-03-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-09-30 | 2021-02-24 | Completed | 33.33% | $60.83 | $79.64 | 30.86% | Stop | |
| 2020-09-30 | 2021-02-24 | Completed | 33.33% | $60.83 | $79.64 | 30.86% | Stop | |
| 2020-09-30 | 2021-02-24 | Completed | 33.33% | $60.83 | $79.64 | 30.86% | Stop | |
| 2020-09-08 | 2020-09-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-09-08 | 2020-09-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-09-08 | 2020-09-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-06-25 | 2020-09-08 | Completed | 33.33% | $51.93 | $58.80 | 13.16% | Stop | |
| 2020-03-23 | 2020-09-08 | Completed | 33.33% | $37.21 | $58.80 | 57.93% | Stop | |
| 2020-03-23 | 2020-09-08 | Completed | 33.33% | $37.21 | $58.80 | 57.93% | Stop | |
| 2020-04-27 | 2020-06-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-23 | 2020-04-27 | Completed | 33.33% | $37.21 | $46.01 | 23.57% | Signal | |
| 2020-02-28 | 2020-03-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-02-28 | 2020-03-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-02-28 | 2020-03-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2019-05-21 | 2020-02-28 | Completed | 33.33% | $44.05 | $47.53 | 7.84% | Stop | |
| 2019-03-18 | 2020-02-28 | Completed | 33.33% | $44.47 | $47.53 | 6.83% | Stop | |
| 2019-01-15 | 2020-02-28 | Completed | 33.33% | $41.11 | $47.53 | 15.56% | Stop | |
| 2018-12-18 | 2019-05-21 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.01% | Interest Income | |
| 2018-10-11 | 2019-03-18 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.00% | Interest Income | |
| 2018-12-20 | 2019-01-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-11-02 | 2018-12-20 | Completed | 33.33% | $41.88 | $39.46 | -5.82% | Stop | |
| 2018-11-02 | 2018-12-18 | Completed | 33.33% | $41.88 | $40.51 | -3.33% | Signal | |
| 2018-10-11 | 2018-11-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-10-11 | 2018-11-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-03-06 | 2018-10-11 | Completed | 33.33% | $42.12 | $40.97 | -2.78% | Stop | |
| 2018-03-06 | 2018-10-11 | Completed | 33.33% | $42.12 | $40.97 | -2.78% | Stop | |
| 2018-03-06 | 2018-10-11 | Completed | 33.33% | $42.12 | $40.97 | -2.78% | Stop | |
| 2018-02-09 | 2018-03-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2018-02-09 | 2018-03-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2018-02-09 | 2018-03-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2016-07-15 | 2018-02-09 | Completed | 33.33% | $33.65 | $40.07 | 19.00% | Stop | |
| 2016-07-15 | 2018-02-09 | Completed | 33.33% | $33.65 | $40.07 | 19.00% | Stop | |
| 2016-05-12 | 2018-02-09 | Completed | 33.33% | $32.02 | $40.07 | 25.08% | Stop | |
| 2016-03-11 | 2016-07-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income | |
| 2015-11-02 | 2016-07-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2015-08-24 | 2016-05-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income | |
| 2016-02-04 | 2016-03-11 | Completed | 33.33% | $29.56 | $31.11 | 5.20% | Signal | |
| 2016-01-12 | 2016-02-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-16 | 2016-01-12 | Completed | 33.33% | $31.95 | $30.53 | -4.50% | Stop | |
| 2015-09-16 | 2015-11-02 | Completed | 33.33% | $31.95 | $32.31 | 1.09% | Signal | |
| 2015-08-24 | 2015-09-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-08-24 | 2015-09-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-02-09 | 2015-08-24 | Completed | 33.33% | $31.92 | $30.77 | -3.64% | Stop | |
| 2014-11-04 | 2015-08-24 | Completed | 33.33% | $31.96 | $30.77 | -3.75% | Stop | |
| 2014-11-04 | 2015-08-24 | Completed | 33.33% | $31.96 | $30.77 | -3.75% | Stop | |
| 2014-11-28 | 2015-02-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-11-04 | 2014-11-28 | Completed | 33.33% | $31.96 | $32.50 | 1.67% | Signal | |
| 2014-10-13 | 2014-11-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-10-13 | 2014-11-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-10-13 | 2014-11-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-07-18 | 2014-10-13 | Completed | 33.33% | $27.29 | $30.55 | 11.89% | Stop | |
| 2013-07-18 | 2014-10-13 | Completed | 33.33% | $27.29 | $30.55 | 11.89% | Stop | |
| 2013-07-18 | 2014-10-13 | Completed | 33.33% | $27.29 | $30.55 | 11.89% | Stop | |
| 2013-06-25 | 2013-07-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-06-25 | 2013-07-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-06-25 | 2013-07-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-11-05 | 2013-06-25 | Completed | 33.33% | $23.89 | $25.70 | 7.54% | Stop | |
| 2012-09-17 | 2013-06-25 | Completed | 33.33% | $23.86 | $25.70 | 7.68% | Stop | |
| 2012-06-12 | 2013-06-25 | Completed | 33.33% | $21.86 | $25.70 | 17.53% | Stop | |
| 2012-05-16 | 2012-11-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2012-07-03 | 2012-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2012-06-12 | 2012-07-03 | Completed | 33.33% | $21.86 | $22.40 | 2.44% | Signal | |
| 2012-05-18 | 2012-06-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2012-05-18 | 2012-06-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2012-01-26 | 2012-05-18 | Completed | 33.33% | $22.75 | $21.97 | -3.48% | Stop | |
| 2012-01-23 | 2012-05-18 | Completed | 33.33% | $22.44 | $21.97 | -2.17% | Stop | |
| 2011-12-19 | 2012-05-16 | Completed | 33.33% | $20.89 | $22.33 | 6.86% | Signal | |
| 2011-09-22 | 2012-01-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-08-01 | 2012-01-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-11-25 | 2011-12-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-10-26 | 2011-11-25 | Completed | 33.33% | $21.65 | $20.66 | -4.62% | Stop | |
| 2011-10-04 | 2011-10-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-26 | 2011-10-04 | Completed | 33.33% | $20.85 | $19.91 | -4.54% | Stop | |
| 2011-08-26 | 2011-09-22 | Completed | 33.33% | $20.85 | $20.56 | -1.41% | Signal | |
| 2011-08-04 | 2011-08-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-04 | 2011-08-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-04-08 | 2011-08-04 | Completed | 33.33% | $23.88 | $22.32 | -6.58% | Stop | |
| 2011-04-08 | 2011-08-04 | Completed | 33.33% | $23.88 | $22.32 | -6.58% | Stop | |
| 2011-04-08 | 2011-08-01 | Completed | 33.33% | $23.88 | $23.11 | -3.27% | Signal | |
| 2011-04-06 | 2011-04-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-04-06 | 2011-04-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-04-06 | 2011-04-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |